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.
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Appendix A: Affine Term Structure Model
12 May 2023
RDP
2023-04
In the model the one-period nominal interest rate r. t. is given by. ... Consistent with ACM, our factors are the first K principal components from a panel of nominal interest rates.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-a.html
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
Early papers in this literature focus on a single short-term interest rate to identify shocks to current rates – Action shocks (Kuttner 2001; Gürkaynak, Sack and Swanson 2005b). ... Many papers incorporate specific interest rates, such as the cash rate
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
Read me file
12 May 2023
RDP
2023-04
Based on code for RBA statistical table F17 (Zero-coupon Interest Rates – Analytical Series) by Finlay and Olivan (2012). ... TWI – nominal trade-weighted exchange rate; end-month value of month prior to Board meeting; obtained from RBA statistical
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
References
12 May 2023
RDP
2023-04
Duffee GR (2002), ‘Term Premia and Interest Rate Forecasts in Affine Models’, The Journal of Finance, 57(1), pp 405–443. ... Hambur J and R Finlay (2018), ‘Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of
https://www.rba.gov.au/publications/rdp/2023/2023-04/references.html
The Effects of Monetary Policy Shocks
12 May 2023
RDP
2023-04
Many papers incorporate specific interest rates, such as the cash rate, or other short-term interest rates. ... The shocks are associated with an immediate increase in longer-term interest rates, but a future increase in the cash rate.
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html
Documenting Shock Measures Pre-COVID-19
12 May 2023
RDP
2023-04
form releases provide a more detailed assessment of the likely path for interest rates. ... model the future path of interest rates and premia based on data on yields.
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html