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

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  • 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.

Suggested Citation

  • Bruce Felmingham & Su San Leong, 2003. "The stationarity of Australian real interest rates with and without structural breaks," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 239-241.
  • Handle: RePEc:taf:apeclt:v:10:y:2003:i:4:p:239-241
    DOI: 10.1080/1350485022000044147
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    References listed on IDEAS

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    1. Zivot, Eric & Andrews, Donald W K, 2002. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
    2. Chay Fisher & Bruce Felmingham, 1998. "The Australian yield curve as a leading indicator of consumption growth," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 627-635.
    3. 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 435-448, November.
    4. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    5. Perron, Pierre, 1997. "Further evidence on breaking trend functions in macroeconomic variables," Journal of Econometrics, Elsevier, vol. 80(2), pages 355-385, October.
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