Determinants of New Zealand bond yields
This paper examines the driving factors of New Zealand bond yields over the 1988-1997 period. The results indicate that: . the general analytical framework implied by the Uncovered Interest Parity (UIP) relation finds some support in the data. . in the long run, short term real bond yields are related to US real bond yields, currency expectations and expectations of the future stance of domestic monetary policy vis a vis the stance offshore. . long-term real bond yields are related to Australian real bond yields, currency expectations, inflation uncertainty and relative monetary policy expectations. . in recent years, domestic bond yields have been more closely related to offshore yields suggesting increased integration between the domestic and international capital markets. . increased perceptions of political risk appears to have played an important role in the rise in domestic long bond yields during the first half of 1996.
|Date of creation:||Jan 1998|
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References listed on IDEAS
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- Robert J. Barro & Xavier Sala-i-Martin, 1990.
"World Real Interest Rates,"
in: NBER Macroeconomics Annual 1990, Volume 5, pages 15-74
National Bureau of Economic Research, Inc.
- Robert J. Barro & Xavier Sala-i-Martin, 1990. "World Real Interest Rates," NBER Working Papers 3317, National Bureau of Economic Research, Inc.
- Barro, R.J. & Martin, X.S., 1990. "World Real Interest Rates," RCER Working Papers 227, University of Rochester - Center for Economic Research (RCER).
- Wright, S., 1995. "Forecasting the Bond Market," Cambridge Working Papers in Economics 9515, Faculty of Economics, University of Cambridge.
- Adrian Orr & Malcolm Edey & Michael Kennedy, 1995. "The Determinants of Real Long-Term Interest Rates: 17 Country Pooled-Time-Series Evidence," OECD Economics Department Working Papers 155, OECD Publishing.
- Ford, Robert & Laxton, Douglas, 1999. "World Public Debt and Real Interest Rates," Oxford Review of Economic Policy, Oxford University Press, vol. 15(2), pages 77-94, Summer.
- Robert Ford & Douglas Laxton, 1995. "World Public Debt and Real Interest Rates," IMF Working Papers 95/30, .
- William Lee & Eswar S Prasad, 1994. "Changes in the Relationship Between the Long-Term Interest Rate and its Determinants," IMF Working Papers 94/124, International Monetary Fund.
- Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- Howard Howe & Charles Pigott, 1991. "Determinants of long-term interest rates: an empirical study of several industrial countries," Quarterly Review, Federal Reserve Bank of New York, issue Win, pages 12-28. Full references (including those not matched with items on IDEAS)
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