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Working Paper
The information content of financial aggregates in Australia
This paper examines whether financial aggregates provide information useful for predicting the subsequent behavior of real output and inflation. We employ vector autoregression (VAR) techniques to summarize the information in the data, providing evidence on the incremental forecasting value of financial aggregates for forecasting real output and inflation. The in-sample results suggest that there are only a few situations in which knowledge of the aggregates helps forecast real output and inflation. 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. We compare the out-of-sample forecast accuracy of VAR systems including a financial aggregate with the corresponding system excluding the financial aggregate. Overall, both in-sample and out-of-sample results suggest no robust finding of exploitable information that is useful for policymakers in any of the financial aggregates under examination.
AUTHORS: Tallman, Ellis W.; Chandra, Naveen
DATE: 1996
Working Paper
Financial aggregates as conditioning information for Australian output and inflation
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.
AUTHORS: Tallman, Ellis W.; Chandra, Naveen
DATE: 1997
Conference Paper
Development and use of macroeconometric models in the Reserve Bank of Australia
AUTHORS: Henderson, James F.
DATE: 1975
Conference Paper
Capital mobility and monetary policy: Australia, Japan, and New Zealand
AUTHORS: Coats, Warren L.
DATE: 1987
Conference Paper
Australia's minerals production and trade: case study of a resource- rich developed country
AUTHORS: Smith, Ben
DATE: 1977
Conference Paper
Financial reform: the Australian experience
AUTHORS: Phillips, M. John
DATE: 1984-12
Conference Paper
Financial reform in Australia
AUTHORS: Carron, Andrew S.
DATE: 1984-12
Conference Paper
Officially floating, implicitly targeted exchange rates: examples from the Pacific Basin
AUTHORS: Lowell, Julia; Popper, Helen
DATE: 1992
Working Paper
Australian banking risk: evidence from share prices
We use share price data to calculate bank asset volatilities, market capital-asset ratios, and the public-sector depositor protection liability for Australia. The results show that the average capital ratio for the Australian banking sector has risen over the past decade, while the riskiness of bank assets has increased slightly. An examination of the relationship between asset volatility and bank capital implies that riskier banks have tended to maintain higher capital ratios, with a similar positive relationship between the two variables over time at individual banks. We find that the economic value of Australian depositor protection is extremely small.
AUTHORS: Gizycki, Marianne; Levonian, Mark E.
DATE: 1994
Journal Article
Ups and downs, down under
AUTHORS: Sargen, Nicholas
DATE: 1976