The Market for Commonwealth Government Securities

W. H. Evans and H. A. Rozenstein
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H. A. Rozenstein: Research Department, Reserve Bank of Australia. We are grateful to the members of the Department's Research-in-Progress workshop group, especially Peter Jonson, Bill Norton and Jeff Carmichael for helpful suggestions on an earlier draft of this paper. We are also grateful to John Anderson who provided invaluable assistance in preparing the time series models used in this study. Hone of the above or our employer is necessarily in agreement with the analysis or conclusions.

Australian Journal of Management, 1980, vol. 5, issue 1-2, 109-132

Abstract: This study of the market for Commonwealth government securities in Australia pays particular attention to the influence of interest rate expectations on demand. Attempts to estimate expectations with current and past information, including the use of a Box-Jenkins time series model are unsuccessful. An assumption that interest rate expectations are based on perfect foresight proves valuable in explaining the demand for government securities. The picture of the market which emerges is one of a private sector which acts on new information more quickly than it is incorporated in the official yield curve.

Keywords: GOVERNMENT SECURITY; INTEREST RATE EXPECTATIONS; MARKET VALUE; YIELD OVER PERIOD OF HOLDING (search for similar items in EconPapers)
Date: 1980
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:5:y:1980:i:1-2:p:109-132

DOI: 10.1177/031289628000500206

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