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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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Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
27 Feb 2018
RDP
2018-02
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 E: Estimated Forward Rates for Reduced Sample
27 Feb 2018
RDP
2018-02
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
Appendix F: Estimated Forward Rates for the Unfiltered Model
27 Feb 2018
RDP
2018-02
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
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
Appendix C: Estimating the Real Zero-coupon Yield Curve
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 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
Introduction
27 Feb 2018
RDP
2018-02
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
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
Results
27 Feb 2018
RDP
2018-02
where. is the expected real short-term interest rate and. is the real term premium. ... As these reflect expectations of real short-term interest rates in the relatively distant future, they can be interpreted as market measures of the neutral real
https://www.rba.gov.au/publications/rdp/2018/2018-02/results.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
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