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