Browsing by Author Ryan, Vicky

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  • analysis_dynamic_linkages_between_cash_rate_government_yield_curve_ mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Ryan, Vicky (2010)

  • This paper aims to examine the relationship between the rate of interest on the key instrument of monetary policy in Australia, the overnight cash rate and the debt instruments comprising the Australian Government Yield curve, during the climate of low inflation and transparent monetary policy in Australia since the early 1990s. This relationship is fitted to an Expectations Theory based function. The methods applied are the error-correction and variance decompositions techniques including the most recently developed ‘long run structural modelling’ (Pesaran and Shin, 2002). The findings indicate that, contrary to common belief, longer-term interest rates more often than not tend to le...

  • 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 1 to 2 of 2
  • analysis_dynamic_linkages_between_cash_rate_government_yield_curve_ mansur.pdf.jpg
  • Journal Article


  • Authors: Mohammed Masih, Abul Mansur; Ryan, Vicky (2010)

  • This paper aims to examine the relationship between the rate of interest on the key instrument of monetary policy in Australia, the overnight cash rate and the debt instruments comprising the Australian Government Yield curve, during the climate of low inflation and transparent monetary policy in Australia since the early 1990s. This relationship is fitted to an Expectations Theory based function. The methods applied are the error-correction and variance decompositions techniques including the most recently developed ‘long run structural modelling’ (Pesaran and Shin, 2002). The findings indicate that, contrary to common belief, longer-term interest rates more often than not tend to le...

  • 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...