Publications

Working Paper No. 910 | August 2018

Australian Government Bonds’ Nominal Yields

An Empirical Analysis
The short-term interest rate is the main driver of the Commonwealth of Australia government bonds’ nominal yields. This paper empirically models the dynamics of government bonds’ nominal yields using the autoregressive distributed lag (ARDL) approach. Keynes held that the central bank exerts decisive influence on government bond yields because the central bank’s policy rate and other monetary policy actions determine the short-term interest rate, which in turn affects long-term government bonds’ nominal yields. The models estimated here show that Keynes’s conjecture applies in the case of Australian government bonds’ nominal yields. Furthermore, the effect of the budget balance ratio on government bond yields is small but statistically significant. However, there is no statistically discernable effect of the debt ratio on government bond yields.

Related Publications


Publication Highlight

Working Paper No. 980
Balance Sheet Effects of a Currency Devaluation
A Stock-Flow Consistent Framework for Mexico
Author(s): Lorenzo Nalin, Giuliano Toshiro Yajima
December 2020

Quick Search

Search in: