RDP 1977-06: Interest Rates and Exchange Rate Expectations in the RBA76 Model Appendix A. Debenture Rate Data

P.D. Jonson and J.I. Eberhardt

October 1977

The basic data series for the period 1959/71 was obtained from an unpublished paper prepared in January 1971, by P.D. Jonson and I. Fraser. This paper provides weighted (by value of sales on Melbourne Stock Exchange) average redemption yields of debentures of various maturities and for various company classification. The series used in this paper is that for “long term” (defined here as eight years or longer) debentures of the 34 companies (whose data is in the sample and which are listed in the “top 50” companies in the Sydney Stock Exchange Leading Companies Index).

Year % p.a.
1959 6.90
  6.68
  6.89
  6.95
1960 7.19
  6.98
  7.10
  7.12
1961 7.97
  8.03
  7.94
  7.99
1962 7.55
  6.80
  6.76
  6.27
1963 6.25
  5.91
  5.85
  5.80
1964 5.74
  5.73
  6.09
  6.16
1965 6.46
  6.85
  6.81
  6.58
1966 6.95
  6.65
  6.71
  6.70
1967 6.48
  6.41
  6.38
  6.46
1968 6.85
  6.64
  6.74
  6.72
1969 6.79
  7.04
  7.33
  7.29
1970 7.56
  8.20
  8.28
  8.71
1971 8.95
  8.46
  8.38
  8.56
1972 8.70
  7.79
  7.86
  8.00
1973 8.31
  8.50
  9.12
  10.14
1974 10.06
  11.64
  12.78
  14.17
1975 13.47
  13.53
  14.42
  13.00