Show simple item record

dc.contributor.advisorNguyen, Duc-Tho (Tom)
dc.contributor.authorKremmer, Michael
dc.date.accessioned2019-03-27T00:30:58Z
dc.date.available2019-03-27T00:30:58Z
dc.date.issued2003
dc.identifier.urihttp://hdl.handle.net/10072/367662
dc.description.abstractThis study explores the inter relationships between the nominal interest rates of Australia and its principal trading partners. The analysis focus on the short end of the yield curve --specifically, rates of up to one year to maturity. In essence, the study comprises a suite of essays, which together provide an overall understanding of the relevant relationship that is, in both depth and scope, greater than the sum of the individual essays. The inquiry begins with an investigation of the impact of the overnight information content of international interest rates upon the Australian domestic money market. The results indicate that the strongest information impact on Australian interest rates is from the overnight interest and exchange rates of the United States. This is followed, in the second essay, by an investigation of the relationship between domestically and internationally traded Australian dollar denominated, financial assets. The results indicate that a Euro-Australian dollar inter-bank deposit and Australian bank accepted bills are effectively the same assets. Based on this result the third essay investigates the extent to which the short-term nominal interest rates of Australia, the United Kingdom, the United States and Japan are consistent with the expectations theory of the interest rate term structure. The results indicate that nominal inter-bank deposit rates in all four currencies are broadly consistent with the expectations theory. In addition, two common stochastic trends are identified, which can be associated with the markets of the United States and Japan. The forth essay focuses on the bilateral relationships between the nominal interest rates of Australia, the United States, the United Kingdom and Japan, and aims at establishing the extent to which the observed data is consistent with interest rate parity conditions. It was found that, in the long run, and with some exceptions, there is strong support for all three of the usual parity conditions. These relationships are interpreted as a measure of the efficiency with which the interest rates are simultaneously determined across the four markets. The final essay brings together insights gained in the preceeding essays to help analysis the interactions between each of the four markets at each of the four maturities selected within the consistent framework of a single model. The results indicate that the system can be usefully conceptualised as interactions between two sub-systems. The first sub-system models the nexus between Australia and the United States, and the second sub-system, that between the United Kingdom and Japan. The interactions within and between these two sub-systems are found to change as the maturity increases. At the shortest maturity, Australian interest rates are directly affected by both sub-systems. In contrast, at the longest maturity, Australian interest rates anticipate those of the United States and are not directly affected by the second sub-system.en_US
dc.languageEnglishen_US
dc.publisherGriffith Universityen_US
dc.publisher.placeBrisbaneen_US
dc.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.en_US
dc.subject.keywordsNominal interest ratesen_US
dc.subject.keywordsAustraliaen_US
dc.subject.keywordsUnited Statesen_US
dc.subject.keywordsUnited Kingdomen_US
dc.subject.keywordsJapanen_US
dc.subject.keywordsAustralian domestic money marketen_US
dc.titleAn Empirical Study of the Dynamics of Nominal Interest Rates: Australian and Global Perspectivesen_US
dc.typeGriffith thesisen_US
gro.rights.copyrightThe author owns the copyright in this thesis, unless stated otherwise.
gro.hasfulltextFull Text
dc.contributor.otheradvisorHodgson, Allan
gro.identifier.gurtIDgu1335139095285en_US
gro.identifier.ADTnumberadt-QGU20051102.151052en_US
gro.source.ADTshelfnoADT0en_US
gro.source.GURTshelfnoGURTen_US
gro.thesis.degreelevelThesis (PhD Doctorate)en_US
gro.thesis.degreeprogramDoctor of Philosophy (PhD)en_US
gro.departmentSchool of Economicsen_US
gro.griffith.authorKremmer, Michael L.


Files in this item

This item appears in the following Collection(s)

Show simple item record