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RBA Glossary definition for RBA

RBA – Reserve Bank of Australia. Australia's central bank, the body corporate successor to the Commonwealth Bank established in 1912; created under its new name by the Reserve Bank Act 1959.

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A Term Structure Decomposition of the Australian Yield Curve

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html

A Term Structure Decomposition of the Australian Yield Curve

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Research Discussion Paper – RDP 2008-09 A Term Structure Decomposition of the Australian Yield Curve. Richard Finlay and Mark Chambers. December 2008. 579. KB. Related Information. The materials on this webpage are subject to copyright and their
https://www.rba.gov.au/publications/rdp/2008/2008-09/

Conclusion

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve 6. Conclusion. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. We have used data on coupon-bearing Australian Government bonds and OIS rates to
https://www.rba.gov.au/publications/rdp/2008/2008-09/conclusion.html

Appendix B: Risk-neutral Bond Pricing

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix B: Risk-neutral Bond Pricing. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. Here we examine why bonds should be priced under the
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-b.html

Appendix C: Model Implementation

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix C: Model Implementation. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. From Kim and Orphanides (2005) we take the following formulas
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-c.html

References

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Reserve Bank of Australia (RBA) (2002), ‘Overnight Indexed Swap Rates’, Reserve Bank of Australia.
https://www.rba.gov.au/publications/rdp/2008/2008-09/references.html

Appendix A: Zero-coupon Yields

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix A: Zero-coupon Yields. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. We estimate zero-coupon yields using the Merrill Lynch Exponential
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-a.html

The Model in Detail

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve 3. The Model in Detail. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. In this section we outline the model we use. In what follows, scalars are
https://www.rba.gov.au/publications/rdp/2008/2008-09/model-detail.html

Introduction

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve 1. Introduction. Richard Finlay and Mark Chambers. December 2008. Download the Paper 579. KB. The relationship between the level of interest rates across different maturities
https://www.rba.gov.au/publications/rdp/2008/2008-09/introduction.html

Data and Model Implementation

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
See RBA (2002) for details of how OIS contracts operate, and Appendix A for more discussion on OIS rates.
https://www.rba.gov.au/publications/rdp/2008/2008-09/data-model.html