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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Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
14 Mar 2011
RDP
2011-01
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2011/2011-01.html
Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
1 Mar 2011
RDP
2011-01
Research Discussion Paper – RDP 2011-01 Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds.
https://www.rba.gov.au/publications/rdp/2011/2011-01/
Model
31 Dec 2011
RDP
2011-01
x. t. 2.3 Pricing Inflation-indexed Bonds in the Latent Factor Model. We now derive the price of an inflation-indexed bond as a function of the model parameters, the ... In Australia, inflation-indexed bonds are indexed with a lag of between 4 and 5
https://www.rba.gov.au/publications/rdp/2011/2011-01/model.html
Appendix B: The Mathematics of Our Model
31 Dec 2011
RDP
2011-01
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds Appendix B: The Mathematics of Our Model. ... then the price of a zero-coupon bond at t paying one dollar at t τ is given by (see, for example, Cochrane (2005
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-b.html
Introduction
31 Dec 2011
RDP
2011-01
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds 1. ... This is, however, a lot of information to extract from a limited amount of bond data.
https://www.rba.gov.au/publications/rdp/2011/2011-01/introduction.html
References
31 Dec 2011
RDP
2011-01
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds References.
https://www.rba.gov.au/publications/rdp/2011/2011-01/references.html
Appendix C: Central Difference Kalman Filter
31 Dec 2011
RDP
2011-01
Let m. k. be the number of observed inflation-indexed bond prices in period k. ... through the pricing function for bond j in period k,. For each observed forecast j = m.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-c.html
Results
31 Dec 2011
RDP
2011-01
RDP 2011-01: Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds 4. ... The low break-even inflation rates in turn are due to the yields on inflation-indexed bonds rising relative to the yields on nominal bonds.
https://www.rba.gov.au/publications/rdp/2011/2011-01/results.html
Data and Model Implementation
31 Dec 2011
RDP
2011-01
Download the Paper 480. KB. 3.1 Data. Four types of data are used in this analysis: nominal zero-coupon bond yields derived from nominal Australian Commonwealth Government bonds; Australian Commonwealth ... Government inflation-indexed bond yields;
https://www.rba.gov.au/publications/rdp/2011/2011-01/data-and-mod-imp.html
Appendix A: Yields and Stochastic Discount Factors
31 Dec 2011
RDP
2011-01
A zero-coupon nominal bond maturing at time t τ is an asset that pays one nominal dollar for certain. ... tτ. = 1.1 Q. t. , then the nominal bond pays off only 1/1.1 0.91 units of consumption.
https://www.rba.gov.au/publications/rdp/2011/2011-01/appendix-a.html