Search: yield
RBA Glossary definition for yield
yield – The expected rate of return expressed as a percentage of the net outlay or net proceeds of an investment, not of its face value.
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Appendix A: Yields and Stochastic Discount Factors
31 Dec 2011
RDP
2011-01
This defines the relationship between real yields and the continuous time real SDF. ... such that the pricing equation for inflation yields holds. That is, such that.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-a.html
Model
31 Dec 2011
RDP
2011-01
Unless otherwise stated, yields in this paper are gross, zero-coupon and continuously compounded. ... The inflation yield is the difference between the yields of nominal and inflation-indexed zero-coupon bonds of the same maturity.
https://www.rba.gov.au/publications/rdp/2011/2011-01/model.html
Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
1 Mar 2011
RDP
2011-01
Research Discussion Paper – RDP 2011-01 Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds. Richard Finlay and Sebastian Wende. March 2011. 480. KB. The authors thank Rudolph van der Merwe for help with the central
https://www.rba.gov.au/publications/rdp/2011/2011-01/
Data and Model Implementation
31 Dec 2011
RDP
2011-01
Government inflation-indexed bond yields; inflation forecasts from Consensus Economics; and historical inflation. ... We extrapolate nominal yields beyond this by assuming that the nominal and real yield curves have the same slope.
https://www.rba.gov.au/publications/rdp/2011/2011-01/data-and-mod-imp.html
Results
31 Dec 2011
RDP
2011-01
The inflation yield curve is given as the difference between nominal and real yields. ... Hence if real yields contain a liquidity premium, they will be higher, shifting the inflation yield curve down and reducing the estimated inflation risk premia to
https://www.rba.gov.au/publications/rdp/2011/2011-01/results.html
Introduction
31 Dec 2011
RDP
2011-01
The difference between the yields on nominal and inflation-indexed bonds, referred to as the inflation yield or break-even inflation, is often used as a measure of inflation expectations. ... The inflation yield may not give an accurate reading of
https://www.rba.gov.au/publications/rdp/2011/2011-01/introduction.html
References
31 Dec 2011
RDP
2011-01
Finlay R and M Chambers (2009), ‘A Term Structure Decomposition of the Australian Yield Curve’,. ... Kim DH and JH Wright (2005), ‘An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon
https://www.rba.gov.au/publications/rdp/2011/2011-01/references.html
Discussion and Conclusion
31 Dec 2011
RDP
2011-01
In practice zero-coupon yields are not directly available but must be estimated, so by fitting the affine term structure model directly to prices we avoid inserting a second arbitrary yield ... When many bond prices are available this is only a small
https://www.rba.gov.au/publications/rdp/2011/2011-01/discussion-and-conclusion.html
Appendix B: The Mathematics of Our Model
31 Dec 2011
RDP
2011-01
In terms of the inflation yield from Equation (A5) this can be written as.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-b.html