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A general equilibrium (GE) model of the term structure applied to Australian securities
journal contribution
posted on 2023-05-16, 11:20 authored by Felmingham, BS, Grey, WNThe 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.
History
Publication title
Applied Economics LettersVolume
5Issue
11Pagination
685-687ISSN
1350-4851Department/School
TSBEPublisher
RoutledgePlace of publication
London, UKRepository Status
- Restricted