A Comparison of Australian Inflation Forecasts
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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