Extracting Information from Financial Market Instruments
Financial market prices contain information about market expectations for economic variables, such as inflation or the cash rate, that are of interest to policymakers. This article describes four financial market instruments that are particularly useful for this, and documents how market expectations and other useful information can be derived from them. In particular, it describes how overnight indexed swap rates and government bond yields can be used to estimate a zero-coupon yield curve and infer market expectations for risk-free interest rates, and how inflation swap rates and inflation-indexed government bond yields can be used to infer market expectations for the inflation rate.
Volume (Year): (2012)
Issue (Month): (March)
|Contact details of provider:|| Postal: |
Web page: http://www.rba.gov.au/Email:
More information through EDIRC
|Order Information:||Web: http://www.rba.gov.au/order-form/index.html|
References listed on IDEAS
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.:
- Spencer, Peter & Liu, Zhuoshi, 2010.
"An open-economy macro-finance model of international interdependence: The OECD, US and the UK,"
Journal of Banking & Finance,
Elsevier, vol. 34(3), pages 667-680, March.
- Peter Spencer & Zhuoshi Liu, . "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
- Bolder, David & Streliski, David, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.
When requesting a correction, please mention this item's handle: RePEc:rba:rbabul:mar2012-06. 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: (Paula Drew)
If references are entirely missing, you can add them using this form.