RDP 9204: The Term Structure of Interest Rates, Real Activity and Inflation Appendix 1: Data

1. Interest Rates

All interest rates are from the Reserve Bank of Australia Bulletin database. The 2, 5 and 10 year Treasury bond rates are from Table F.2. and are assessed secondary market yields as at the last day of the month. The overnight cash rate (that is the “Authorised dealers: weighted average rate”) and the 90 and 180 day bill rates are from Table F.1. In the inflation change regressions, the three end-month interest rates are averaged for the quarter while, in the activity regressions, the interest rate at time t is used.

2. Activity Variables

Data on automobile registrations, the number of dwelling approvals and the Melbourne Institute Production Index (all groups) are from Table G.1. of the Reserve Bank of Australia Bulletin. Real seasonally adjusted GDP, consumption and investment data are taken from the DX database.

3. Inflation

Inflation rates are calculated as percentage changes in the CPI (adjusted for Medicare changes). The CPI is taken from the Reserve Bank of Australia Database.