Search: yield
RBA Glossary definition for yield
yield – The expected rate of return expressed as a percentage of the net outlay or net proceeds of an investment, not of its face value.
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Appendix C: Estimating the Real Zero-coupon Yield Curve
27 Feb 2018
RDP
2018-02
We correct for this by pushing the real yield back up a bit. ... We will recover. by writing the observed bond price P as a function of known inflation and nominal yields, and the unknown true real yield, and solving for the latter.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-c.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
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
This emphasises the importance of not taking changes in observed yields at face value when trying to infer market expectations. ... The Kim and Wright (2005) methodology incorporates surveys, while the Adrian et al (2013) methodology only uses yield data.
https://www.rba.gov.au/publications/rdp/2018/2018-02/results.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
For intuition, consider a model that matches a set of observed yields and survey expectations. ... Our real data consist of real zero-coupon yields bootstrapped using linear interpolation.
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.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
Nominal zero-coupon bond yield data – ‘Some yields m.csv’:. Nominal zero-coupon yield data taken from Statistical table F17 ‘Zero-coupon Interest Rates – Analytical Series – 2009 to Current’ on RBA ... website. Real zero-coupon bond yield
https://www.rba.gov.au/publications/rdp/2018/2018-02/read-me.html
Appendix D: Descriptive Statistics
27 Feb 2018
RDP
2018-02
Download the Paper 1,673. KB. Table D1: Summary of Selected Zero-coupon Yields. ... na. na. 0.990. 0.991. 0.992. 0.992. 0.992. 0.991. 0.990. Figure D1: Zero-coupon Yields.
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-d.html
References
27 Feb 2018
RDP
2018-02
Duffie D and R Kan (1996), ‘A Yield-Factor Model of Interest Rates’, Mathematical Finance, 6(4), pp 379–406. ... Finlay R and M Chambers (2009), ‘A Term Structure Decomposition of the Australian Yield Curve’, Economic Record, 85(271), pp
https://www.rba.gov.au/publications/rdp/2018/2018-02/references.html
Appendix B: The JSZ Normalisation
27 Feb 2018
RDP
2018-02
As such, we need to adapt JSZ to deal with real yields and survey data, which we do now. ... principal components of the bond yields (for a yield-only model this is actually no constraint at all, but for a model with surveys it does impose constraints).
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-b.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
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
Robustness Checks
27 Feb 2018
RDP
2018-02
On the flip side, it estimates the variance of the noise associated with the real yields to be higher. ... The estimates of the variance of the noise associated with the nominal yields are similar in the filtered and unfiltered models.
https://www.rba.gov.au/publications/rdp/2018/2018-02/robustness-checks.html