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F2 CAPITAL MARKET YIELDS - GOVERNMENT BONDS Per cent per annum Australian Federal Government NSW Treasury Years to Maturity Years to Maturity Date 0 yrs
F2 CAPITAL MARKET YIELDS - GOVERNMENT BONDS | |||||||||
Per cent per annum | |||||||||
Australian Federal Government | NSW Treasury | ||||||||
Years to Maturity | Years to Maturity | ||||||||
Date | 0 yrs | 1 yrs | 2 yrs | 3 yrs | 5 yrs | 10 yrs | 3 yrs | 5 yrs | 10 yrs |
Jan-2007 | 6.25 | 6.26 | 6.18 | 6.11 | 6.05 | 5.88 | 6.33 | 6.28 | 6.17 |
Feb-2007 | 6.25 | 6.23 | 6.08 | 6.02 | 5.97 | 5.81 | 6.24 | 6.19 | 6.09 |
Mar-2007 | 6.25 | 6.45 | 6.12 | 6.04 | 5.95 | 5.74 | 6.27 | 6.19 | 6.03 |
Apr-2007 | 6.25 | 6.30 | 6.25 | 6.19 | 6.11 | 5.91 | 6.42 | 6.35 | 6.19 |
May-2007 | 6.25 | 6.35 | 6.19 | 6.15 | 6.07 | 5.92 | 6.38 | 6.32 | 6.21 |
Jun-2007 | 6.25 | 6.50 | 6.40 | 6.39 | 6.34 | 6.20 | 6.66 | 6.66 | 6.56 |
Jul-2007 | 6.25 | 6.57 | 6.38 | 6.38 | 6.30 | 6.15 | 6.68 | 6.71 | 6.62 |
Aug-2007 | 6.50 | 6.52 | 6.29 | 6.24 | 6.13 | 5.93 | 6.64 | 6.62 | 6.46 |
Sep-2007 | 6.50 | 6.55 | 6.32 | 6.29 | 6.21 | 5.99 | 6.73 | 6.70 | 6.52 |
Oct-2007 | 6.50 | 6.86 | 6.58 | 6.56 | 6.45 | 6.17 | 6.93 | 6.87 | 6.66 |
Nov-2007 | 6.75 | 6.83 | 6.67 | 6.57 | 6.36 | 6.03 | 7.15 | 7.01 | 6.66 |
Dec-2007 | 6.75 | 6.86 | 6.72 | 6.66 | 6.46 | 6.21 | 7.18 | 7.09 | 6.76 |
Jan-2008 | 6.75 | 6.83 | 6.61 | 6.58 | 6.34 | 6.08 | 6.99 | 6.92 | 6.58 |
Feb-2008 | 7.00 | 7.12 | 6.82 | 6.75 | 6.50 | 6.29 | 7.33 | 7.26 | 6.96 |
Mar-2008 | 7.25 | 7.03 | 6.30 | 6.21 | 6.10 | 6.09 | 6.94 | 6.90 | 6.82 |
Apr-2008 | 7.25 | 7.21 | 6.33 | 6.25 | 6.19 | 6.17 | 6.89 | 6.84 | 6.78 |
May-2008 | 7.25 | 7.35 | 6.60 | 6.47 | 6.33 | 6.36 | 7.02 | 6.91 | 6.89 |
Jun-2008 | 7.25 | 7.26 | 6.97 | 6.84 | 6.69 | 6.59 | 7.36 | 7.23 | 7.10 |
Jul-2008 | 7.25 | 6.87 | 6.64 | 6.49 | 6.40 | 6.37 | 7.14 | 7.05 | 7.01 |
Aug-2008 | 7.25 | 6.34 | 5.83 | 5.74 | 5.77 | 5.86 | 6.35 | 6.38 | 6.49 |
Sep-2008 | 7.00 | 5.63 | 5.51 | 5.48 | 5.54 | 5.65 | 6.21 | 6.24 | 6.33 |
Oct-2008 | 6.00 | 4.33 | 4.35 | 4.59 | 4.83 | 5.22 | 5.27 | 5.48 | 5.85 |
Nov-2008 | 5.25 | 3.09 | 3.64 | 3.96 | 4.28 | 4.94 | 4.75 | 5.14 | 5.69 |
Dec-2008 | 4.25 | 2.67 | 3.07 | 3.43 | 3.72 | 4.22 | 4.54 | 4.87 | 5.12 |
d. What is the yield on 2-year bond in January 2007? Under the expectations theory, what interest rate do investors expect on a 1-year bond next year (i.e., January 2008)? Using the same method calculate the expected interest rates on 1-year bonds for al the months of 2008. (Marks: 3) e. How do the expected interest rates compare with the actual interest rates in 2008? Do your calculations validateot validate the expectations theory? List some possible reasons why the expectations hypothesis may not hold. (Marks: 3) For questions f- g, consider both Australian Government Bonds and NSW Treasury Bonds for the period January 2007- December 2008. f. For 3, 5 and 10 year bonds what was the average spread between Australian Government Bonds and NSW Treasury bonds? Can you provide a reason for this? (Marks: 3) g. Draw a graph plotting the spread between Australian Government Bonds and NSW Treasury Bonds. Comment on the pattern of the spread. Can you provide an explanation for this pattern
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