Research Discussion Paper – RDP 2018-02 Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

Contents

• Introduction
• The Model
• Data and Estimation
• Results
• Robustness Checks
• Conclusion
• Appendix A: The Affine Term Structure Model
• Appendix B: The JSZ Normalisation
• Appendix C: Estimating the Real Zero-coupon Yield Curve
• Appendix D: Descriptive Statistics
• Appendix E: Estimated Forward Rates for Reduced Sample
• Appendix F: Estimated Forward Rates for the Unfiltered Model
• References

The authors would like to thank Mark Chambers, Rodrigo Guimarães, Leo Krippner and John Simon for helpful comments and suggestions; any remaining errors are the responsibility of the authors alone. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia.