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.

Can investors hedge residential price dynamics of Australia's capital cities?

The study described in this paper focuses on testing the short-run and
long-run relationships between house price and consumer price indices in Australia’s capital cities from 1998 to 2008. The autoregressive distributed lag model is adopted to obtain the estimates of the short-run relationships, while the error correction model is used to investigate the long-run relationships. The t-statistic is used to compute the significance of these relationships. The research results give no evidence that house price indices are correlated with consumer price indices in the short run. However, the long-run relationships between house and consumer price indices exist in most of the cities.

Can consumer price index predict gold price returns?

In this paper using data for 54 countries we test whether consumer price index (CPI) predicts gold price returns. Our test for predictability is based on a recently developed flexible generalised least squares estimator, which most importantly accommodates the endogeneity of CPI, its persistency and any heteroskedasticity in the model. We find limited evidence that CPI predicts gold price returns in in-sample tests; however, out-of-sample tests reveal relatively strong evidence that CPI predicts gold returns. These results are robust to different forecasting horizons. On the whole, we discover reasonable evidence that consumer prices predict gold price returns.

Estimating impacts of consumer prices on house prices

Real estate is widely considered as a reliable hedge of inflation rate and there have been many literatures examining the inflation-hedging characteristics of the real estate.  The study described in the paper focuses on testing the significances of impacts of consumer price on house price in eight Australia's capital cities.  The Autoregressive Distributed Lag model is introduced to obtain  the estimates of the coefficient.  The significances of the impacts are defined as the accept probability of t statistics of the coefficients.  Analyses and comparisons of these significances suggested that the impacts of consumer prices on house prices depend on the inherent characteristics of cities. 

Empirical applications of economic principles in producer price index analysis

The research analyses economic linkages of producer price indices of the construction industry in Australia and relationships between construction and house prices. A range of econometric techniques are applied to analyse construction and house prices. The economic equilibrium and dynamic relationships among regional markets are investigated based on producer price index analysis.

It's the economy : the effect of macroeconomic variables of the rate of suicide

Background. There are a large number of factors mediating suicide. Many studies have searched for a direct causal relationship between economic hardship and suicide, however, findings have been varied.

Method. Suicide data was obtained from the Australian Bureau of Statistics for the period between January 1968 and August 2002. These were correlated with a suite of macroeconomic data including housing loan interest rates, unemployment rates, days lost to industrial disputes, Consumer Price Index, gross domestic product, and the Consumer Sentiment Index.

Results. A total of 51 845 males and 16 327 females committed suicide between these dates. There were significant associations between suicide rates and eleven macroeconomic indicators for both genders in at least one age range. Data was divided into male and female and five age ranges and pooled ages. Analyses were conducted on these 132 datasets resulting in 80 significant findings. The data was generally stronger for indices measuring economic performance than indices measuring consumers’ perceptions of the state of the economy. A striking difference between male and female trends was seen. Generally, male suicide rates increased with markers of economic adversity, while the opposite pattern was seen in females. There were significantly different patterns in age-stratified data, with for example higher housing loan interest rates having a positive association with suicide in younger people and a negative association in older age groups.

Conclusion. Macroeconomic trends are significantly associated with suicide. The patterns in males and females are very different, and there are further substantial age-related differences.

Do shocks to G7 stock prices have a permanent effect? : evidence from panel unit root tests with structural change

There is a plethora of studies that investigate evidence for the behaviour of stock prices using univariate techniques for unit roots. Whether or not stock prices are characterised by a unit root have implications for the efficient market hypothesis, which asserts that returns of a stock market are unpredictable from previous price changes. The extant literature has found mixed evidence on the integrational properties of stock prices. In this paper, for the first time, we provide evidence on the unit root hypothesis for G7 stock price indices using the Lagrangian multiplier panel unit root test that allows for structural breaks. Our main finding is that stock prices are stationary processes, inconsistent with the efficient market hypothesis.

Mean reversion versus random walk in G7 stock prices evidence from multiple trend break unit root tests

This paper provides evidence on the random walk hypothesis in G7 stock price indices using unit root tests which allow for one and two structural breaks in the trend. Of the seven countries we find, at best, evidence of mean reversion in the stock price index of Japan. Thus, overall, our results support the random walk hypothesis. We also consider the implications of the identified structural breaks for movement in stock prices over time. Our main conclusion from this exercise is that the second break in stock prices has had a detrimental effect on movements in stock prices in the G7 countries.

Understanding asymmetries in macroeconomic aggregates : the case of Singapore

For robust policymaking and econometric modelling, it is essential to know whether macroeconomic aggregates contain asymmetric behaviour. The aim of this note is to investigate asymmetries in Singapore's macroeconomic aggregates using the Randles et al. (1980) Triples test. We examine both deepness and steepness asymmetries, and find that for Consumer Price Index (CPI) and unemployment rate there is evidence for deepness asymmetry. On the basis of this finding, we caution policymakers.

Interdependence and dynamic linkages between the emerging stock markets of South Asia

The present article examines the dynamic linkages between the stock markets
of Bangladesh, India, Pakistan and Sri Lanka using a temporal Granger causality
approach by binding the relationship among the stock price indices within a
multivariate cointegration framework. We also examine the impulse response
functions. Our main finding is that in the long run, stock prices in Bangladesh,
India and Sri Lanka Granger-cause stock prices in Pakistan. In the short run
there is unidirectional Granger causality running from stock prices in Pakistan
to India, stock prices in Sri Lanka to India and from stock prices in Pakistan to
Sri Lanka. Bangladesh is the most exogenous of the four markets, reflecting its
small size and modest market capitalization.

Investigating relationships of construction prices in Australia using cointegration analysis

Research on construction prices is significant for contractors and traders. A comprehensive understanding of construction prices may influence crucial decisions in business operation and arbitrage activities. This study focuses on the cointegration relationships of regional construction prices in Australia by using a range of econometric techniques including the stationarity test, the Engle-Granger cointegration approach examines the long run equilibrium relationships within the regional markets, and the error correction models explore the short run disequilibrium relationships. Finds of this study reveal that the economic system in which the construction industry participants operate is characterized by a highly competitive, integrated marketplace, Especially in Melbourne and Sydney. But exclude Northern Territory and Queensland. Furthermore, the results of long term relationships estimation suggest that there are 15 pairs of regional construction prices have long term equilibrium relationships. Additionally, the causalities and diffusion among the construction price indices in six states and two territories of Australia are estimated in this study. These outcomes suggest that causal links between regions mainly exist among adjoining states.

An economic analysis of construction industries producer prices in Australia

Research on construction prices is significant for contractors and traders. A comprehensive understanding of construction prices may influence crucial decisions in business operation and arbitrage activities. This study focuses on the cointegration relationships of regional construction prices in Australia by using a range of econometric techniques including the stationarity test, the Engle-Granger cointegration approach and error correction model. The cointegration relationships amongst the regional construction prices are detected in this study. The application of the Engle-Granger cointegration approach examines the long run equilibrium relationships within the regional markets, and the error correction models explore the short run disequilibrium relationships. Results of this study suggest that the economic system in which construction industry participants operate is characterised by a highly competitive integrated marketplace. Furthermore, the causalities and diffusion patterns among the construction price indices in six states and two territories of Australia are drawn by the cointegration analysis. These outcomes reveal a pattern of diffusion paths and network linkages among the six states and two territories, and then expose the regional price linkages.

Low-frequency volatility of yen interest rate swap market in relation to macroeconomic risk

Using ‘low-frequency’ volatility extracted from aggregate volatility shocks in interest rate swap (hereafter, IRS) market, this paper investigates whether Japanese yen IRS volatility can be explained by macroeconomic risks. The analysis suggests that this low-frequency yen IRS volatility has strong and positive association with most of the macroeconomic risk proxies (e.g., volatility of consumer price index, industrial production volatility, foreign exchange volatility, slope of the term structure and money supply) with the exception of the unemployment rate, which is negatively related to IRS volatility. This finding is fairly consistent with the argument that the greater the macroeconomic risk the greater is the use of derivative instruments to hedge or speculate. The relationship between the macroeconomic risks and IRS volatility varies slightly across the different swap maturities but is robust to alternative volatility specifications. This linkage between swap market and macroeconomy has practical implications since market makers and hedgers use the swap rate as benchmark for pricing long-term interest rates, corporate bonds and various other securities.

lnvestigating spatial linkages of construction prices in Australia's regions

Linkages among different construction markets have attracted great of attention from the construction economist. With notable exceptions, most of this infestation has carried out by using input-output analysis. Interactions among regional construction markets have been discussed in few studies and none of them investigate spatial effects on the regional construction markets. This study employed spatial econometric techniques, spatial autocorrelation and convergence tests, to analysis interactions and linkages among construction price indices in Australian six states and two territories. The empirical results indicate the presence of significant positive spatial correlation between the construction prices in Australian eight construction markets and the degree of dependence decrease sufficiently quickly as the space between units increase. The results of convergence test further present evidence on "ripple effect" in the construction prices in Australian regional markets and the changes in regional construction price would positively influence neighboring states first, and then spread out into others, and then the regional prices converge and reach a long-run equilibrium in the following quarters. Urban development policymakers and construction developers could benefit from the analysis of spatial linkages in regional construction markets.