英文标题：
《Hyperinflation in Brazil, Israel, and Nicaragua revisited》
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作者：
M.A. Szybisz and L. Szybisz
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最新提交年份：
2016
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英文摘要：
The aim of this work is to address the description of hyperinflation regimes in economy. The spirals of hyperinflation developed in Brazil, Israel, and Nicaragua are revisited. This new analysis of data indicates that the episodes occurred in Brazil and Nicaragua can be understood within the frame of the model available in the literature, which is based on a nonlinear feedback (NLF) characterized by an exponent $\\beta>0$. In the NLF model the accumulated consumer price index carries a finite time singularity of the type $1/(t_c-t)^{(1- \\beta)/\\beta}$ determining a critical time $t_c$ at which the economy would crash. It is shown that in the case of Brazil the entire episode cannot be described with a unique set of parameters because the time series was strongly affected by a change of policy. This fact gives support to the \"so called\" Lucas critique, who stated that model\'s parameters usually change once policy changes. On the other hand, such a model is not able to provide any $t_c$ in the case of the weaker hyperinflation occurred in Israel. It is shown that in this case the fit of data yields $\\beta \\to 0$. This limit leads to the linear feedback formulation which does not predict any $t_c$. An extension for the NLF model is suggested.
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中文摘要：
这项工作的目的是解决描述经济中的恶性通货膨胀制度。巴西、以色列和尼加拉瓜出现的恶性通货膨胀螺旋式上升再次受到关注。这项新的数据分析表明，巴西和尼加拉瓜发生的事件可以在文献中可用的模型框架内理解，该模型基于指数$\\beta>0$的非线性反馈（NLF）。在NLF模型中，累积消费者价格指数带有一个类型为$1/（t_c-t）^{（1-\\beta）/\\beta}$的有限时间奇点，确定了经济崩溃的临界时间$t_c$。研究表明，在巴西的情况下，整个事件不能用一组独特的参数来描述，因为时间序列受到政策变化的强烈影响。这一事实支持了“所谓的”卢卡斯批评，他说，一旦政策改变，模型的参数通常会改变。另一方面，在以色列恶性通货膨胀减弱的情况下，这样的模型无法提供任何t_c$。结果表明，在这种情况下，数据拟合产生$\\beta\\到0$。这一限制导致线性反馈公式无法预测任何$t_c$。建议对NLF模型进行扩展。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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