This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite...

This paper implements a procedure to evaluate time-varying bank interest rate adjustments over a sample period which includes changes in industry structure, market and credit conditions and varying episodes of monetary policy. The model draws attention to the pivotal role of official rates and...

This paper investigates the forecasting performance of the diffusion index approach for the Australian economy, and considers the forecasting performance of the diffusion index approach relative to composite forecasts. Weighted and unweighted factor forecasts are benchmarked against composite...

A model incorporating common Markovian regimes and GARCH residuals in a persistent factor environment is considered. Given the intractable and approximate nature of the likelihood function, a Metropolis-in-Gibbs sampler with Bayesian features is constructed for estimation purposes. The common...

This paper examines whether the disaggregation of consumer sentiment data into its sub-components improves the real-time capacity to forecast GDP and consumption. A Bayesian error correction approach augmented with the consumer sentiment index and permutations of the consumer sentiment...

A time-varying Phillips Curve was estimated as a means to examine the changing nature of the relationship between wage inflation and the unemployment rate in Australia. The implied time-varying equilibrium unemployment rate was generated and the analysis showed the important role played by...

Although existing research has examined the association between macroeconomic data and particular equity markets, little is known regarding the economic content of the latent factors common to equity markets. In this paper, several models are estimated to examine the economic composition of the...

In contrast to the existing focus on intertemporal global integration, this paper examines equity market integration from the dual perspectives of the global-regional dichotomy and the equity market regime structure. Results are obtained using an exact Kalman filter with common regimes and GARCH...