Download or read book The Dynamics of the Australian Short Term Interest Rate written by Tim Brailsford and published by . This book was released on 1998 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines various models of the short-term interest rate in Australia. The analysis centres on three classes of models employing a comprehensive data set. First, the generalised diffusion model of Chan et al (1992) is examined which allows the variance to be a function of interest rate levels. This model nests a number of the early term structure models. We find initial support for the generalised model. Second, we examine models which incorporate time-varying volatility dynamics. Third, a class of models which incorporate both time-varying volatility and the levels model is analysed. We extend this model by allowing for an additional asymmetric reaction to news resulting in a threshold-type model. The paper examines each of the models and then proposes and performs prediction tests which allow different classes of model to be benchmarked. The second and third class of models appear to produce the most accurate estimates. The results indicate a number of important differences between the Australian market and overseas markets. We also find the results to be generally robust to various refinements in method.

Download or read book Term Structure Modelling and the Dynamics of Australian Interest Rates written by Peter Thomas O\U+2019\Brien and published by . This book was released on 2006 with total page 722 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating One factor Models of Short term Interest Rates written by Desmond John Mc Manus and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considers a wide range of several continuous-time one-factor models for short-term interest rates that are nested into one general model.

Download or read book International Linkages and Macroeconomic News Effects on Interest Rate Volatility written by Suk-Joong Kim and published by . This book was released on 1998 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book APAIS 1999 Australian public affairs information service written by and published by National Library Australia. This book was released on with total page 1220 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book News and the Short run Determination of Australian Exchange Rates and Interest Rates written by Ronald Bewley and published by . This book was released on 1988 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Do Movements in the Forward Discount on the Australian Dollar Predict Movements in Domestic Interest Rates written by Costas I. Karfakis and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Expectations Theory of the Term Structure and Short term Interest Rates in Australia written by Warren J. Tease and published by . This book was released on 1986 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamics of Financial Stress and Economic Performance written by Ramesh Babu Thimmaraya and published by Emerald Group Publishing. This book was released on 2018-09-28 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book primarily focuses on the dynamic relationship between the financial and the economic systems of twelve major economies in the world.

Download or read book The Impact of Macro economic Information on Australian Short term Interest Rates written by Shane Norman Lee and published by . This book was released on 1997 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Treasury Note and Bank Bill Rates the Risk Premium and Australian Monetary Policy written by C. Karfakis and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Studies in Money and Credit written by Reserve Bank of Australia. Research Department and published by . This book was released on 1989 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Expectations Theory of the Term Structure and Short term Interest Rates in Australia written by Warren J. Tease (Economiste.) and published by . This book was released on 1986 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Term Structure of Interest Rates in a Simple Stochastic Growth Model written by David Kim and published by . This book was released on 1998 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Document de Travail written by and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Expectations of Inflation and Short term Interest Rates in Australia 1968 1 1979 2 written by Paul Anthony Volker and published by . This book was released on 1982 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Banking Stock Returns and Their Relationship to Interest Rates and Exchange Rates written by John L. Simpson and published by . This book was released on 2010 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Banks in Australia, as agents of the Central Bank, are key players in the implementation of exchange rate and monetary policies. The purpose of this study is to examine dynamic interactions among, and the long-term equilibrium relationships between, bank stock returns and the key macroeconomic and monetary policy variables in interest rates and exchange rates. The concern is whether or not current economic indicators, as reflected in interest rates and exchange rates, can explain banking stock market returns or vice versa. The statistical models used include regression models, cointegration tests and Granger causality tests from vector autoregressive models. The study finds no evidence that Australia's bank stock market returns form a cointegrating relationship with short- and long-term interest rates and exchange rates over the period of study and thus conclusions may not be drawn relating to long-term rational expectations in the Australian banking market. Evidence is presented that causality runs from bank stock returns to interest rates and exchange rates. This indicates that Australian monetary authorities, over the past decade, appear to have placed strong reliance on the health and performance of the banking and financial sector as they formulate monetary and exchange rate policy settings.