Financial Aggregates As Conditioning Information For Australian Output And Inflation PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Financial Aggregates As Conditioning Information For Australian Output And Inflation PDF full book. Access full book title Financial Aggregates As Conditioning Information For Australian Output And Inflation.
Author | : Ellis William Tallman |
Publisher | : |
Total Pages | : 52 |
Release | : 1997 |
Genre | : Australia |
ISBN | : |
Download Financial Aggregates as Conditioning Information for Australian Output and Inflation Book in PDF, ePub and Kindle
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates future information on credit growth helps improve the prediction accuracy of real output growth. The improvement is most noticeable during the early 1990s recession. Second, we test whether the financial aggregates are important explanators within single-equation models that are more rigorously fitted to the data. We find only one instance in which an aggregate helps explain the variation in either real output growth or inflation that is, the growth in credit helps explain the growth in real output in a particular specification of the output model. This finding, though, is sensitive to the choice of foreign output proxy. In sum, we conclude that while credit may have some useful information in times of financial restructuring it is unlikely that there is information in financial aggregates that is exploitable systematically for predicting either real output growth or inflation.
Author | : Ellis William Tallman |
Publisher | : |
Total Pages | : 56 |
Release | : 1996 |
Genre | : Australia |
ISBN | : |
Download The Information Content of Financial Aggregates in Australia Book in PDF, ePub and Kindle
This paper examines the information provided by financial aggregates as predictors of real output and inflation. We employ vector autoregression (VAR) techniques to summarise the information in the data, providing evidence on the incremental forecasting value of financial aggregates in a range of forecasting systems for these variables. The in-sample results suggest significant predictive power in only a small number of cases. We then test the forecast performance of the VAR systems for two years out-of-sample in order to mimic more closely the real-time forecasting problem faced by policymakers. Overall, both in-sample and out-of-sample results suggest no robust finding of exploitable information for forecasting purposes in any of the financial aggregates under examination. There is some evidence that the aggregates yield improved forecasts late in the sample period, but there is insufficient subsequent data to draw robust conclusions from this.
Author | : Clark A. Burdick |
Publisher | : |
Total Pages | : 56 |
Release | : 1997 |
Genre | : Inflation (Finance) |
ISBN | : |
Download A Transitional Analysis of the Welfare Cost of Inflation Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 456 |
Release | : 1998 |
Genre | : Australia |
ISBN | : |
Download Economic Papers Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 76 |
Release | : 1997 |
Genre | : Business |
ISBN | : |
Download The Fed in Print Book in PDF, ePub and Kindle
Author | : Federal Reserve Bank of Atlanta |
Publisher | : |
Total Pages | : 288 |
Release | : 1997 |
Genre | : Banks and banking |
ISBN | : |
Download Economic Review Book in PDF, ePub and Kindle
Author | : Daniel F. Waggoner |
Publisher | : |
Total Pages | : 34 |
Release | : 1997 |
Genre | : Mathematical statistics |
ISBN | : |
Download Normalization, Probability Distribution, and Impulse Responses Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 700 |
Release | : 1998 |
Genre | : Australia |
ISBN | : |
Download Bulletin Book in PDF, ePub and Kindle
Author | : Palle Schelde Andersen |
Publisher | : |
Total Pages | : 64 |
Release | : 1997 |
Genre | : Capital market |
ISBN | : |
Download Forecast Errors and Financial Developments Book in PDF, ePub and Kindle
Author | : Peter R. Hartley |
Publisher | : |
Total Pages | : 52 |
Release | : 1997 |
Genre | : Business cycles |
ISBN | : |
Download Macroeconomic Fluctuations in Europe Book in PDF, ePub and Kindle