Academic literature on the topic 'Interest rates – Australia – Econometric models'
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Journal articles on the topic "Interest rates – Australia – Econometric models"
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Jones, Colin, Neil Dunse, and Kevin Cutsforth. "The changing relationships between government bond yields and capitalisation rates." Journal of European Real Estate Research 8, no. 2 (August 3, 2015): 153–71. http://dx.doi.org/10.1108/jerer-05-2015-0023.
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Purpose – The purpose of this paper is to analyse the gap between government bonds (index-linked and long-dated) and real estate yields/capitalization rates over time for the UK, Australia and the USA. The global financial crisis was a sharp shock to real estate markets, and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. Design/methodology/approach – The absolute yield gap levels and their variation over time in the different countries are compared and linked to the theoretical reasons for the yield gap and, in particular, a changing real estate risk premium. Within this context, it assesses whether there have been structural breaks in long-term relationships during booms and busts based on autoregressive conditionally heteroscedastic (ARCH) models. Finally, the paper provides further insights by constructing statistical models of index-linked and long-dated yield gaps. Findings – The relationships between bond and property yields go through a traumatic time around the period of the global financial crisis. These changes are sufficiently strong to be statistically defined as “structural breaks” in the time series. The sudden switch in the yield gaps may have stimulated a greater appreciation of structural change in the property market. Research limitations/implications – The research focuses on the most transparent real estate markets in the world, but other countries with less developed markets may respond differently. Practical implications – The practical implications relate to how to value real estate yields relative to interest rates. Originality/value – This is the first paper that has compared international yield gaps over time and examined the role of the gap between index-linked government bonds and real estate yields.
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Uribe, Martín. "The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models." American Economic Journal: Macroeconomics 14, no. 3 (July 1, 2022): 133–62. http://dx.doi.org/10.1257/mac.20200060.
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This paper assesses the presence and importance of the neo-Fisher effect in postwar data. It formulates and estimates an empirical and a New Keynesian model driven by stationary and nonstationary monetary and real shocks. In accordance with conventional wisdom, temporary increases in the nominal interest rate are estimated to cause decreases in inflation and output. The main finding of the paper is that permanent monetary shocks that increase the nominal interest rate and inflation in the long run cause increases in interest rates, inflation, and output in the short run and explain about 45 percent of inflation changes. (JEL E12, E23, E31, E43, E52)
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Artamonov, N. V., D. V. Artamonov, and V. A. Artamonov. "Credit Cycles: Econometric Analysis and Evidence for Russia." MGIMO Review of International Relations, no. 2(35) (April 28, 2014): 113–22. http://dx.doi.org/10.24833/2071-8160-2014-2-35-113-122.
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One of the principal problem in contemporary macroeconomics is concerned with factors increasing or decreasing economic dynamics. The mainstream approach is based on neoclassical assumptions, but recently new approaches appear mostly based on new Keynesian concepts. In present time the influence of monetary market and credit instruments become more and more significant. Credit resources of banking and financial structures can affect and distort to reallocation of resources for national and even for global economic. In present paper an empiric and econometric analysis for some macroeconometric and monetary indices for Russian Federation is done. An econometrical models describing the influence of credit variables onto real GDP is estimated. It is shown that in short-term periods changes in credit variables do influence significantly onto GDP. It is shown that on short-term periods changes in money aggregate M2 brings influence (through credit variables) onto national output. As well it is shown that changes in short-term interest rate brings significant negative influence onto real output. Impulse response functions for GDP on shocks of credit variables, monetary base and short-term interest rate are evaluated. For the present study of credit cycles and their impact to real business cycles statistical data (quarterly time series) on the following factors for Russian Federation are collected: nominal and real GDP, monetary base M2, short-term interest rate, long-term interest rate (10-year treasuries bill rate), total debt outstanding. All time series are seasonally adjusted and collected for the period 2004 Q1 - 2013 Q2. All interest rates are adjusted for inflation (i.e. we deal with real interest rates). The investigation of long-term relationship for the factors under consideration are based on integration. It is important to note that in the present paper all econometric models are estimated on "pure" statistical data, while in many research papers on business and credit cycles all evaluations and inferences are based on "filtered" time series (mostly filtered by Hodrick-Prescott's method). In present paper "causality" always means "Granger causality". All estimations are made in gretl, an open-source multiplatform econometric software.
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Berdinazarov, Zafar, Khasanjon Dodoev, Jamshid Mamasalaev, and Jakhongirmirzo Fakhodjonov. "Determinants of Exchange Rate Fluctuations of Uzbek Sum." Business and Management Studies 5, no. 1 (March 20, 2019): 52. http://dx.doi.org/10.11114/bms.v5i1.4162.
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This paper examines the determinants of exchange rate fluctuations of Uzbek sum by using three econometric models OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and ML ARCH (Multivariate Long memory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. Also, it should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.
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Le Roux, P., and B. Ismail. "Modelling the impact of changes in the interest rates on the economy: An Austrian perspective." South African Journal of Economic and Management Sciences 7, no. 1 (July 23, 2004): 132–50. http://dx.doi.org/10.4102/sajems.v7i1.1433.
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Even though econometric models and yield curve analysis are useful in assessing the impact of interest rate changes on the economic structure, their power to predict the magnitude and direction of swings in the business cycle is often restricted to the use of short-term interest rates. From an Austrian school perspective on interest rates, empirical evidence suggests that the profitability of heavy industries further downstream outperforms that of light industries in the initial stages of monetary easing, due to a rising demand for investment goods and a rise in capacity utilisation levels. This paper assesses the impact of interest rates changes on the productive structure of the economy by taking into account the effect thereof on sector earnings and ultimately share prices.
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JIANG, Heng, and Chunlu LIU. "IDENTIFYING DETERMINANTS OF DEMAND FOR CONSTRUCTION USING AN ECONOMETRIC APPROACH." International Journal of Strategic Property Management 19, no. 4 (December 23, 2015): 346–57. http://dx.doi.org/10.3846/1648715x.2015.1072856.
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Economic variation and its effects on construction demand have received a great deal of attention in construction economics studies. An understanding of future trends in demand for construction could influence investment strategies for a variety of parties, including construction developers, suppliers, property investors and financial institutions. This paper derives the determinants of demand for construction in Australia using an econometric approach to identify and evaluate economic indicators that affect construction demand. The forecasting contribution of different determinants of economic indicators and their categories to the demand for construction are further estimated. The results of this empirical study suggest that changes in consumer's expectation, income and production, and demography and labour force are closely correlated with the movement of construction demand; and 14 economic indicators are identified as the determinants for construction demand. It was found that the changes in construction price, national income, size of population, unemployment rate, value or export, household expenditure and interest rates play key roles in explaining future variations in the demand for construction in Australia. Some “popular” macroeconomic indicators, such as GDP, established house price and bank loans produced inconclusive results.
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Ni, Zhehan, and Weilun Chen. "A Comparative Analysis of the Application of Machine Learning Algorithms and Econometric Models in Stock Market Prediction." BCP Business & Management 34 (December 14, 2022): 879–90. http://dx.doi.org/10.54691/bcpbm.v34i.3108.
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Forecasting the future price trend of a stock traded on a financial exchange is the aim of stock market prediction. In recent decades, stock market prediction has been a fascinating topic in the domain of Data Science and Finance. In reality, the stock movement is ambiguous and chaotic due to various influencing factors such as government policy, current events, interest rates Etc. At the same time, accurate enough forecasting of stock price movement leads to substantial benefits for investors. This paper provides a comprehensive review of the application and comparison of Machine Learning (ML) algorithms and Econometric Models in stock market prediction. The mentioned models are categorized into (i) ML algorithms, including Linear Regression (LR), K-nearest neighbors (KNN), Support Vector Machine (SVM), and Long Short-Term Memory (LSTM). (ii) Econometric Models, including Autoregressive Integrated Moving Average (ARIMA) Model, Capital Asset Pricing Model (CAPM), and Fama-French (FF) Factor Model.
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Chen, An-Sing, and Mark T. Leung. "Dynamic Foreign Currency Trading Guided by Adaptive Forecasting." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (September 1998): 383–418. http://dx.doi.org/10.1142/s0219091598000247.
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The difficulty in predicting exchange rates has been a long-standing problem in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of multivariate time-series models to generate better forecasts. At the same time, artificial neural network models have been emerging as alternatives to predict exchange rates. In this paper we propose a nonlinear forecast model combining the neural network with the multivariate econometric framework. This hybrid model contains two forecasting stages. A time series approach based on Bayesian Vector Autoregression (BVAR) models is applied to the first stage of forecasting. The estimates from BVAR are then used by the nonparametric General Regression Neural Network (GRNN) to generate enhanced forecasts. To evaluate the economic impact of forecasts, we develop a set of currency trading rules guided by these models. The optimal conditions implied by the investment rules maximize the expected profits given the expected changes in exchange rates and the interest rate differentials between domestic and foreign countries. Both empirical and simulation experiments suggest that the proposed nonlinear adaptive forecasting model not only produces better forecasts but also results in higher investment returns than other types of models. The effect of risk aversion is also considered in the investment simulation.
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Masson, Paul, and Kevin Clinton. "Un modèle mensuel du secteur financier au Canada." Articles 52, no. 2 (June 25, 2009): 169–84. http://dx.doi.org/10.7202/800669ar.
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Abstract In this article we describe preliminary estimates of a model of the Canadian financial system. At the present time, the model explains the behaviour of the authorities, the chartered banks, the public, and the trust and mortgage loan companies. The variables explained include monetary aggregates, several interest rates, and the major assets of the chartered banks and of the trust and mortgage loan companies. The model differs from existing Canadian models in that we use monthly data rather than quarterly or annual data. We think the shorter observation period permits the econometric estimates to capture the dynamic adjustment processes more accurately. In particular, the mean lags implied by our equations tend to be considerably shorter than those in existing models. Another difference with conventional models is the larger influence given to asset and liability management of the chartered banks in the determination of short-term interest rates. The model is intended primarily for forecasting, and results are presented which indicate its usefulness in that regard.
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Atkinson, Paul, and Adrian Blundell-Wignall. "What Problem Is Post-Crisis QE Trying to Solve?" Journal of Risk and Financial Management 15, no. 2 (January 18, 2022): 40. http://dx.doi.org/10.3390/jrfm15020040.
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What problem the Fed and other central banks are solving by printing money and letting interest rates fall to zero is the focus of this paper. This activity does not appear to affect nominal GDP or inflation prior to COVID, and yet central bank liabilities have continued to rise. This suggests the presence of rising cash demand that has prevented excess cash and inflation pressures from emerging. While there was some hope that quantitative easing would be a new instrument in addition to interest rates as far as monetary policy goals were concerned, this has not proved to be the case. Instead, banking system demand for central bank liabilities keeps rising as an endogenous response to the changed business models of banks forced on them by post-crisis re-regulation and extremely low interest rates. These ideas were tested with cointegration and error correction econometric techniques. Examples of the growing risk of leverage and counterparty risks in this disequilibrium process are provided.
Dissertations / Theses on the topic "Interest rates – Australia – Econometric models"
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Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Kalev, Petko S. "Rational expectations and the term structure of interest rates." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8700.
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Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.
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Mazigh, Monia. "A linear model for the term structure of interest rates /." Thesis, McGill University, 2000. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=37778.
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The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfactory. The curve fitting methods, and particularly the spline method, used in practice to estimate the term structure are ad hoc and thus subject to arbitrage opportunities. Guo (1998) used the fundamental Partial Differential Equation (PDE) for bond pricing to derive a linear discount function, which is consistent with no-arbitrage. He showed that this is the unique linear solution to the PDE. This solution, the exponential-polynomial model or EP model for short, has n unobserved state factors that drive a stochastic discount process for pricing bonds so as to rule out arbitrage opportunities. In this thesis, we conduct an extensive cross-sectional analysis of the EP model on two different data sets: prices for daily Treasury bills, notes and bonds from the New York Federal Reserve Bank quotation sheets from July 1989 to October 1996, and daily Canadian bills, notes and bonds prices for the time period from June 1992 to May 1995. We estimate the model by applying a minimization criterion. The cross-sectional analysis shows that the EP model is able to describe adequately the term structure of interest rates. For the US data, we find that every term structure from the sampling period can be fully represented by either nine or ten state factors. Eigenvalue analysis indicates that the first three principal components are underlying the term structure movements. We conduct a time series analysis on the three principal components. They are found to be best described by ARMA/GARCH processes. We form two types of GARCH forecasts of the three principal components and test their out-of-sample performance. We conclude that the three principal components are predictable in a statis
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O???Brien, Peter Banking & Finance Australian School of Business UNSW. "Term structure modelling and the dynamics of Australian interest rates." Awarded by:University of New South Wales. School of Banking and Finance, 2006. http://handle.unsw.edu.au/1959.4/28283.
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This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.
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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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Fadiran, Gideon Oluwatobi. "South African money market volatility, asymmetry and retail interest pass-through." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002728.
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The purpose of this paper is to examine the interest rate transmission mechanism for South Africa as an emerging economy in a pre-repo and repo system. It explains how the money market rate is transmitted to the retail interest rates both in the long-run and short-run and tests the symmetric and asymmetric interest rate pass-through using the Scholnick (1996) ECM and the Wang and Lee (2009) ECM-EGARCH (1, 1)-M methodology. This permitted the examination of the impact of interest rate volatility, along with the leverage effect. An incomplete pass-through is found in the short-run. From the entire sample period, a symmetric adjustment is found in the deposit rate, which had upward rigidity adjustment, while an asymmetric adjustment is found in the lending rate, with a downward rigidity adjustment. All the adjustments supported the collusive pricing arrangements. According to the conditional variance estimation of the ECM-EGARCH (1, 1), negative volatility impact and leverage effect are present and influential only in the deposit interest rate adjustment process in South Africa.
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Tita, Anthanasius Fomum. "Interest rate pass-through in Cameroon and Nigeria: a comparative analysis." Thesis, Rhodes University, 2012. http://hdl.handle.net/10962/d1002740.
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One of the most important aspects of monetary policy is an understanding of the transmission process: the mechanism through which the monetary policy actions of the Central Bank impact on aggregate demand and prices by influencing the investment and consumption decisions of households and firms. Thus, commercial banks are regarded as conveyers of monetary policy shocks and are expected to adjust retail interest rates in response to policy shocks one-to-one. In practice, commercial banks adjust their retail rates in response to changes in monetary policy with a lag of several months and this delay is often viewed as an impediment on the ability of the Central Bank to steer the economy. Several reasons, such as credit rationing and adverse selection, switching costs, risk sharing, consumer irrationality, structure of the financial system, menu costs and asymmetric information are some of the causes advanced for commercial banks retail rates being sticky. In spite of the important role of pass-through analysis in the monetary policy transmission process, it has received very little attention in Sub-Saharan Africa, especially in Cameroon and Nigeria, which have implemented a series of reforms. To this end, this study gives a comparative analysis of interest rate pass-through in Nigeria and Cameroon using retail rates (lending and deposit) and a discount rate (policy rate) from January 1990 to December 2010 for Nigeria and from January 1990 to June 2008 for Cameroon. The study examines the magnitude and speed of retail rate adjustments to changes in the Central Bank policy rate as well as examining the possibility of symmetric and asymmetric pass-through in both countries. In addition, the study also investigates whether there is pass-through of monetary policy from one country to the other. The empirical analysis employs four different types of co-integration techniques to test the presence of a long run co-integrating relationship between retail and the policy rates in order to ensure that the relationship detected is robust. Three sets of analyses are carried out in the study. Following Cottarelli and Kourelis (1994), the study employed a co-integration technique, firstly, to analyse pass-through for the entire sample, secondly, to analyse symmetric and asymmetric pass-through using a ten year rolling window analysis in an error correction framework. Finally, the policy rates were swapped around to investigate if there are transmissions of impulses from one country to the other. Overall, evidence from the entire sample and rolling window analysis suggests that monetary policy in Cameroon is less effective. This is perhaps one of the reasons why the Banque Des Etats De L’Afrique Centrale (BEAC) is unable to sterilise the excess liquidity of the banking sector in Cameroon. The long run pass-through of 0.72 and 0.71 for the entire sample, and the average long run pass-through for the rolling window of 0.78 and 0.76 for the lending and deposit rates, suggest that monetary policy is highly effective in Nigeria compared to Cameroon. The empirical evidence confirmed asymmetric adjustment in six rolling windows in the lending rate in Nigeria. Three rolling windows indicated that the direction of rigidity is downward, supporting Scholnick’s (1996) collusive pricing arrangement between banks, and the other three suggested that the lending rate is rigid in the upward direction, corroborating Scholnick’s (1996) customer reaction hypothesis. The deposit rate in Cameroon was also found to adjust asymmetrically and the direction of rigidity is downward, supporting Hannan and Berger’s (1991) customer reaction hypothesis. The investigation of impulse transmission between the two countries revealed that only the policy rate in Nigeria exerts some influence on the deposit rate in Cameroon. Policy recommendations are also discussed.
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Bholla, Zohaib Salim. "Financial integration in East Africa: evidence from interest rate pass-through analysis." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1006131.
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The successful launch of the European Monetary Union (EMU) raised an already ever growing interest in the economics of monetary integration and the formation of monetary unions around the world. Following the EMU experience, countries have considered forming a monetary union amongst themselves. The East African Community (EAC), comprising the three original member countries Kenya, Tanzania and Uganda and now including Burundi and Rwanda, is an example of such a group of countries that seek to form a monetary union. This study aims to identify the current level of financial integration amongst the East African countries. In order to do so the study examines whether the pass-through of monetary policy in the five countries has become similar over time. This is to provide an indication of the extent to which the nominal convergence criteria amongst the member countries have been met. The results of the study provide an indication of whether the formation of a monetary union in East Africa is possible. The empirical analysis used in this study included stationarity tests, four tests of co integration and an asymmetric error correction model to investigate whether the pass-through of monetary policy transmission in the five countries has become more similar over the ten year sample period from 1999 to 2008. The analysis uses three interest rates and 6-year rolling windows to identify the extent of macroeconomic convergence that prevails within the EAC, and consequently whether the formation of a monetary union is possible. The results suggest that the magnitude of the convergence amongst the countries remain low and there are significant rigidities in the deposit and lending rates over time, however the passthrough has improved with respect to the lending rate but not the deposit rate. The overall conclusion of the study suggests that an EAC wide monetary union is currently not possible based on the evidence provided from the pass-through analysis.
Books on the topic "Interest rates – Australia – Econometric models"
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Karagedikli, Özer. Do inflation targeting central banks behave asymmetrically?: Evidence from Australia and New Zealand. Wellington, N.Z: Economics Dept., Reserve Bank of New Zealand, 2004.
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Hemachandra, W. M. Interest rates: The theory and practice. Rajagiriya: Central Bank of Sri Lanka, 2013.
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Fuhrer, Jeffrey C. Modeling long-term nominal interest rates. Boston, Mass: Federal Reserve Bank of Boston, 1995.
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Fuhrer, Jeffrey C. Modeling long-term nominal interest rates. Boston, Mass: Federal Reserve Bank of Boston, 1995.
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Fuhrer, Jeffrey C. Modeling long-term nominal interest rates. Boston, Mass: Federal Reserve Bank of Boston, 1995.
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P, Dooley Michael. Interest rates, exchange rates and international adjustment. Cambridge, Mass: National Bureau of Economic Research, 2005.
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P, Dooley Michael. Interest rates, exchange rates and international adjustment. Cambridge, MA: National Bureau of Economic Research, 2005.
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Sullivan, Michael A. Discrete-time continuous-state interest rate models. Washington, DC: Office of the Comptroller of the Currency, 2000.
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St-Amant, Pierre. Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology. Ottawa: Bank of Canada, 1996.
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St-Amant, Pierre. Decomposing U.S. nominal interest rates into expected inflation and ex ante real interest rates using structural VAR methodology. Ottawa, Ont: Bank of Canada, 1996.
Find full textBook chapters on the topic "Interest rates – Australia – Econometric models"
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Wu, Shu, and Yong Zeng. "An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk." In Hidden Markov Models in Finance, 55–83. Boston, MA: Springer US, 2014. http://dx.doi.org/10.1007/978-1-4899-7442-6_3.
Full textConference papers on the topic "Interest rates – Australia – Econometric models"
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Lleshaj, Llesh. "Volatility Estimation of Euribor and Equilibrium Forecasting." In 7th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eraz.2021.171.
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Euribor rates (Euro Interbank Offered Rate) rates are considered to be the most important reference rates in the European money market. The interest rates do provide the basis for the price and interest rates of all kinds of financial products like interest rate swaps, interest rate futures, saving accounts and mortgages. Since September 2014, this index has performed with negative rates. In recent years, several European central banks have imposed negative interest rates on commercial banks, as the only way to stimulate their nations’ economies. Under these circumstances, the purpose of this study is to estimate the gap of the negative rates which are still increasing constantly. This fact puts in question the financial stability in many countries and the effect of monetary policy on stimulating economic growth around European countries. According to the daily data 2016 - 2021, this study has analyzed the volatility of the Euribor index related to efficient market hypothesis and volatility clustering. Applying advanced volatility econometric methods, GARCH volatility models are derived and the long-run equilibrium is predicted. Practical Implications are related to the empirical impacts that ought to be taken into consideration by the banking sector and other financial institutions to make decisions with the Euribor index.