Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve
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References listed on IDEAS
- Leo Krippner, 1998. "Testing the predictive power of New Zealand bank bill futures rates," Reserve Bank of New Zealand Discussion Paper Series G98/8, Reserve Bank of New Zealand.
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- Long H. Vo, 2014. "Application of Kalman Filter on modelling interest rates," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 1-15, March.
- Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.
More about this item
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-06-13 (All new papers)
- NEP-CBA-2002-06-13 (Central Banking)
- NEP-FMK-2002-06-13 (Financial Markets)
- NEP-MON-2002-06-13 (Monetary Economics)
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