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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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Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
bond market can be relatively illiquid), and the fit generally improving for longer maturities. ... associated with nominal bonds over inflation-indexed bonds manifested in a lower inflation risk premium, which was subsequently unwound as liquidity
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html

Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
The model allows us to decompose observed yields paid on nominal and inflation-indexed government bonds into expectations for real and nominal interest rates, expectations for inflation, as well as real
https://www.rba.gov.au/publications/rdp/2018/2018-02.html

Results

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
bond market can be relatively illiquid), and the fit generally improving for longer maturities. ... associated with nominal bonds over inflation-indexed bonds manifested in a lower inflation risk premium, which was subsequently unwound as liquidity
https://www.rba.gov.au/publications/rdp/2018/2018-02/results.html

Read Me File for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in…

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
website. Real zero-coupon bond yield data – ‘Some yields m15 – real adj.csv’:. ... Column F–R contains data on individual inflation indexed bond lines from Statistical table F17.
https://www.rba.gov.au/publications/rdp/2018/2018-02/read-me.html

References

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Bauer MD and JD Hamilton (2017), ‘Robust Bond Risk Premia’, Federal Reserve Bank of San Francisco Working Paper 2015-15, rev. ... Jennison F (2017), ‘Estimation of the Term Premium within Australian Treasury Bonds’, Australian Office of Financial
https://www.rba.gov.au/publications/rdp/2018/2018-02/references.html

Data and Estimation

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Liaison suggests that inflation-linked bonds provide the most reliable information on expectations between around three and ten years. ... Nevertheless, we use a wider range of yields because of the sparsity of traded bonds.
https://www.rba.gov.au/publications/rdp/2018/2018-02/data-and-estimation.html

Appendix B: The JSZ Normalisation

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
We include the likelihood of the survey data along with those of the pricing factors and the bond yields in the numerical optimisation. ... principal components of the bond yields (for a yield-only model this is actually no constraint at all, but for a
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-b.html

Appendix C: Estimating the Real Zero-coupon Yield Curve

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
We then calculate what forward rate is required to price the next bond on the yield curve correctly, taking into account the previously estimated forward rates, continuing until all bonds are ... The observed price, and so yield, of inflation-indexed
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-c.html

Appendix A: The Affine Term Structure Model

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Let. be the price of a nominal bond at time t that pays one dollar at time t n. ... Given the above, we now show by induction that bond prices are exponentially affine in X.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-a.html

Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia. Jonathan Hambur. Richard Finlay. February 2018. 1.62. MB. The authors would like to thank
https://www.rba.gov.au/publications/rdp/2018/2018-02/sections.html