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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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
12 May 2023
RDP
2023-04
Research Discussion Paper – RDP 2023-04 Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?
https://www.rba.gov.au/publications/rdp/2023/2023-04.html
Conclusion
12 May 2023
RDP
2023-04
Following Kaminska, Mumtaz and Šustek (2021), we combine high-frequency data on changes in yields around policy announcements with an affine term structure model to decompose unexpected changes in the yield ... COVID-19-era policy mainly affected yields
https://www.rba.gov.au/publications/rdp/2023/2023-04/conclusion.html
Appendix B: Additional Results
12 May 2023
RDP
2023-04
24-month yield change. (a). 8.32. na. na. na. Action shock – quarterly. ... b) Instrumenting for second principal component of yield curve. Figure B1: Factor Loadings.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-b.html
Appendix A: Affine Term Structure Model
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Download the Paper 1.43. MB. We use a simple nominal ATSM model to decompose yield changes.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-a.html
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
https://www.rba.gov.au/publications/rdp/2023/2023-04/sections.html
Non-technical summary for ‘Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?…
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Yes and No! Non-technical summary for ‘Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary
https://www.rba.gov.au/publications/rdp/2023/2023-04/non-technical-summary.html
References
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Bikbov R and M Chernov (2011), ‘Yield Curve and Volatility: Lessons from Eurodollar Futures and Options’, Journal of
https://www.rba.gov.au/publications/rdp/2023/2023-04/references.html
Related Literature
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Specifically, KMS apply an ATSM to high-frequency data on changes in the yield curve around Fed policy announcements.
https://www.rba.gov.au/publications/rdp/2023/2023-04/related-literature.html
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
Gather high-frequency measures of surprise yield changes. Decompose changes in yields into changes in expected policy rates and changes in premia. ... Rather than choosing yields of certain maturities, we use the first two principal components of the
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
Supplementary Information for RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its …
12 May 2023
RDP
2023-04
Research Discussion Paper – RDP 2023-04 Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?
https://www.rba.gov.au/publications/rdp/2023/2023-04/supplementary-information.html