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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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
Copyright and Disclaimer Notice
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?
https://www.rba.gov.au/publications/rdp/2023/2023-04/copyright-and-disclaimer-notice.html
Documenting Shock Measures Pre-COVID-19
12 May 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. ... model the future path of interest rates and premia based on data on yields.
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html
The Effects of Monetary Policy Shocks
12 May 2023
RDP
2023-04
Rather than choosing yields of certain maturities, we use the first two principal components of the yield curve in the VAR, similar to KMS. ... Figure 8: Response to Action Shock. Scaled to unit increase in first principal component of yield curve.
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html
Read me file
12 May 2023
RDP
2023-04
Input folder:. Input dataNom ATSMATSM inputs. Input files:. ‘Yields_m – extra.csv’ (end-month data from zero coupon yield curve). ... yield-curve.xlsx’ (monetary policy announcement yields – not for public release. ‘other events.csv’ (other
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
Documenting Shock Measures during the COVID-19 Pandemic
12 May 2023
RDP
2023-04
Announcement of tapering in bond purchases. Note: Yield change measured as close-to-close. ... The announcement of the yield curve target also coincided with a substantial decline in the premia on yields for 3-year bonds not evident elsewhere on the curve
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-during-the-covid-19-pandemic.html