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The stationarity of Australian real interest rates with and without structural breaks

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Author Info
Bruce Felmingham
Su San Leong
Abstract

The Australian cash rate is generally unstable, while surveyed expected inflation and the 90 day bank bill rate are stationary subject to breaks. Real bond rates (2, 5, 10 years) are stationary in levels. Policy and market implications are drawn.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 4 (March)
Pages: 239-241
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Handle: RePEc:taf:apeclt:v:10:y:2003:i:4:p:239-241

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  1. Nunes, Luis C & Newbold, Paul & Kuan, Chung-Ming, 1997. "Testing for Unit Roots with Breaks: Evidence on the Great Crash and the Unit Root Hypothesis Reconsidered," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 59(4), pages 435-48, November.
  2. Perron, P., 1994. "Further Evidence on Breaking Trend Functions in Macroeconomic Variables," Cahiers de recherche 9421, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  3. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
    Other versions:
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This page was last updated on 2010-1-1.


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