RBA Annual Conference – 2009 Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy
| Variable | Mean: Full 1990–2008 |
Mean: 2001–2008 |
Mean: 1999–2008 |
MIN: Full | MAX: Full | ||
|---|---|---|---|---|---|---|---|
| Dependent variable: Mean fdit | at = α0 + α1f1,t–1 + et|t–1 | f1,t–1 | |||||
| Brent | −0.05 (0.07) | −0.37 (0.10)* | −0.12 (0.07)* | −0.16 (0.13) | 0.02 (0.10) | ||
| Non-fuel | 0.21 (0.22) | 0.20 (0.27) | −0.28 (0.26) | −0.06 (0.43) | 0.23 (0.10) | ||
| Housing | 0.01 (0.01) | 0.01 (0.005) | 0.01 (0.004)* | 0.01 (0.01) | 0.005 (0.008) | ||
| Equities | −0.001 (0.001) | −0.001 (0.001) | −0.001 (0.0008)* | −0.001 (0.002) | −0.0004 (0.001) | ||
| Δ fdit–1*H | −0.30 (0.06)* | −0.06 (0.09) | 0.03 (0.08) | 0.11 (0.11) | −0.31 (0.09)* | ||
| Δ fdit–1*(1 – H) | −0.05 (0.05) | −0.05 (0.10) | −0.01 (0.08) | −0.05 (0.10) | 0.02 (0.07) | ||
| KURT | −0.01 (0.01) | −0.01 (0.008)* | −0.01 (0.007)* | −0.20 (0.02)* | −0.006 (0.01) | ||
| DIS | −0.02 (0.01)* | −0.12 (0.04)* | −0.07 (0.02)* | −0.05 (0.02)* | −0.02 (0.01)* | ||
| ITDUR | 0.003 (0.001)* | 0.007 (0.002) | 0.007 (0.002)* | 0.01 (0.002)* | 0.004 (0.002)* | ||
| IT | −0.07 (0.05) | na | na | −0.17 (0.10)* | −0.17 (0.08)* | ||
| fdit–1 | 0.82 (0.03)* | 0.60 (0.07)* | 0.66 (0.05)* | 0.59 (0.03)* | 0.75 (0.03)* | ||
| Inflation – news | −0.01 (0.01) | ||||||
| Interest rate – news | 0.004 (0.004) | ||||||
| Recession – news | 0.02 (0.003) | ||||||
| US dollar – news | −0.04 (0.02) | ||||||
| Constant | −0.05 (0.05) | −0.02 (0.13) | −0.14 (0.10)* | −0.13 (0.10) | 0.10 (0.10)* | ||
| at+1 – f1|t | 0.91 | 0.95 | 0.95 | 0.80 | 0.87 | ||
| Notes: Variables are defined in the text. Cross-section fixed effects are not shown. * indicates statistical significance at least at the 10 per cent level. OLS estimation is used. Standard errors are shown in parentheses. H is the Heaviside indicator used to discriminate between positive (H) and negative (1–H) changes in fd. | |||||||