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An Application of Index Number Theory to Interest Rates: Evidence from Selected Post-Soviet Countries
Journal of Central Banking Theory and Practice Pub Date : 2022-04-30 , DOI: 10.2478/jcbtp-2022-0018
Karen Poghosyan 1 , Ruben Poghosyan 2
Affiliation  

Abstract In this paper, we use index number theory to decompose changes in total interest rate due to changes in the interest rate component and the weight component. We discuss the optimal calculation of a binary index using axiomatic index number theory. Based on this theory we compare alternative indexes and as a result, we choose the Marshall-Edgeworth index because most axioms are satisfied by this index. Comparing the results of binary periods decomposition, we conclude that the differences are not significant when we apply different indices. For multiple period comparison, we suggest using the chain index because it allows accounting for the weights evolution during the whole period. In addition, we derive a formula that could be useful for explaining the differences between chain and direct indexes when we produce multiple period comparison.

中文翻译:

指数数理论在利率中的应用:来自选定的后苏联国家的证据

摘要 本文采用指数数理论来分解由于利率分量和权重分量变化引起的总利率变化。我们讨论了使用公理索引数理论的二进制索引的优化计算。基于这一理论,我们比较了替代指标,因此我们选择了 Marshall-Edgeworth 指标,因为该指标满足了大多数公理。比较二元周期分解的结果,我们得出结论,当我们应用不同的指数时,差异并不显着。对于多个时期的比较,我们建议使用链指数,因为它可以考虑整个时期的权重演变。此外,
更新日期:2022-04-30
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