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A general equilibrium (GE) model of the term structure applied to Australian securities

Citation

Felmingham, BS and Grey, WN, A general equilibrium (GE) model of the term structure applied to Australian securities, Applied Economics Letters, 5, (11) pp. 685-687. ISSN 1350-4851 (1998) [Refereed Article]

DOI: doi:10.1080/135048598354122

Abstract

The Double Square Root (DSR) GE model of the term structure is fitted to Australian security yield data over the period 2 January 1984 to 15 December 1995 - a data set of 3041 yields on four securities: 30 and 90-day BAB: and 5 and 10-year bonds. Applying both the OLS and GMM estimators we find a nonlinear, reduced form relationship between these yields and the risk free rate. So we conclude that GE models explain a diverse range of Australian yield curve shapes and that Australian bond prices are not necessarily inversely related to interest rates. © 199S Roulledge.

Item Details

Item Type:Refereed Article
Research Division:Commerce, Management, Tourism and Services
Research Group:Banking, Finance and Investment
Research Field:Finance
Objective Division:Commercial Services and Tourism
Objective Group:Financial Services
Objective Field:Finance Services
Author:Felmingham, BS (Dr Bruce Felmingham)
Author:Grey, WN (Mr William Grey)
ID Code:14425
Year Published:1998
Deposited By:Economics and Finance
Deposited On:1998-08-01
Last Modified:2011-08-09
Downloads:0

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