We forecast economic growth in New Zealand using yield curve data within simple statistical models; i.e. typical OLS relationships that have been well-established for other countries, and related VAR specifcations. We find that the yield curve data has significant forecasting power in absolute...

The hypothesis that New Zealand 90-day bank bill futures rates are an unbiased predictor of 90-day bank bill rates is tested by applying the single-equation method of Stock and Watson (1993) to quarterly data from 1989 to 1997. The results do not reject the unbiasedness hypothesis for the one...

The Reserve Bank is interested in expectations of the official cash rate that are held by financial market participants. In this article we discuss two formal methods by which the Bank measures these expectations; a direct survey of market surveys, and extracting OCR expectations indirectly from...

A popular class of yield curve models is based on the Nelson and Siegel approach of 'fitting' yield curve data with simple functions of maturity. However, such models cannot be consistent across time. This article addresses that deficiency by deriving an intertemporally consistent and...

This article establishes that most yield curve models within the popular Nelson and Siegel (1987, hereafter NS) class may be obtained as a formal Taylor approximation to the dynamic component of the generic Gaussian affine term structure model outlined in Dai and Singleton (2002). That...

Yield curve models of the Nelson and Siegel (1987) class have proven themselves popular empirical tools in finance and economics, but they lack a formal theoretical justification. Hence, this article uses a multifactor version of the Cox, Ingersoll and Ross (1985a) continuous-time...

The hypothesis that a forward term-premium (FTP) exists between forward 1- day rates calculated from the New Zealand bank-risk yield curve and the corresponding ex-post Official Cash Rate (OCR) is tested by applying a single equation method for a cointegrated system to daily data from March 1999...

This article derives a generic, intertemporally-consistent, and arbitrage-free version of the popular class of yield curve models originally introduced by Nelson and Siegel (1987). The derived model has a theoretical foundation (conferred via the Heath, Jarrow and Morton (1992) framework) that...

The hypothesis that New Zealand 90-day bank bill futures rates are an unbiased predictor of 90-day bank bill rates is tested by applying the single-equation method of Stock and Watson (1993) to quarterly data from 1989 to 1997. The results do not reject the unbiasedness hypothesis for the one...

With nominal interest rates currently at or near their zero lower bound (ZLB) in many major economies, it has become untenable to apply Gaussian affine term structure models (GATSMs) while ignoring their inherent non-zero probabilities of negative interest rates. In this article I modify GATSMs...