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A note on the stability of real interest rates in Australia


Felmingham, BS and Mansfield, P, A note on the stability of real interest rates in Australia, International Review of Economics & Finance, 12, (4) pp. 517-524. ISSN 1059-0560 (2003) [Refereed Article]

DOI: doi:10.1016/S1059-0560(03)00015-7


The stability (stationarity) of real interest rates and surveys of expected inflation in Australia is analyzed over the period 1993(10) to 2001(10). We find that the real yields on Australian 2-, 5-, and 10-year bonds are stationary in levels whereas the real overnight cash and the bank-accepted bills (BABs) 90-day real rates are stationary subject to structural breaks occurring in September 1994 and October 1994, respectively. These breaks were identified by applying tests proposed by Nunes et al. [Oxf. Bull. Econ. Stat. 59 (1997) 435]. An application of the Nunes test to the surveyed expected inflation series points to a structural break in this series in January 1998.Our results indicate that while real long-term bond yields in Australia are relatively stable, short-term yields and expected inflation are susceptible to domestic policy changes and international influences.

Item Details

Item Type:Refereed Article
Research Division:Economics
Research Group:Applied economics
Research Field:Financial economics
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Macroeconomics not elsewhere classified
UTAS Author:Felmingham, BS (Dr Bruce Felmingham)
ID Code:28378
Year Published:2003
Deposited By:Economics and Finance
Deposited On:2003-08-01
Last Modified:2010-06-18

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