English, Article edition: Who Leads the Australian Interest Rates in the Short and Long Run? An Application of Long Run Structural Modelling A. Mansur M. Masih; Trent Winduss

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Bookmark: http://trove.nla.gov.au/version/132225
Physical Description
  • article
Language
  • English

Edition details

Title
  • Who Leads the Australian Interest Rates in the Short and Long Run? An Application of Long Run Structural Modelling
Author
  • A. Mansur M. Masih
  • Trent Winduss
Physical Description
  • article
Notes
  • The focus of this paper is to test the cointegrating and Granger-causal relationships between Australian short-run interest rate securities and those of the UK, US, Japan, Hong Kong, Singapore and New Zealand. A relatively new methodology known as Long Run Structural Model (LRSM) (Pesaran and Shin, 2002) followed by vector error-correction model, generalized variance decompositions, generalized impulse response, and persistence profile have been used. The findings tend to suggest that Australia's short-term interest rates are cointegrated with those of its major trading partners. The results of this paper indicate that the ability of Australian policy makers to target and manipulate domestic interest rates may be limited and that they should look to the policy decisions of the US and Japan in particular when setting domestic policy.
  • Australian economic integration, cointegration, Granger causality, long run structural modelling
  • RePEc:wsi:rpbfmp:v:09:y:2006:i:01:p:1-24
Language
  • English
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