Please use this identifier to cite or link to this item: http://hdl.handle.net/2123/7411

Title: The Information Content of the Yield Curve in Australia
Authors: Karfakis, C.I.
Moschos, D.M.
Economics
Issue Date: Apr-1993
Publisher: Department of Economics
Series/Report no.: 185
Abstract: This paper examines the expectation theory of the term structure of interest rates in Australia by looking at the information content of the yield curve. Cointegration results provide evidence that the slope coefficient of the yield curve is unity. Bivariate vector autoregressive analysis (VAR) indicates that the spread between the long term and the short term rates is informative about changes in the short rate. In addition, the spread between the short term rate and the official cash rate has predictive power for changes in the cash rate. These findings imply that the Reserve Bank of Australia could influence the long term rate by intervening on the official cash rate. Finally, the efficient market restrictions were tested and accepted by the data.
URI: http://hdl.handle.net/2123/7411
ISBN: 0867587695
Department/Unit/Centre: Economics
Appears in Collections:Working Papers - Economics

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