the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the …, exponentially weighted averages of historical variances and generalised autoregressive conditional heteroskedasticity (GARCH). We … conclude that simple models perform as well as their more sophisticated GARCH counterparts. …

information about inflation expectations – that survey measures of expectations are inconsistent with rational expectations, but … less so for financial markets than households; that actual and expected inflation interact with each other; and that the … foreign exchange market anticipates tighter monetary policy when inflation is higher than expected. The second half of the …

This paper examines the effect of inflation on productivity growth in Australia. Broad historical correlations suggest … a negative relationship between inflation and aggregate productivity growth. The low-frequency nature of the … significant results with industry-level inflation explaining industry productivity. We also find that the relationship varies by …

Ball and Sheridan (forthcoming) show that OECD countries with a history of high inflation before the 1990s have … subsequently experienced a larger degree of disinflation than countries with a history of low inflation. They label this process … ‘regression to the mean’, and argue that it explains why those OECD countries which adopted inflation targeting experienced larger …

. These include the distinction between the short and long-run trade-offs between inflation and unemployment, and the changing … level of the non-accelerating inflation rate of unemployment (NAIRU), particularly in the 1970s. We estimate Phillips curves … discussion of the changing role of the Phillips curve in the intellectual framework used to analyse inflation within the Reserve …

favour of the SIPC over the low-inflation period. Parameter estimates are sensitive to inflation measures and sample periods … the fact that inflation has become difficult to model since the introduction of inflation targeting. Over sample periods …