Longitudinal study of Consumer Price Index (CPI) trends in core and non-core foods in Australia

Objective: This study examined trends in the price of healthy and less-healthy foods from 1989 to 2007 using the Australian Consumer Price Index (CPI).

Methods: CPI food expenditure classes were classified as 'core' or 'non-core'. Trends in the CPI were analysed to examine the rise in prices of core compared with non-core foods.

Results: On average, the CPI for core foods has risen at a slightly higher, though not statistically significant, rate than non-core foods. Furthermore, selected groupings reveal interesting patterns. 'Bread' has risen in price significantly more than 'cakes and biscuits', and 'milk' has risen in price significantly more than 'soft drinks, waters and juices'.

Conclusions and implications: This investigation of food price trends reveals notable differences between core and non-core foods. This should be investigated further to determine the extent to which this contributes to the higher prevalence of diet-related diseases in low socio-economic groups.

Understanding the oil price-exchange rate nexus for the Fiji Islands

In this paper, we examine the relationship between oil price and the Fiji–US exchange rate using daily data for the period 2000–2006. We use the generalised autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models to estimate the impact of oil price on the nominal exchange rate. We find that a rise in oil prices leads to an appreciation of the Fijian dollar vis-à-vis the US dollar.

Identifying house price diffusion patterns among Australian state capital cities

Prior research supports the proposition that house price diffusion shows a ripple effect along the spatial dimension. That is, house price changes in one region would reflect in subsequent house price changes in other regions, showing certain linkages among regions. Using the vector autoregression model and the impulse response function, this study investigates house price diffusion among Australia's state capital cities, examining the response of one market to the innovation of other markets and determining the lagged terms for the maximum absolute value of the other markets' responses. The results show that the most important subnational markets in Australia do not point to Sydney, rather towards Canberra and Hobart, while the Darwin market plays a role of buffer. The safest markets are Sydney and Melbourne. This study helps to predict house price movement trends in eight capital cities.

Are nominal exchange rates and price levels co-integrated? new evidence from threshold autoregressive and momentum-threshold autoregressive models

The goal of this paper is to examine evidence for co-integration between nominal exchange rates for Canada, the UK, Japan, Germany, Italy and France (G6) vis-à-vis the US dollar, and the relative price ratios using monthly data over the period 1973:01 to 1997:04. Motivated by the fact that exchange rate adjustment may be asymmetric, we allowed for asymmetric adjustment in exchange rates by using the threshold autoregressive model and the momentum threshold autoregressive model. We do not find any evidence of a co-integrating relationship; hence, we fail to establish long-run purchasing power parity.

Forecasting stock index volatility : comparing implied volatility and the intraday high-low price range

The intraday high–low price range offers volatility forecasts similarly efficient to high-quality implied volatility indexes published by the Chicago Board Options Exchange (CBOE) for four stock market indexes: S&P 500, S&P 100, NASDAQ 100, and Dow Jones Industrials. Examination of in-sample and out-of-sample volatility forecasts reveals that neither implied volatility nor intraday high–low range volatility consistently outperforms the other.

Fowl play and the price of petrel: long-living Procellariiformes have peroxidation-resistant membrane composition compared with short-living Galliformes

The membrane pacemaker hypothesis predicts that long-living species will have more peroxidation-resistant membrane lipids than shorter living species. We tested this hypothesis by comparing the fatty acid composition of heart phospholipids from long-living Procellariiformes (petrels and albatrosses) to those of shorter living Galliformes (fowl). The seabirds were obtained from by-catch of commercial fishing operations and the fowl values from published data. The 3.8-fold greater predicted longevity of the seabirds was associated with elevated content of peroxidation-resistant monounsaturates and reduced content of peroxidation-prone polyunsaturates and, consequently, a significantly reduced peroxidation index in heart membrane lipids, compared with fowl. Peroxidation-resistant membrane composition may be an important physiological trait for longevous species.

A model of price discovery and market design : theory and empirical evidence

An essential function of derivative markets is price discovery. A model is proposed to incorporate a comprehensive dynamic interaction between price size coordinates of orders and trades. An example of application of the model and its effect on price discovery is discussed.