RDP 2022-09: Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions Appendix B: Data

Matthew Read

December 2022

Table B1: Variable Definitions and Sources
Variable Details Source
Cash rate Interbank overnight cash rate, %, quarterly average RBA statistical table F1.1 Interest Rates and Yields – Money Market
Real GDP Chain volume measure, $m, seasonally adjusted ABS Cat No 5206.0 ‘Australian National Accounts: National Income, Expenditure and Product’
Trimmed mean CPI Excluding interest and tax changes, index, seasonally adjusted ABS Cat No 6401.0 ‘Consumer Price Index, Australia’; data for the period prior to September 2002 are calculated by the RBA using the ABS methodology
Trade-weighted exchange rate index Australian dollar trade-weighted exchange rate, index, end of period ABS Cat No 5202.0 ‘Balance of Payments and International Investment Position, Australia’
Terms of trade Goods and services terms of trade, index, seasonally adjusted ABS Cat No 5302.0 ‘Balance of Payments and International Investment Position, Australia’
US real GDP Chain volume measure, $b, seasonally adjusted Federal Reserve Bank of St. Louis, FRED database (identifier GDPC1)
Federal funds rate Effective federal funds rate, %, quarterly average Federal Reserve Bank of St. Louis, FRED database (identifier FEDFUNDS)
Proxy for monetary policy shock ‘Unanticipated’ series from Beckers (2020) Supplementary information from Beckers (2020)
Money market spread Percentage point difference between the 3-month bank-accepted bill rate and a 3-month risk-free interest rate. After the September quarter 2001, the risk-free rate is the 3-month Australian dollar overnight indexed swap (OIS) rate. Before the September quarter 2001, it is an estimated 3-month zero-coupon forward rate based on the approach in Finlay and Olivan (2012). RBA statistical table F1.1 Interest Rates and Yields – Money Market and Historical data: F17 Zero-coupon Interest Rates – Analytical Series – 1992 to 2008
Unemployment rate %, derived from the quarterly average of seasonally adjusted unemployed persons and the quarterly average of seasonally adjusted labour force ABS Cat No 6202.0 ‘Labour Force, Australia’