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A Markov-Switching Model of Inflation in Australia

1 Dec 1996 RDP 9611
John Simon
Research Discussion Paper – RDP 9611 A Markov-Switching Model of Inflation in Australia. John Simon. December 1996. 77. KB. The opinions expressed in this paper are those of the author and should not be attributed to the Reserve Bank of Australia.
https://www.rba.gov.au/publications/rdp/1996/9611/

A Markov-switching Model of Inflation in Australia

1 Dec 1996 RDP 9611
John Simon
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1996/9611.html

Conclusion

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia 5. Conclusion. John Simon. December 1996. Download the Paper 77. KB. By focusing on relatively simple equations in a framework that allows regimes to change, Markov-switching models would
https://www.rba.gov.au/publications/rdp/1996/9611/conclusion.html

References

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia References. John Simon. December 1996. Download the Paper 77. KB. Ball, L. (1992), ‘Why Does High Inflation Raise Inflation Uncertainty?’, Journal of Monetary Economics, 29(3), pp.
https://www.rba.gov.au/publications/rdp/1996/9611/references.html

Introduction

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia 1. Introduction. John Simon. December 1996. Download the Paper 77. KB. Models of the inflation process typically specify inflation as a function of a wide set of macroeconomic and
https://www.rba.gov.au/publications/rdp/1996/9611/introduction.html

Appendix A: The Hamilton Filter and Maximum Likelihood Estimation

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia Appendix A: The Hamilton Filter and Maximum Likelihood Estimation. John Simon. December 1996. Download the Paper 77. KB. The estimation method used in this paper makes use of the algorithm
https://www.rba.gov.au/publications/rdp/1996/9611/appendix-a.html

Model Specification

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia 3. Model Specification. John Simon. December 1996. Download the Paper 77. KB. The starting point for the model used in this paper is a simple autoregressive model of inflation as used in
https://www.rba.gov.au/publications/rdp/1996/9611/model-specification.html

Markov-Switching Models

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia 2. Markov-Switching Models. John Simon. December 1996. Download the Paper 77. KB. There has been some debate in the literature about the correct characterisation of inflation dynamics. A
https://www.rba.gov.au/publications/rdp/1996/9611/markov-switching-models.html

Empirical Results

1 Dec 1996 RDP 9611
John Simon
RDP 9611: A Markov-Switching Model of Inflation in Australia 4. Empirical Results. John Simon. December 1996. Download the Paper 77. KB. In developing the final model reported in this paper, a number of different specifications were estimated. The
https://www.rba.gov.au/publications/rdp/1996/9611/empirical-results.html