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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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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
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. ... 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

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

Robustness Checks

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 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

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

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
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/supplementary-information.html

Appendix D: Descriptive Statistics

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 D: Descriptive Statistics.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-d.html

Appendix A: The Affine Term Structure 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 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

Appendix B: The JSZ Normalisation

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
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