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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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
12 May 2023
RDP
2023-04
Research Discussion Paper – RDP 2023-04 Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?
https://www.rba.gov.au/publications/rdp/2023/2023-04.html
Conclusion
12 May 2023
RDP
2023-04
Following Kaminska, Mumtaz and Šustek (2021), we combine high-frequency data on changes in yields around policy announcements with an affine term structure model to decompose unexpected changes in the yield ... COVID-19-era policy mainly affected yields
https://www.rba.gov.au/publications/rdp/2023/2023-04/conclusion.html
Appendix B: Additional Results
12 May 2023
RDP
2023-04
24-month yield change. (a). 8.32. na. na. na. Action shock – quarterly. ... b) Instrumenting for second principal component of yield curve. Figure B1: Factor Loadings.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-b.html
Appendix A: Affine Term Structure Model
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Download the Paper 1.43. MB. We use a simple nominal ATSM model to decompose yield changes.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-a.html
Non-technical summary for ‘Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?…
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Yes and No! Non-technical summary for ‘Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary
https://www.rba.gov.au/publications/rdp/2023/2023-04/non-technical-summary.html
References
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Bikbov R and M Chernov (2011), ‘Yield Curve and Volatility: Lessons from Eurodollar Futures and Options’, Journal of
https://www.rba.gov.au/publications/rdp/2023/2023-04/references.html
Introduction
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Section 3 describes the KMS approach and shows the corresponding decomposition of yield curve changes.
https://www.rba.gov.au/publications/rdp/2023/2023-04/introduction.html
Related Literature
12 May 2023
RDP
2023-04
RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? ... Specifically, KMS apply an ATSM to high-frequency data on changes in the yield curve around Fed policy announcements.
https://www.rba.gov.au/publications/rdp/2023/2023-04/related-literature.html
Read me file
12 May 2023
RDP
2023-04
Input folder:. Input dataNom ATSMATSM inputs. Input files:. ‘Yields_m – extra.csv’ (end-month data from zero coupon yield curve). ... yield-curve.xlsx’ (monetary policy announcement yields – not for public release. ‘other events.csv’ (other
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
Supplementary Information for RDP 2023-04: Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its …
12 May 2023
RDP
2023-04
Research Discussion Paper – RDP 2023-04 Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?
https://www.rba.gov.au/publications/rdp/2023/2023-04/supplementary-information.html