Search: interest rate

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

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. ... Nevertheless, they suggest that medium- to long-term expectations for real
https://www.rba.gov.au/publications/rdp/2018/2018-02.html

Appendix F: Estimated Forward Rates for the Unfiltered Model

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Download the Paper 1,673. KB. Figure F1: Expected Future Nominal Interest Rates. ... x-year-ahead. Figure F2: Expected Future Real Interest Rates. x-year-ahead. Figure F3: Expected Future Inflation Rates.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-f.html

Appendix E: Estimated Forward Rates for Reduced Sample

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Download the Paper 1,673. KB. Figure E1: Expected Future Nominal Interest Rates. ... x-year-ahead. Figure E2: Expected Future Real Interest Rates. x-year-ahead. Figure E3: Expected Future Inflation Rates.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-e.html

Conclusion

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 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 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

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

Introduction

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Expectations for real interest rates, particularly a long way into the future, provide information about the economy's expected potential growth rate and the neutral real interest rate: the real rate ... The results suggest that medium- to long-term
https://www.rba.gov.au/publications/rdp/2018/2018-02/introduction.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. ... The difficulty is that interest rates tend to be very persistent, and so even an apparently long sample (25 years) may only contain a small
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
Considering first an ATSM of nominal interest rates, we assume that the one-period nominal interest rate (r. ... As these reflect expectations of real short-term interest rates in the relatively distant future, they can be interpreted as market measures
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.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