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Pricing Bonds in the Australian Market

Bilson, Chris; Brailsford, Timothy John; Sullivan, Luke J; Treepongkaruna, Sirimon

Description

This paper provides an examination of term structure models in the Australian bond market. Specifically, we examine the comparative ability of various models to forecast at the short, medium and long ends of the yield curve. Overall, we find that model performance varies along the yield curve. Out-of-sample pricing tests show that most of the term structure models underprice a bond at the short and medium ends of the term structure and generally overprice bonds at the long end. Further, the...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
URI: http://hdl.handle.net/1885/30633
Source: Australian Journal of Management

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