Browsing by Author Ryan, Vicky

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  • The_term_structure_of_interest_rates_in_Australia_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Ryan, Vicky (2005)

  • The term structure of interest rates in Australia, using data of different types as well as frequencies covering the period 1991(11) to 2000(9) is investigated using a relatively new modelling strategy previously untested on Australian interest rate data. Developed by Pesaran and Shin (2002 Pesaran,MH and Shin,Y. 2002. "Long-run structural modeling." Econometric Reviews, 21:49-87.), this strategy incorporates long-run structural relationships in an otherwise unrestricted vector auto regression model (VAR). The econometric tests indicate that in Australia, contrary to popular belief, long-term interest rates more often than not lead shorter-term interest rates, at least for the interes...

Browsing by Author Ryan, Vicky

Jump to: 0-9 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
or enter first few letters:  
Showing results 2 to 2 of 2
  • The_term_structure_of_interest_rates_in_Australia_mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Ryan, Vicky (2005)

  • The term structure of interest rates in Australia, using data of different types as well as frequencies covering the period 1991(11) to 2000(9) is investigated using a relatively new modelling strategy previously untested on Australian interest rate data. Developed by Pesaran and Shin (2002 Pesaran,MH and Shin,Y. 2002. "Long-run structural modeling." Econometric Reviews, 21:49-87.), this strategy incorporates long-run structural relationships in an otherwise unrestricted vector auto regression model (VAR). The econometric tests indicate that in Australia, contrary to popular belief, long-term interest rates more often than not lead shorter-term interest rates, at least for the interes...