Search: Treasury indexed bonds
RBA Glossary definition for Treasury indexed bonds
Treasury indexed bonds – Australian Government Securities with a payment stream that increases by an indexation factor reflecting changes in the rate of inflation. Indexing occurs on the principal value of the investment.
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Introduction
31 Dec 2011
RDP
2011-01
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds 1. ... Terms and conditions of Treasury inflation-indexed bonds are available at http://www.aofm.gov.au/content/borrowing/terms/indexed_bonds.asp.
https://www.rba.gov.au/publications/rdp/2011/2011-01/introduction.html
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Identifying Repo Market Microstructure from Securities Transactions Data
13 Aug 2018
RDP
PDF
2622KB
Identifying Repo Market Microstructure from Securities Transactions Data. Nicholas Garvin. Research Discussion Paper. R D P 2018- 09. Figures in this publication were generated using Mathematica. The contents of this publication shall not be
https://www.rba.gov.au/publications/rdp/2018/pdf/rdp2018-09.pdf
Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
8 Mar 2011
RDP
PDF
479KB
Terms and conditions of Treasury inflation-indexed bondsare available at http://www.aofm.gov.au/content/borrowing/terms/indexed_bonds.asp. 2. ... Note that inflation-indexed bonds are relatively illiquid, especially in comparisonto nominal bonds.7
https://www.rba.gov.au/publications/rdp/2011/pdf/rdp2011-01.pdf
Data
23 Apr 2019
RDP
2019-03
shows path shocks as the change in 2-year US Treasury bond yields orthogonalised against the change in 1-month OIS rates; the bottom panel shows premium shocks as the change ... in 10-year US Treasury bond yields orthogonalised against the change in
https://www.rba.gov.au/publications/rdp/2019/2019-03/data.html
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The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases
24 May 2022
RDP
2022-02
In particular we consider two variants: the first assumes that AGS yields would have moved in line with those of US Treasury bonds; and the second constructs a counterfactual based on ... impact on the spread to AGS for purchases of the bond itself or
https://www.rba.gov.au/publications/rdp/2022/2022-02/full.html
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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
Specifically, there were no inflation-indexed bonds with relatively short maturities trading at this time. ... associated with nominal bonds over inflation-indexed bonds manifested in a lower inflation risk premium, which was subsequently unwound as
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html
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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!
1 May 2023
RDP
PDF
1465KB
such as the yield curve targeting and bond purchase programs used during the COVID-19 pandemic. ... corporate bond spread (BAA). These variables are motivated by Bauer and Swanson (2021, 2022).
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.pdf
The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
Each (non-indexed) treasury bond ISIN is used in at least 6 repos and each treasury indexed bond ISIN is used in at least 16 repos. ... 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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Appendix D: Glossary and Data
1 Jun 2000
RDP
2000-05
Core Inflation: Datastream, USCPXFDEF, JPCPXFFDF, EMESHARMF, EMCP.F. Definition:. Yield on the conventional Australian 10-year bond less the yield on Treasury capital indexed bonds of similar maturity. ... Treasury capital indexed bond yields:
https://www.rba.gov.au/publications/rdp/2000/2000-05/appendix-d.html
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Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
3 May 2023
RDP
PDF
247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf