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A general equilibrium (GE) model of the term structure applied to Australian securities

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  • Bruce Felmingham
  • W. Norton Grey

Abstract

The Double Square Root (DSR) GE model of the term structure is fitted to Australian security yield data over the period 2 January 1984 to 15 December 1995 - a data set of 3041 yields on four securities: 30 and 90-day BAB: and 5 and 10-year bonds. Applying both the OLS and GMM estimators we find a nonlinear, reduced form relationship between these yields and the risk free rate. So we conclude that GE models explain a diverse range of Australian yield curve shapes and that Australian bond prices are not necessarily inversely related to interest rates.

Suggested Citation

  • Bruce Felmingham & W. Norton Grey, 1998. "A general equilibrium (GE) model of the term structure applied to Australian securities," Applied Economics Letters, Taylor & Francis Journals, vol. 5(11), pages 685-687.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:11:p:685-687
    DOI: 10.1080/135048598354122
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