Search: Nominal interest rate
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RBA Glossary definition for Nominal interest rate
Nominal interest rate – The nominal interest rate refers to the cost of borrowing money before adjustment for inflation i.e. it includes compensation for the expected erosion of the value of the borrowed funds due to inflation. It is the cost visible to the borrower, and is composed of the real interest rate plus inflation.
RBA Glossary definition for interest rate
interest rate – The term used to describe the cost of borrowing money or the return to the owner of the funds which are invested or lent out. It is usually expressed as a percent per annum of the amount of money borrowed, lent or invested.
Search Results
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
27 Feb 2018
RDP
2018-02
financial markets, inflation, interest rates, modelling, money. We outline a ‘workhorse’ affine term structure model of nominal and real interest rates in Australia. ... The model allows us to decompose observed yields paid on nominal and
https://www.rba.gov.au/publications/rdp/2018/2018-02.html
The Model
27 Feb 2018
RDP
2018-02
Considering first an ATSM of nominal interest rates, we assume that the one-period nominal interest rate (r. ... and, similar to the one-period nominal interest rate, assume it to be linear in the factors.
https://www.rba.gov.au/publications/rdp/2018/2018-02/the-model.html
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
1 Feb 2018
RDP
2018-02
Expectations of nominal interest rates provide information about the expected path of monetary policy. ... Considering first an ATSM of nominal interest rates, we assume that the one-period nominal interest rate (r.
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html
Appendix F: Estimated Forward Rates for the Unfiltered Model
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix F: Estimated Forward Rates for the Unfiltered Model. ... Download the Paper 1,673. KB. Figure F1: Expected Future
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-f.html
Results
27 Feb 2018
RDP
2018-02
Focusing first on the parameters that drive the short-term nominal interest rate and inflation rate expressed under the standard representation (i.e. ... Figure 3: Decomposition of Nominal Forward Rates. Five-year-ahead. Figure 4: Expected Future Nominal
https://www.rba.gov.au/publications/rdp/2018/2018-02/results.html
Appendix E: Estimated Forward Rates for Reduced Sample
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix E: Estimated Forward Rates for Reduced Sample. ... Download the Paper 1,673. KB. Figure E1: Expected Future Nominal
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-e.html
Introduction
27 Feb 2018
RDP
2018-02
Download the Paper 1,673. KB. Expectations of future nominal and real interest rates and inflation are crucial economic quantities. ... Expectations of nominal interest rates provide information about the expected path of monetary policy.
https://www.rba.gov.au/publications/rdp/2018/2018-02/introduction.html
Data and Estimation
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia 3. ... Consistent with Abrahams et al (2016) we use the first K principal components from a panel of nominal interest rates.
https://www.rba.gov.au/publications/rdp/2018/2018-02/data-and-estimation.html
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
1 Feb 2018
RDP
2018-02
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia.
https://www.rba.gov.au/publications/rdp/2018/2018-02/sections.html
Appendix C: Estimating the Real Zero-coupon Yield Curve
27 Feb 2018
RDP
2018-02
RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix C: Estimating the Real Zero-coupon Yield Curve. ... We then calculate what forward rate is required to price the next
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-c.html