RDP 2020-01: Credit Spreads, Monetary Policy and the Price Puzzle Appendix C: Variable Definitions

Benjamin Beckers

January 2020

Table C1: Variable Definitions and Sources
Variable Definition Source
crt Cash rate set at Board meeting in month t Reserve Bank of Australia (RBA)
Δc r t Cash rate change at Board meeting in month t RBA
π t+h|t fc h-quarter-ahead forecast for annualised underlying inflation prior to Board meeting in month t RBA
Δgd p t+h|t fc h-quarter-ahead forecast for annualised real GDP growth prior to Board meeting in month t RBA
π t+h|t fcrev Revisions to inflation forecast h-quarter-ahead since previous Board meeting RBA
Δgd p t+h|t fcrev Revisions to real GDP forecast h-quarter-ahead since previous Board meeting RBA
u r t+h|t fc h-quarter-ahead forecast for unemployment rate prior to Board meeting in month t RBA
c s t MM Money market spread between 3-month bank-accepted bill (BAB) rate and 3-month Australian dollar overnight indexed swap (OIS) rate (3-month zero-coupon forward rate prior to July 2001); end-month value of month prior to Board meeting RBA statistical tables: F1 Interest Rates and Yields – Money Market; F1.1 Interest Rates and Yields – Money Market
Historical data: F17 Zero-coupon Interest Rates – Analytical Series – 1992 to 2008
c s t LB Credit market spread between average large business variable lending rate and 3-month BAB rate; end-month value of month prior to Board meeting RBA statistical tables: F1; F1.1; F5 Lending Rates
c s t US BAA Moody's seasoned BAA corporate bond yield relative to yield on 10-year Treasury constant maturity, obtained from FRED; end-month value of month prior to Board meeting Federal Reserve Bank of St. Louis, FRED database (Identifier ‘BAA10Y’)
c s t US VIX US VIX, obtained from FRED; end-month value of month prior to Board meeting FRED database (Identifier ‘VIXCLS’)
D t GFC GFC dummy taking the value of 1 for all quarters from 2008:Q3–2009:Q2  
Δc r t+h|t exp Expected cash rate change h-quarters-ahead obtained from zero-coupon yield curve as estimated by Finlay and Olivan (2012); end-month value of month prior to Board meeting RBA statistical table: F1 Historical data: F17
ff r t US US federal fund rate, obtained from FRED; end-month value of month prior to Board meeting FRED database (Identifier ‘FEDFUNDS’)
ntwit Nominal trade-weighted exchange rate; end-month value of month prior to Board meeting RBA statistical table: F11.1 Exchange Rates
π t comm RBA Index of Commodity Prices, $A All Items; end-month value of month prior to Board meeting RBA statistical table: I2 Commodity Prices