|Title:||Treasury Note and Bank Bill Rates, the Risk Premium and Australian Monetary Policy|
|Publisher:||Department of Economics|
|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.|
|Type of Work:||Working Paper|
|Appears in Collections:||Working Papers - Economics|
|ECON 1995-215.pdf||6.29 MB||Adobe PDF|
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