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Appendix 1: Data Definitions
1 Nov 1995
RDP
9510
RDP 9510: Modelling Inflation in Australia Appendix 1: Data Definitions. Gordon de Brouwer and Neil R. Ericsson. November 1995. Download the Paper 264. KB. This appendix describes the data. Sections 1–7 list the definitions of the data and give
https://www.rba.gov.au/publications/rdp/1995/9510/appendix-1.html
The Model's Properties
1 Nov 1995
RDP
9510
For Australia with this data, p, ulc, ip, and pet appear to be I(1) empirically. ... One quarter later, the CPI increases by 0.394%, noting that the coefficient on ip.
https://www.rba.gov.au/publications/rdp/1995/9510/models-properties.html
The Data
1 Nov 1995
RDP
9510
real tariff-adjusted import prices ip – p (). Figure 9: Real petrol prices pet – p (—). One more series is of interest, private final demand (Y). ... To portray clearly the relative movements of ulc – p and ip – p in Figure 8, the mean of ip
https://www.rba.gov.au/publications/rdp/1995/9510/data.html
Appendix 2: Design of the Empirical ECM
1 Nov 1995
RDP
9510
0.022. (0.042). p. ti. 0.098. (0.034). ulc. ti. 0.051. (0.028). ip. ... 0.0404. (0.0143). ip. ti. 0.0417. (0.0055). pet. ti. 0.0072. (0.0030). 0.0641.
https://www.rba.gov.au/publications/rdp/1995/9510/appendix-2.html
Integration and Cointegration
1 Nov 1995
RDP
9510
47.2. 29.7. 15.4. 3.8. Standardized eigenvectors β′. Variable. p. ulc. ip. ... Variable. p. ulc. ip. pet. χ. 2. (1). 25.4. 7.3. 29.2.
https://www.rba.gov.au/publications/rdp/1995/9510/integration-and-cointegration.html
A Conceptual Framework
1 Nov 1995
RDP
9510
The elasticities of the consumer price index with respect to ULC, IP, and PET are γ, δ, and κ, respectively, each of which is hypothesized to be greater than or equal ... Juselius (1992) and Metin (1994). Additionally, through the term (ip – p), (4)
https://www.rba.gov.au/publications/rdp/1995/9510/conceptual-framework.html
Encompassing and Forecasting
1 Nov 1995
RDP
9510
Full testing of such a proposition turns on demonstrating that the equations for ulc, ip, and pet in the VAR are nonconstant. ... Empirically, the equation for ip appears nonconstant, and possibly those for ulc and pet as well.
https://www.rba.gov.au/publications/rdp/1995/9510/encompassing-and-forecasting.html
A Single Equation Model of Inflation
1 Nov 1995
RDP
9510
p, ulc, ip, and pet is a natural starting point for single equation modelling. ... That leaves (11) with the constant a. 0. and the levels p, ulc, ip, and pet.
https://www.rba.gov.au/publications/rdp/1995/9510/single-equation-model-of-inflation.html