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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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A Term Structure Decomposition of the Australian Yield Curve

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2008/2008-09.html

Appendix A: Zero-coupon Yields

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix A: Zero-coupon Yields. ... Another potential and related criticism is the mixing together of OIS and bond yields to estimate a single yield curve.
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-a.html

A Term Structure Decomposition of the Australian Yield Curve

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Research Discussion Paper – RDP 2008-09 A Term Structure Decomposition of the Australian Yield Curve.
https://www.rba.gov.au/publications/rdp/2008/2008-09/

Conclusion

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve 6. ... 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

Appendix B: Risk-neutral Bond Pricing

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix B: Risk-neutral Bond Pricing.
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-b.html

Appendix C: Model Implementation

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve Appendix C: Model Implementation. ... The standard deviation of zero-coupon yield measurement errors is set to 10 basis points, while those of the survey forecasts are set to 50
https://www.rba.gov.au/publications/rdp/2008/2008-09/appendix-c.html

Results

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve 5. ... generating yields along the curve than the model used to estimate the zero-coupon yields – it must rely on the three latent factor values to generate an entire yield curve.
https://www.rba.gov.au/publications/rdp/2008/2008-09/results.html

Introduction

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
The term structure of interest rates is often presented as a yield curve, which plots the yields to maturity of bonds with varying terms to maturity. ... Despite these caveats, the importance of the shape of the yield curve and expectations of future
https://www.rba.gov.au/publications/rdp/2008/2008-09/introduction.html

Data and Model Implementation

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
Using the Kalman filter, the yield data are used to estimate the latent factors and model implied yields. ... counter many of the small sample problems just discussed (note that we use surveys of cash rate expectations and bond yields, whereas they use
https://www.rba.gov.au/publications/rdp/2008/2008-09/data-model.html

References

30 Dec 2008 RDP 2008-09
Richard Finlay and Mark Chambers
RDP 2008-09: A Term Structure Decomposition of the Australian Yield Curve References. ... Duffie D and R Kan (1996), ‘A Yield-Factor Model of Interest Rates’, Mathematical Finance, 6(4), pp 379–406.
https://www.rba.gov.au/publications/rdp/2008/2008-09/references.html