A Comparison of Australian Inflation Forecasts

Param Silvapulle and Ramya Hewarathna
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Param Silvapulle: School of Economics, La Trobe University
Ramya Hewarathna: School of Economics, La Trobe University

No 1997.23, Working Papers from School of Economics, La Trobe University

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.

Keywords: Inflation; Time Series; Models; Interest Rate (search for similar items in EconPapers)
Pages: 28 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:trb:wpaper:1997.23

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