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Article
The impact of financial deregulation on money aggregates and financial variables in Australia: An empirical analysis with endogenously determined structural breaks
Faculty of Commerce - Papers (Archive)
  • Mosayeb Pahlavani, University of Wollongong
  • A. Valadkhani, University of Wollongong
  • A. C. Worthington, University of Wollongong
RIS ID
72805
Publication Date
1-5-2005
Publication Details

This article was originally published as Pahlavani, M, Valadkhani, A and Worthington, AC, The impact of financial deregulation on monetary aggregates and interest rates in Australia, Applied Financial Economics Letters, 1(2), 2005, 157-163. Copyright Taylor & Francies 2005. Original journal available here.

Abstract
This paper 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 thirty 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.
Citation Information
Mosayeb Pahlavani, A. Valadkhani and A. C. Worthington. "The impact of financial deregulation on money aggregates and financial variables in Australia: An empirical analysis with endogenously determined structural breaks" (2005)
Available at: http://works.bepress.com/abbas/14/