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What in the world moves New Zealand bond yields?

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    Abstract

    We use statistical techniques to identify the co-movement among the bond yields of 12 advanced countries, and thus estimate two-year and 10-year World Interest Rates. Daily and monthly changes in the estimated World Interest Rates explain a lot of the variation in New Zealand bond yields.

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    File URL: http://www.rbnz.govt.nz/research_and_publications/analytical_notes/2013/an2013_08.pdf
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    Bibliographic Info

    Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Analytical Notes series with number AN2013/08.

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    Length: 18 p.
    Date of creation: Dec 2013
    Date of revision:
    Handle: RePEc:nzb:nzbans:2013/08

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    1. Forbes, Kristin J. & Chinn, Menzie David, 2003. "A Decomposition Of Global Linkages In Financial Markets Over Time," Santa Cruz Department of Economics, Working Paper Series qt4391b5w7, Department of Economics, UC Santa Cruz.
    2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, Econometric Society, vol. 61(4), pages 821-56, July.
    3. Guender, Alfred V. & Rimer, Oyvinn, 2008. "The implementation of monetary policy in New Zealand: What factors affect the 90-day bank bill rate?," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 19(2), pages 215-234, August.
    4. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
    5. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics, Boston College Department of Economics 297., Boston College Department of Economics.
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