The impact of financial deregulation on monetary aggregates and interest rates in Australia
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This study employs all quarterly time series currently available to endogenously determine the timing of structural breaks for various monetary aggregates and interest rates in Australia over the last 30 years. The Innovational Outlier model (IO) and the Additive Outlier model (AO) are then used to test for nonstationarity. After accounting for the single most significant structural break, the results from both models clearly indicate that the null of at least one unit root cannot be rejected for almost all series examined. The structural breaks found coincide with important policy changes during the period of financial deregulation starting in the 1980s.
Applied Financial Economics Letters
© 2005 Taylor & Francis. This is an electronic version of an article published in Applied Financial Economics Letters, Volume 1, Issue 3, 2005, Pages 157-163. Applied Financial Economics Letters is available online at: http://www.tandfonline.com with the open URL of your article.