What in the world moves New Zealand bond yields?

Michelle Lewis and Lauren Rosborough

No AN2013/08, Reserve Bank of New Zealand Analytical Notes series from Reserve Bank of New Zealand

Abstract: We use statistical techniques to identify the co-movement among the bond yields of 12 advanced countries, and thus estimate two-year and 10-year World Interest Rates. Daily and monthly changes in the estimated World Interest Rates explain a lot of the variation in New Zealand bond yields.

Pages: 18 p.
Date: 2013-12
New Economics Papers: this item is included in nep-ger
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