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Modelling inflation in Australia

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Author Info

  • Gordon de Brouwer
  • Neil R. Ericsson

Abstract

This paper develops an empirically constant, data-coherent, error cor­rection model for inflation in Australia. The level of consumer prices is a mark-up over domestic and import costs, with adjustments for dynamics and relative aggregate demand. We address issues of cointegration, general to specific modelling, dynamic specification, model evaluation and test­ing' parameter constancy, and exogeneity. We also test this model against existing models of Australian prices: this model encompasses (but is not encompassed by) the existing models.

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File URL: http://www.federalreserve.gov/pubs/ifdp/1995/530/default.htm
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File URL: http://www.federalreserve.gov/pubs/ifdp/1995/530/ifdp530.pdf
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Bibliographic Info

Paper provided by Board of Governors of the Federal Reserve System (U.S.) in its series International Finance Discussion Papers with number 530.

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Date of creation: 1995
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Handle: RePEc:fip:fedgif:530

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Related research

Keywords: Australia ; Inflation (Finance);

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References

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  1. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
  2. Banerjee, Anindya & Dolado, Juan J. & Galbraith, John W. & Hendry, David, 1993. "Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data," OUP Catalogue, Oxford University Press, number 9780198288107.
  3. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
  4. Smith, Gregor W, 1986. "A Dynamic Baumol-Tobin Model of Money Demand," Review of Economic Studies, Wiley Blackwell, vol. 53(3), pages 465-69, July.
  5. Franz, Wolfgang & Gordon, Robert J., 1993. "German and American wage and price dynamics: Differences and common themes," Discussion Papers 2, University of Konstanz, Center for International Labor Economics (CILE).
  6. Ericsson, Neil R, 1983. "Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses," Review of Economic Studies, Wiley Blackwell, vol. 50(2), pages 287-304, April.
  7. Michael Coelli & Jerome Fahrer, 1992. "Indicators of Inflationary Pressure," RBA Research Discussion Papers rdp9207, Reserve Bank of Australia.
  8. Metin, Kivilcim, 1995. "An Integrated Analysis of Turkish Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 513-31, November.
  9. Godfrey, Leslie G, 1978. "Testing against General Autoregressive and Moving Average Error Models When the Regressors Include Lagged Dependent Variables," Econometrica, Econometric Society, vol. 46(6), pages 1293-1301, November.
  10. Nicholls, D F & Pagan, A R, 1983. "Heteroscedasticity in Models with Lagged Dependent Variables," Econometrica, Econometric Society, vol. 51(4), pages 1233-42, July.
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