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