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A Comparison of Australian Inflation Forecasts

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Author Info

  • Param Silvapulle

    (Department of Economics and Finance, La Trobe University)

  • Ramya Hewarathna

    (Department of Economics and Finance, La Trobe University)

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    Abstract

    This paper considers various models including univariate time series and the ones emerging from the Fisher effect and/or the term structure of interest rates for Australian inflation forecasting, and assesses their in-sample and out-of-sample forecast power properties. The CPI seroes, 90-days and 180-days Australian bank-accepted bill rates covering the sample period 1968-Q1 to 1995-Q4 were used in this study. Contrary to earlier findings, using the Gregory and Hansen (1996) test we document strong evidence supporting the Fisher effect in the presence of a structural break with the break-point being at 1980-Q1.

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    Bibliographic Info

    Paper provided by School of Economics, La Trobe University in its series Working Papers with number 1997.23.

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    Length: 28 pages
    Date of creation: 1997
    Date of revision:
    Handle: RePEc:ltr:wpaper:1997.23

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    Related research

    Keywords: Inflation; Time Series; Models; Interest Rate EDIRC Provider-Institution: RePEc:edi:smlatau;

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