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 one percent between the...

A Bayesian vector autoregression (BVAR) can be thought of either as a method of alleviating the burden of the over-parameterisation usually associated with unrestricted VARs, or as a method of correcting coefficient bias when the time series are nonstationary. Monte Carlo evidence is provided to...

There has been a rapid increase in the number of corporate bonds issued in Australia since the middle of 1998. This increase has stimulated interest in characterising the yield curves and the factors that determine changes in these spreads. The focus of this paper is on measuring any impact of...