Search: Nominal interest rate

Sort by: Relevance Date
1–10 of 18 collapsed search results for Nominal interest rate
Did you mean official interest rates?

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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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
Jonathan Hambur and Richard Finlay
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