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A Comparison of Australian Inflation Forecasts


  • Param Silvapulle

    (Department of Economics and Finance, La Trobe University)

  • Ramya Hewarathna

    (Department of Economics and Finance, La Trobe University)


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.

Suggested Citation

  • Param Silvapulle & Ramya Hewarathna, 1997. "A Comparison of Australian Inflation Forecasts," Working Papers 1997.23, School of Economics, La Trobe University.
  • Handle: RePEc:ltr:wpaper:1997.23

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    References listed on IDEAS

    1. Stahl, Dale O., 1996. "Oligopolistic pricing with heterogeneous consumer search," International Journal of Industrial Organization, Elsevier, vol. 14(2), pages 243-268.
    2. West, Douglas S, 1992. "An Empirical Analysis of Retail Chains and Shopping Center Similarity," Journal of Industrial Economics, Wiley Blackwell, vol. 40(2), pages 201-221, June.
    3. Rafael Rob, 1985. "Equilibrium Price Distributions," Review of Economic Studies, Oxford University Press, vol. 52(3), pages 487-504.
    4. Stiglitz, Joseph E, 1987. "Competition and the Number of Firms in a Market: Are Duopolies More Competitive than Atomistic Markets?," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1041-1061, October.
    5. Stahl, Dale O, II, 1989. "Oligopolistic Pricing with Sequential Consumer Search," American Economic Review, American Economic Association, vol. 79(4), pages 700-712, September.
    6. Prentice, David & Sibly, Hugh, 1996. "A Search-Theoretic Interpretation of Multi-outlet Retailers," The Economic Record, The Economic Society of Australia, vol. 72(219), pages 359-369, December.
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