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What in the world moves New Zealand bond yields?

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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.

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  • Michelle Lewis & Lauren Rosborough, 2013. "What in the world moves New Zealand bond yields?," Reserve Bank of New Zealand Analytical Notes series AN2013/08, Reserve Bank of New Zealand.
    • Handle: RePEc:nzb:nzbans:2013/08
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    References listed on IDEAS

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    2. Kristin J. Forbes & Menzie D. Chinn, 2004. "A Decomposition of Global Linkages in Financial Markets Over Time," The Review of Economics and Statistics, MIT Press, vol. 86(3), pages 705-722, August.
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    7. Guender, Alfred V. & Rimer, Oyvinn, 2008. "The implementation of monetary policy in New Zealand: What factors affect the 90-day bank bill rate?," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 215-234, August.
    8. Poghosyan, Tigran, 2014. "Long-run and short-run determinants of sovereign bond yields in advanced economies," Economic Systems, Elsevier, vol. 38(1), pages 100-114.
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    Cited by:

    1. Sri Hari NAIDU. A & Phanindra GOYARI & Bandi KAMAIAH, 2016. "Determinants of sovereign bond yields in emerging economies: Some panel inferences," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania / Editura Economica, vol. 0(3(608), A), pages 101-118, Autumn.
    2. Michael Callaghan & Enzo Cassino & Tugrul Vehbi & Benjamin Wong, 2019. "Opening the toolbox: how does the Reserve Bank analyse the world?," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 82, pages 1-14, April.
    3. Ashley Dunstan, 2014. "The interaction between monetary and macro-prudential policy," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 77, pages 15-25, June.

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