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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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Robustness Checks
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 5. ... Figures F1–F6 contain these results. Again, the estimates of real and nominal interest rates and risk premia are
https://www.rba.gov.au/publications/rdp/2018/2018-02/robustness-checks.html
Appendix D: Descriptive Statistics
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 D: Descriptive Statistics. ... 180. Nominal. Mean (ppt). 4.75. 4.80. 4.85. 4.91. 5.06. 5.20. 5.32.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-d.html
Conclusion
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 6. ... The model suggests that expected real rates a number of years in the future, a market-based measure of the neutral real
https://www.rba.gov.au/publications/rdp/2018/2018-02/conclusion.html
Appendix B: The JSZ Normalisation
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 B: The JSZ Normalisation. ... as desired. The survey data are assumed to be noisy observations on the true underlying
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-b.html
Appendix A: The Affine Term Structure 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 A: The Affine Term Structure Model. ... where r. t. is the nominal short rate (Harrison and Kreps 1979).
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-a.html
References
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 References. ... McCririck R and D Rees (2017), ‘The Neutral Interest Rate’, RBA Bulletin, September, pp 9–18.
https://www.rba.gov.au/publications/rdp/2018/2018-02/references.html
Read Me File for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in…
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. ... Nominal zero-coupon bond yield data – ‘Some yields m.csv’:. Nominal zero-coupon yield
https://www.rba.gov.au/publications/rdp/2018/2018-02/read-me.html
Supplementary information for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest…
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/supplementary-information.html