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Forecasting structural change and fat-tailed events in Australian macroeconomic variables

Cross, Jamie; Poon, Aubrey

Description

The 2007/08 Global Financial Crisis has re-stimulated interest in modeling structural changes and fat tail events. In this paper, we investigate whether incorporating time variation and fat-tails into a suit of popular univariate and multivariate Gaussian distributed models can improve the forecast performance of key Australian macroeconomic variables: real GDP growth, CPI inflation and a short-term interest rate. The forecast period is from 1992Q1 to 2014Q4, thus replicating the central banks...[Show more]

CollectionsANU Research Publications
Date published: 2016
Type: Journal article
URI: http://hdl.handle.net/1885/108647
Source: Economic Modelling
DOI: 10.1016/j.econmod.2016.04.021

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