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The Market for Commonwealth Government Securities

Author

Listed:
  • W. H. Evans
  • 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.)

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.

Suggested Citation

  • W. H. Evans & H. A. Rozenstein, 1980. "The Market for Commonwealth Government Securities," Australian Journal of Management, Australian School of Business, vol. 5(1-2), pages 109-132, April.
    • Handle: RePEc:sae:ausman:v:5:y:1980:i:1-2:p:109-132
    DOI: 10.1177/031289628000500206
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    References listed on IDEAS

    as
    1. John Helliwell & Peter Boxall, 1978. "Private Sector Wealth: Quarterly Estimates for use in an Aggregate Model," The Economic Record, The Economic Society of Australia, vol. 54(1), pages 45-64, April.
    2. P.D. Jonson & R.G. Trevor, 1979. "Monetary Rules: A Preliminary Analysis," RBA Research Discussion Papers rdp7903, Reserve Bank of Australia.
    3. W.E. Norton & A.M. Cohen & K.M. Sweeny, 1970. "A Model of the Monetary Sector," RBA Research Discussion Papers rdp11, Reserve Bank of Australia.
    4. P.D. Jonson & E.R. Moses & C.R. Wymer, 1976. "A Minimal Model of the Australian Economy," RBA Research Discussion Papers rdp7601, Reserve Bank of Australia.
    5. R.S. Deane, 1970. "A Model of the Market for Australian Government Securities," RBA Research Discussion Papers rdp14, Reserve Bank of Australia.
    6. P.D. Jonson, 1972. "Expectations and the Demand for Government Bonds in Australia," RBA Research Discussion Papers rdp25, Reserve Bank of Australia.
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