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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 B: The JSZ Normalisation
27 Feb 2018
RDP
2018-02
as desired. The survey data are assumed to be noisy observations on the true underlying expectations for short-term interest rates or the inflation rate. ... But in fact, since expectations of short-term interest rates and the inflation rate depend on
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-b.html
References
27 Feb 2018
RDP
2018-02
Duffie D and R Kan (1996), ‘A Yield-Factor Model of Interest Rates’, Mathematical Finance, 6(4), pp 379–406. ... 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
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
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
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
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
1 Feb 2018
RDP
2018-02
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
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