RDP 8607: The Expectations Theory of the Term Structure and Short-Term Interest Rates in Australia Data Construction Appendix

Data for the yields on 90-day and 180-day bank-accepted bills were obtained from Securities Market Department of the Reserve Bank of Australia. These data are the mid-points of a range of rates quoted at 12 noon on the Friday of each week in the sample.

In the paper, these yields are expressed as quarterly rates in percentage points. All leads and lags on variables in the various equations are in terms of thirteen weeks – e.g., the estimates of the equation,

presented in Table 1 refer to the following variables:

r_t – yield on 90-day bank-accepted bill at end of week t

r_t+1 – the variable r_t shifted forward by thirteen weeks (observations)

R_t – yield on 180-day bank-accepted bill at end of week t.