IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

Making sense of international interest rate movements

Listed author(s):
Registered author(s):

    In this article, we describe a framework for analysing movements in government bond interest rates and present some results from applying this approach. Our framework disaggregates movements in nominal rates into estimated changes in real interest rates and inflation expectations. In addition, we discuss a measure of interest rate uncertainty, a factor which will often influence movements in these components. Since any long-term bond can be thought of as equivalent to a sequence of shorter-term bonds, we also calculate implied forward measures of each of these factors to better understand not only which factors are driving movements in nominal interest rates but also over which periods of time (i.e., current, future or some combination of the two) these factors are having an effect. We use the method to analyse movements in term interest rates in the US and the UK, two major markets with good data, since the global financial crisis intensified in 2008. It appears that the global financial crisis has had a largely temporary impact on longer-term measures of interest rate components: looking ahead, markets appear not to expect longer-term interest rates to be much different than they were prior to 2008. There are limits to our ability to apply these techniques directly to New Zealand markets, but the Reserve Bank of New Zealand uses them to help make sense of what is going on in international bond markets which in turn directly affect longer-term interest rates in New Zealand.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Article provided by Reserve Bank of New Zealand in its journal Reserve Bank of New Zealand Bulletin.

    Volume (Year): 74 (2011)
    Issue (Month): (March)
    Pages: 5-14

    in new window

    Handle: RePEc:nzb:nzbbul:march2011:7
    Contact details of provider: Postal:
    P.O. Box 2498, Wellington

    Phone: 64 4 471-3767
    Fax: 64 4 471-2270
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:nzb:nzbbul:march2011:7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Reserve Bank of New Zealand Knowledge Centre)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.