Please use this identifier to cite or link to this item:
http://hdl.handle.net/2123/7466
|
| Title: | Treasury Note and Bank Bill Rates, the Risk Premium and Australian Monetary Policy |
| Authors: | Karfakis, C. Phipps, A.J. Economics |
| Issue Date: | Feb-1995 |
| Publisher: | Department of Economics |
| Series/Report no.: | 215 |
| Abstract: | This paper examines a link in the Australian monetary transmission mechanism based on the risk structure of certain interest rates. The bank-accepted bill and Treasury note rates cointegrate, and formal tests indicate that the risk premium was stationary after, but nonstationary before, the end of 1990. Well-defined and stable error-correction mechanisms also exist since December 1990, whereas prior to that they were unstable. These changes probably indicate a reduction in uncertainty and instability associated with the conduct of monetary-policy. The evidence also indicates that, since December 1990, the Reserve Back has been able to influence the bill rate by targeting the note rate. |
| URI: | http://hdl.handle.net/2123/7466 |
| ISBN: | 0867588756 |
| Department/Unit/Centre: | Economics |
| Appears in Collections: | Working Papers - Economics |
Files in This Item:
|
Items in Sydney eScholarship Repository are protected by copyright, with all rights reserved, unless otherwise indicated.