Please use this identifier to cite or link to this item:
|Title:||The Information Content of the Yield Curve in Australia|
|Publisher:||Department of Economics|
|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.|
|Type of Work:||Working Paper|
|Appears in Collections:||Working Papers - Economics|
This work is protected by Copyright. All rights reserved. Access to this work is provided for the purposes of personal research and study. Except where permitted under the Copyright Act 1968, this work must not be copied or communicated to others without the express permission of the copyright owner. Use the persistent URI in this record to enable others to access this work.
|ECON 1993-185.pdf||6.37 MB||Adobe PDF||View/Open|
Items in Sydney eScholarship Repository are protected by copyright, with all rights reserved, unless otherwise indicated.