Arbeitspapier
Australian government bonds' nominal yields: An empirical analysis
The short-term interest rate is the main driver of the Commonwealth of Australia government bonds' nominal yields. This paper empirically models the dynamics of government bonds' nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts decisive influence on government bond yields because the central bank's policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds' nominal yields. The models estimated here show that Keynes's conjecture applies in the case of Australian government bonds' nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small but statistically significant. However, there is no statistically discernable effect of the debt ratio on government bond yields.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 910
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Monetary Policy, Central Banking, and the Supply of Money and Credit: General
Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Economic Development: Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
- Subject
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Government Bond Yields
Long-Term Interest Rate
Monetary Policy
Australian Government Bond Market
Commonwealth of Australia
- Event
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Geistige Schöpfung
- (who)
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Akram, Tanweer
Das, Anupam
- Event
-
Veröffentlichung
- (who)
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Levy Economics Institute of Bard College
- (where)
-
Annandale-on-Hudson, NY
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Akram, Tanweer
- Das, Anupam
- Levy Economics Institute of Bard College
Time of origin
- 2018
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