Search: bond
RBA Glossary definition for bond
bond – In general terms, a bond is a statement of debt with a medium to long term to maturity at the time it is issued. The holder of a bond is a lender to the issuer. As such, the statement gives the issuer an obligation to provide the holder with an income payment and/or a stream of income payments over the life of the bond and to repay the principal. The risk that the issuer cannot fulfil their obligation varies from issuer to issuer and over time.
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Appendix B: Risk-neutral Bond Pricing
30 Dec 2008
RDP
2008-09
t. ,t) denote the time t price of two zero-coupon bonds with different maturity dates. ... Consider a portfolio that is long one A bond and short h B bonds.
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-b.html
A Term Structure Decomposition of the Australian Yield Curve
30 Dec 2008
RDP
2008-09
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html
Results
30 Dec 2008
RDP
2008-09
Alternatively, Australia's relatively small supply of government bonds may have resulted in yields being bid down by risk-averse and mandate-constrained investors. ... forecasts. Bond-implied forward rates were briefly above analysts' forecasts of the
https://www.rba.gov.au/publications/rdp/2008/2008-09/results.html
Appendix A: Zero-coupon Yields
30 Dec 2008
RDP
2008-09
notes, and they trade in a different market to physical bonds or notes, which may mean that the factors affecting OIS pricing are sometimes different from those affecting note or bond ... ij. , and m. i. is the number of cash flows belonging to bond i.
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-a.html
Conclusion
30 Dec 2008
RDP
2008-09
This period displays relatively low inflation, stable economic growth and stable bond yields. ... This could reflect the widely discussed ‘search for yield’ that occurred over this period, or may be explained by an over-shooting of bond yields.
https://www.rba.gov.au/publications/rdp/2008/2008-09/conclusion.html
Model Overview and Related Literature
30 Dec 2008
RDP
2008-09
Arbitrage conditions allow us to link bond prices to the evolution of the cash rate. ... Term premia could therefore be positive or negative, depending on the mix of investors trading bonds.
https://www.rba.gov.au/publications/rdp/2008/2008-09/model-overview.html
The Model in Detail
30 Dec 2008
RDP
2008-09
minimising the difference between zero-coupon bond prices and those prices implied by Equation (6). ... τ. and β. τ. (and hence only impact on bond prices) in the form (K ΣΛ).
https://www.rba.gov.au/publications/rdp/2008/2008-09/model-detail.html
A Term Structure Decomposition of the Australian Yield Curve
30 Dec 2008
RDP
2008-09
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/
Data and Model Implementation
30 Dec 2008
RDP
2008-09
For maturities longer than 18 months we use the yields of Australian Government bonds. ... Bonds with shorter maturities can become quite illiquid, and tend to suffer from pricing anomalies.
https://www.rba.gov.au/publications/rdp/2008/2008-09/data-model.html
Introduction
30 Dec 2008
RDP
2008-09
on (hypothetical) zero-coupon bonds, which are bonds that do not make any periodic interest payments. ... The fact that these two elements are time-varying and are confounded in their effect on bond prices makes the choice of model crucial.
https://www.rba.gov.au/publications/rdp/2008/2008-09/introduction.html