Connecting the dots: a yield curve perspective on New Zealand’s interest rates
AbstractThis article explains the concept of the yield curve, the pattern of interest rates by their time to maturity, and how that concept helps to provide some perspective on the multitude of different interest rates that exist in modern economies. The dominance of macroeconomic influences on the government yield curve are discussed, and then the additional factors of default risk and liquidity risk are introduced in the context of the bank and mortgage yield curves. The article also indicates how careful analysis of the yield curve may be used to back out information of interest to the Reserve Bank, such as the market expectations about the path of the Official Cash Rate (OCR) and future economic growth, and how interest rate influence the exchange rate.
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Bibliographic InfoArticle provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.
Volume (Year): 73 (2010)
Issue (Month): (September)
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- D10 - Microeconomics - - Household Behavior - - - General
- R20 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis - - - General
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Leo Krippner, 2006. "A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 39-59.
- Francis X. Diebold & Glenn D. Rudebusch & S. Boragan Aruoba, 2004.
"The Macroeconomy and the Yield Curve: A Dynamic Latent Factor Approach,"
NBER Working Papers
10616, National Bureau of Economic Research, Inc.
- Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
- Leo Krippner, 2008. "A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models," Research Paper Series 226, Quantitative Finance Research Centre, University of Technology, Sydney.
- Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics.
- Enzo Cassino, 2012. "Modelling New Zealand mortgage interest rates?," Reserve Bank of New Zealand Analytical Notes series AN2012/10, Reserve Bank of New Zealand.
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