Zero-coupon interest rates – analytical series — yields [F17-1]
Notes
F17 ZERO-COUPON INTEREST RATES – ANALYTICAL SERIES
These tables give estimated daily zero-coupon yield, forward and discount curves in quarter-year increments out to 10 years into the future. The yield and forward curves are continuously compounded. No attempt is made to adjust for any risk premia, for example term premia. For more information on the construction of these curves see Appendix A of ‘A Term Structure Decomposition of the Australian Yield Curve’, RBA Research Dicussion Paper 2008-09 and Finlay, R and D Olivan (2012), ‘Extracting Information from Financial Market Instruments’, RBA Bulletin, March, pp 45–54. Underlying data are sourced from Yieldbroker Pty Limited. For any financial institution enquiries about Yieldbroker market data products please contact marketdata@yieldbroker.com.
Data previously published under Table F17 have been removed for commercial reasons.
Updated on DBnomics on December 4, 2023 (4:49 AM)
Dataset has 41 series. Add search filters to narrow them.
- Zero-coupon yield – 0.5 yrs [RBA/F17-1/FZCY50D]
- min:
- 0.03
- max:
- 4.47
- avg:
- 1.952
- σ:
- 1.771
- Zero-coupon yield – 5.25 yrs [RBA/F17-1/FZCY525D]
- min:
- 0.39
- max:
- 4.53
- avg:
- 2.452
- σ:
- 1.287
- Zero-coupon yield – 5.5 yrs [RBA/F17-1/FZCY550D]
- min:
- 0.42
- max:
- 4.55
- avg:
- 2.48
- σ:
- 1.274
- Zero-coupon yield – 5.75 yrs [RBA/F17-1/FZCY575D]
- min:
- 0.46
- max:
- 4.58
- avg:
- 2.507
- σ:
- 1.262
- Zero-coupon yield – 6 yrs [RBA/F17-1/FZCY600D]
- min:
- 0.49
- max:
- 4.6
- avg:
- 2.533
- σ:
- 1.251
- Zero-coupon yield – 6.25 yrs [RBA/F17-1/FZCY625D]
- min:
- 0.52
- max:
- 4.62
- avg:
- 2.558
- σ:
- 1.24
- Zero-coupon yield – 6.5 yrs [RBA/F17-1/FZCY650D]
- min:
- 0.55
- max:
- 4.65
- avg:
- 2.583
- σ:
- 1.23
- Zero-coupon yield – 6.75 yrs [RBA/F17-1/FZCY675D]
- min:
- 0.58
- max:
- 4.67
- avg:
- 2.606
- σ:
- 1.221
- Zero-coupon yield – 7 yrs [RBA/F17-1/FZCY700D]
- min:
- 0.61
- max:
- 4.69
- avg:
- 2.629
- σ:
- 1.212
- Zero-coupon yield – 7.25 yrs [RBA/F17-1/FZCY725D]
- min:
- 0.65
- max:
- 4.72
- avg:
- 2.651
- σ:
- 1.203
Dimension codes and labels
[FREQ] Frequency
- [D] Daily
[units] Units
- [per-cent-per-annum] Per cent per annum