A term structure decomposition of the Australian yield curve / Richard Finlay and Mark Chambers.
A term structure decomposition of the Australian yield curve / Richard Finlay and Mark Chambers.
About this item
Full title
Author / Creator
Publisher
[Sydney] : Domestic Markets Dept., Reserve Bank of Australia, 2008.
Date
2008.
Call Numbers
Q332.1105/6
Record Identifier
MMS ID
Language
English
Formats
Physical Description
Physical content
ii, 38 p. : ill. (some col.) ; 21 cm.
Publication information
Publisher
[Sydney] : Domestic Markets Dept., Reserve Bank of Australia, 2008.
Place of Publication
New South Wales
Date Published
2008.
Subjects
More information
Scope and Contents
Summary
"We use data on coupon-bearing Australian Government bonds and overnight indexed swap (OIS) rates to estimate risk-free zero-coupon yield and forward curves for Australia from 1992 to 2007. These curves, and analysts? forecasts of future interest rates, are then used to fit an affine term structure model to Australian interest rates, with the aim o...
Alternative Titles
Full title
A term structure decomposition of the Australian yield curve / Richard Finlay and Mark Chambers.
Authors, Artists and Contributors
Author / Creator
Notes
General note
Research discussion paper / Reserve Bank of Australia, 1320-7229 ; 2008-09.
"December 2008".
"RDP 2008-09"--Cover.
Includes bibliographical references (p. 37-38)
Additional physical form availability note
Also available online. On 14/05/09 available from the RBA website at: http://www.rba.gov.au/rdp/RDP2008-09.pdf.
Contextual Information
Other version (online)
Identifiers
Primary Identifiers
Call Numbers
Q332.1105/6
Record Identifier
74VvqvleLOLy
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/74VvqvleLOLy
Other Identifiers
DDC
330.0994 330.994
MMS ID
991006161039702626
