Estimates of time-varying term premia for New Zealand and Australia

Michael Gordon
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Michael Gordon: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No DP2003/06, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: Forward rates in the money market are systematically higher than realised spot rates, reflecting an unobservable term premium. This paper uses a Kalman filter specification to produce time-varying estimates of the term premia in New Zealand and Australia. Three time series specifications are used to examine the properties of the premia, such as the average size, volatility, and the degree of mean reversion.

JEL-codes: C30 C50 E43 (search for similar items in EconPapers)
Pages: 33p
Date: 2003-08
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Citations: View citations in EconPapers (3)

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