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RBA Glossary definition for AGS

AGS – Australian Government Securities. Include all securities issued by the Australian Government at tenders conducted by the AOFM (and by the Reserve Bank of Australia acting as agent for the Australian Government prior to 23 October 2006). They comprise Treasury bonds, Treasury notes, Treasury indexed bonds and, previously, Treasury adjustable rate bonds. These securities are issued either by tender or syndication.

Search Results

The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
For purchases to support market function, we find that the announcement lowered short-dated Australian Government Securities (AGS) yields, but did not lower longer-dated AGS yields. ... For the bond purchase program, we find an announcement effect of
https://www.rba.gov.au/publications/rdp/2022/2022-02.html

Conclusion

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
was no decline in longer-dated AGS yields or in the spreads of semis yields to AGS. ... For the yield target, we find a significant announcement effect on the 3-year AGS yield, in the order of 15 to 25 basis points.
https://www.rba.gov.au/publications/rdp/2022/2022-02/conclusion.html

Implementation Effects

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
AGS series excludes impact of purchases brought forward under the bond purchase program on 1 March 2021. ... AGS yields. Semis spreads. Short-dated. Long-dated. Short-dated. Long-dated. Combined. Bond eligible for purchase.
https://www.rba.gov.au/publications/rdp/2022/2022-02/implementation-effects.html

Introduction

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
In sum, the yield on the 10-year AGS declined by around 30 basis points. ... the historical relationship between AGS yields and a handful of financial market factors, both domestic and international.
https://www.rba.gov.au/publications/rdp/2022/2022-02/introduction.html

The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
Figure 4: April 2023 AGS Yield and the Introduction of the Yield Target. ... Figure 6: Change in AGS Spreads to OIS. Over key event study days.
https://www.rba.gov.au/publications/rdp/2022/2022-02/full.html

Read me file

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
AOFM. The AOFM publishes data on its positions and transactions in Australian Government Securities (AGS) in the data hub on the AOFM's website (https://www.aofm.gov.au/data-hub).
https://www.rba.gov.au/publications/rdp/2022/2022-02/read-me.html

Additional Analysis of Yield Effects

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
Note: Counterfactual calculated by cumulating modelled changes in the 10-year AGS yield. ... Table 7: Linear Regressions of Monthly Changes in the 10-year AGS Yield.
https://www.rba.gov.au/publications/rdp/2022/2022-02/additional-analysis-of-yield-effects.html

Effects on Market Functioning

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
AGS. Semis. Purchases of free float in the week. 1.61. (0.36). ... AGS. Semis. Purchases of free float in the week. 0.13. (0.43).
https://www.rba.gov.au/publications/rdp/2022/2022-02/effects-on-market-functioning.html

Event Study of Announcement Effects

24 May 2022 RDP 2022-02
Richard Finlay, Dmitry Titkov and Michelle Xiang
Figure 4: April 2023 AGS Yield and the Introduction of the Yield Target. ... Figure 6: Change in AGS Spreads to OIS. Over key event study days.
https://www.rba.gov.au/publications/rdp/2022/2022-02/event-study-of-announcement-effects.html