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The information content of the Reserve Bank of Australia's inflation forecasts

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Abstract:

In this article, the inflation forecasts produced by the Reserve Bank of Australia (RBA) and that generated by private forecasters, are used to assess whether the Reserve Bank possesses information about inflation that the private sector does not have. The results show that the Reserve Bank inflation forecasts embody useful predictive information about inflation, beyond that contained in private forecasts, over the recent inflation targeting period.

Keywords: E31; E37: E58; asymmetric information hypothesis; encompassing tests; forecasting; inflation

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036846.2011.608646

Affiliations: School of Economics, Finance and Marketing, RMIT University, Building 108, Level 12239 Bourke StMelbourne 3001, Australia

Publication date: February 1, 2013

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