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Determinants of New Zealand bond yields

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    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.

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    File URL: http://www.rbnz.govt.nz/research_and_publications/discussion_papers/1998/g98_1.pdf
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    Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number G98/1.

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    Length: 36p
    Date of creation: Jan 1998
    Date of revision:
    Handle: RePEc:nzb:nzbdps:1998/01
    Contact details of provider: Postal: P.O. Box 2498, Wellington
    Phone: 64 4 471-3767
    Fax: 64 4 471-2270
    Web page: http://www.rbnz.govt.nz
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    1. Robert Ford & Douglas Laxton, 1995. "World Public Debt and Real Interest Rates," IMF Working Papers 95/30, International Monetary Fund.
    2. Robert J. Barro & Xavier Sala-i-Martin, 1990. "World Real Interest Rates," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 15-74 National Bureau of Economic Research, Inc.
    3. William Lee & Eswar Prasad, 1994. "Changes in the Relationship Between the Long-Term Interest Rate and its Determinants," IMF Working Papers 94/124, International Monetary Fund.
    4. 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.
    5. Wright, S., 1995. "Forecasting the Bond Market," Cambridge Working Papers in Economics 9515, Faculty of Economics, University of Cambridge.
    6. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
    7. 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.
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