IDEAS home Printed from https://ideas.repec.org/a/bla/ecorec/v70y1994i208p19-25.html

The Transmission of Monetary Policy: The Relationship Between Overnight Cash Rates

Author

Listed:
  • GRAHAM ELLIOTT
  • RONALD BEWLEY

Abstract

This paper utilizes daily data from the period of the ‘clean’ float of the Australian dollar to consider the relationship between two key Australian short‐term interest rates: the official and the unofficial overnight cash rates. There is a stable long‐run differential of I per cent between the two rates and a short‐run dynamic policy reaction function is found which indicates that the official rate reacted to the size of the past interest rate differential.

Suggested Citation

  • Graham Elliott & Ronald Bewley, 1994. "The Transmission of Monetary Policy: The Relationship Between Overnight Cash Rates," The Economic Record, The Economic Society of Australia, vol. 70(208), pages 19-25, March.
    • Handle: RePEc:bla:ecorec:v:70:y:1994:i:208:p:19-25
    DOI: 10.1111/j.1475-4932.1994.tb01821.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1475-4932.1994.tb01821.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1475-4932.1994.tb01821.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. I.J. Macfarlane, 1988. "International Interest Rate Linkages and Monetary Policy: The Case of Australia," RBA Research Discussion Papers rdp8812, Reserve Bank of Australia.
    3. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    4. Campbell, John Y. & Shiller, Robert J., 1988. "Interpreting cointegrated models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 505-522.
    5. Hall, Robert E., 1983. "Optimal fiduciary monetary systems," Journal of Monetary Economics, Elsevier, vol. 12(1), pages 33-50.
    6. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-438, July.
    7. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ramona Dumitriu & Razvan Stefanescu, 2015. "The Relationship Between Romanian Exports And Economic Growth After The Adhesion To European Union," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 17-26.
    2. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    3. Man-Keun Kim & Kangil Lee, 2015. "Dynamic Interactions between Carbon and Energy Prices in the U.S. Regional Greenhouse Gas Initiative," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 494-501.
    4. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118, August.
    5. Neil Karunaratne, 1997. "High-Tech Innovation, Growth and Trade Dynamics in Australia," Open Economies Review, Springer, vol. 8(2), pages 151-170, April.
    6. Le Fur, Eric, 2020. "Dynamics of the global fine art market prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 167-180.
    7. Hanan Naser, 2015. "Can Nuclear Energy Stimulates Economic Growth? Evidence from Highly Industrialised Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 164-173.
    8. Catherine Bruneau & Eric Jondeau, 1999. "Long‐run Causality, with an Application to International Links Between Long‐term Interest Rates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(4), pages 545-568, November.
    9. Ching-Chun Wei & Tzu-Wei Chuang, 2015. "Empirical Testing of Exchange Rate and Interest Rate Transmission Channels in China," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(1), pages 145-154, January.
    10. Mohamed Arouri & Gazi Salah Uddin & Phouphet Kyophilavong & Frédéric Teulon & Aviral Kumar Tiwari, 2014. "Energy Utilization and Economic Growth in France: Evidence from Asymmetric Causality Test," Working Papers 2014-102, Department of Research, Ipag Business School.
    11. Nobel Prize Committee, 2003. "Time-series Econometrics: Cointegration and Autoregressive Conditional Heteroskedasticity," Nobel Prize in Economics documents 2003-1, Nobel Prize Committee.
    12. Ali, Adnan & Ramakrishnan, Suresh & Faisal,, 2022. "Financial development and natural resources. Is there a stock market resource curse?," Resources Policy, Elsevier, vol. 75(C).
    13. Caporale, Guglielmo Maria & Hassapis, Christis & Pittis, Nikitas, 1998. "Unit roots and long-run causality: investigating the relationship between output, money and interest rates," Economic Modelling, Elsevier, vol. 15(1), pages 91-112, January.
    14. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    15. Chien-Chiang Lee & Chun-Ping Chang, 2006. "The Long-Run Relationship Between Defence Expenditures And Gdp In Taiwan," Defence and Peace Economics, Taylor & Francis Journals, vol. 17(4), pages 361-385.
    16. Sithole, Rumbidzai Praise & Eita, Joel Hinaunye, 2020. "A test of integration between the South African and selected African stock markets," MPRA Paper 101301, University Library of Munich, Germany.
    17. Jibo Chen & Keyao Chen & Guizhi Wang & Lingyan Wu & Xiaodong Liu & Guo Wei, 2019. "PM 2.5 Pollution and Inhibitory Effects on Industry Development: A Bidirectional Correlation Effect Mechanism," IJERPH, MDPI, vol. 16(7), pages 1-21, March.
    18. De La Cruz Martinez, Justino, 1999. "Mexico's balance of payments and exchange rates: a cointegration analysis," The North American Journal of Economics and Finance, Elsevier, vol. 10(2), pages 401-421.
    19. Bley, Jorg, 2009. "European stock market integration: Fact or fiction?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 759-776, December.
    20. João Leitão, 2004. "Demand Pull and Supply Push in Portuguese Cable Television," Econometrics 0411009, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:ecorec:v:70:y:1994:i:208:p:19-25. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/esausea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.