RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia Appendix D: Descriptive Statistics

Jonathan Hambur and Richard Finlay

February 2018

Table D1: Summary of Selected Zero-coupon Yields
Maturity (months)
  6 12 18 24 36 48 60 84 120 180
Nominal
Mean (ppt) 4.75 4.80 4.85 4.91 5.06 5.20 5.32 5.49 5.66 na
Standard deviation (ppt) 1.62 1.69 1.74 1.77 1.81 1.83 1.84 1.84 1.81 na
Autocorrelation 0.988 0.985 0.984 0.984 0.986 0.987 0.988 0.988 0.988 na
Real
Mean (ppt) na na na 2.63 2.67 2.71 2.75 2.81 2.86 2.91
Standard deviation (ppt) na na na 1.35 1.37 1.39 1.39 1.32 1.36 1.27
Autocorrelation na na na 0.990 0.991 0.992 0.992 0.992 0.991 0.990
Figure D1: Zero-coupon Yields
Figure D1: Zero-coupon Yields

Sources: Authors' calculations; RBA