Search: Treasury fixed-coupon bonds
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RBA Glossary definition for Treasury fixed-coupon bonds
Treasury fixed-coupon bonds – Australian Government Securities with fixed maturity dates and twice-yearly interest or coupon payments. Coupon payments are fixed for the life of the bond at its first issue.
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Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
1 Feb 2018
RDP
2018-02
Real zero-coupon bonds pay one unit of consumption good at time t n, or Q. ... of arbitrage opportunities) leads to a similar set of pricing equations for real zero-coupon bonds, where.
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html
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A Model of the Australian Housing Market
5 Mar 2019
RDP
PDF
1639KB
government bonds. From 1997 r is estimated as:. r vmr bond cash bond cash inflation where vmr is the (package or average discounted) ... government bond yield, cash is the cash rate, inflation is 10-year inflation
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-01.pdf
Appendix D: The Measurement of Subprime Mortgage Lending
31 Dec 2013
RDP
2013-05
Treasury bond even though the interest rate on the loan may actually be priced off a shorter-term security.
https://www.rba.gov.au/publications/rdp/2013/2013-05/appendix-d.html
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The Role of Collateral in Borrowing
14 Jan 2021
RDP
PDF
1784KB
diversification) businesses and geographical areas. These fixed effects ensure that, for example, if. ... to. When analysing borrower characteristics, we also include borrower fixed effects (and similar for.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
In regression specifications (1) and (2), we achieve this with counterpartyday fixed effects. ... Yes. Fixed effects. Borrower and Lender and Day. Observations. 5,340. 5,340.
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html
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The Expectations Theory of the Term Structure and Short-Term Interest Rates in Australia
19 Nov 2012
RDP
PDF
664KB
tender system for the sale of Treasury notes in 1979. The sample period. ... estimates of these variances using spectral analysis. He considered three. different long rates, (5, 10 and 20-year treasury bonds) while the short.
https://www.rba.gov.au/publications/rdp/1986/pdf/rdp8607.pdf
Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
22 Feb 2018
RDP
PDF
1672KB
Real zero-coupon bonds pay one unit of consumption good at time t n, or Qt n/Qt units of. ... opportunities) leads to a similar set of pricing equations for real zero-coupon bonds, where.
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-02.pdf
MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy
20 Aug 2019
RDP
PDF
1571KB
Leon Berkelmans, as well as seminar participants at the Australian Treasury, Australian Conference. ... Financial markets. N2R Two-year government bond rate Per cent Nominal RBA, Yieldbroker.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-07.pdf
Liquidity Shocks and the US Housing Credit Crisis of 2007–2008
2 Feb 2015
RDP
PDF
756KB
Securitised bonds backed by home mortgages are known as ‘residential mortgage-backed securities’ (RMBS). ... Table 2: New Mortgage LendingOLS Tract fixed effects. Variable (1) (2)Sale share –0.0937 –0.0774.
https://www.rba.gov.au/publications/rdp/2013/pdf/rdp2013-05.pdf
The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
Treasury bond ISINs tend to be favoured over other AGS ISINs, likely related to their long tenor and the large quantity on issue. ... Frequency refers to number of detected repos. Treasury bonds. Treasury indexed bonds.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html
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