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. …

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 …

This paper estimates a range of single-equation models of inflation for Australia. We find that traditional models …-Keynesian Phillips curve (NKPC) in explaining trimmed mean inflation, both in terms of in-sample fit and significance of coefficients … including a direct measure of inflation expectations, but we still find that the unemployment rate or growth in marginal costs …

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 …