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In 1996
  • RDP 9612: External Influences on Output: An Industry Analysis
  • RDP 9611: A Markov-Switching Model of Inflation in Australia
  • RDP 9610: Share Prices and Investment
  • RDP 9609: Australian Financial Market Volatility: An Exploration of Cross-country and Cross-market Linkages
  • RDP 9608: Modelling the Australian Exchange Rate, Long Bond Yield and Inflationary Expectations
  • RDP 9607: Towards an Understanding of Australia's Co-movement with Foreign Business Cycles
  • RDP 9606: The Information Content of Financial Aggregates in Australia
  • RDP 9605: The Evolving Structure of the Australian Financial System
  • RDP 9604: Issues in Modelling Monetary Policy
  • RDP 9603: Australia's Retirement Income System: Implications for Saving and Capital Markets
  • RDP 9602: Consumption and Liquidity Constraints in Australia and East Asia: Does Financial Integration Matter?
  • RDP 9601: Why Does the Australian Dollar Move so Closely With the Terms of Trade?

Research Discussion Paper – RDP 9611 A Markov-Switching Model of Inflation in Australia

John Simon

December 1996

  • Abstract
  • Download the Paper 77KB

Contents

  • Introduction
  • Markov-Switching Models
  • Model Specification
  • Empirical Results
  • Conclusion
  • Appendix A: The Hamilton Filter and Maximum Likelihood Estimation
  • References

The opinions expressed in this paper are those of the author and should not be attributed to the Reserve Bank of Australia. The paper has benefited from comments by Alison Tarditi.

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