Modelling Inflation in Australia

Gordon de Brouwer · Neil R. Ericsson

37 citations0/0 files storedInternational Finance Discussion Paper

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Monetary Policy and Economic Impact Economics of Agriculture and Food Markets Market Dynamics and Volatility

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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References

1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1978Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1992THE POWER OF COINTEGRATION TESTS 1992Cointegration in partial systems and the efficiency of single-equation analysis 1986EXPLORING EQUILIBRIUM RELATIONSHIPS IN ECONOMETRICS THROUGH STATIC MODELS: SOME MONTE CARLO EVIDENCE*1986Econometric Evaluation of Linear Macro-Economic Models

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