The Irish Government Bond Yield. ESRI Memorandum Series No. 135 1979

Geary, R.C. (1979) The Irish Government Bond Yield. ESRI Memorandum Series No. 135 1979. [Policy Paper]

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Abstract

As will appear, the quite remarkable showing of the time trend for the ratio: Government bond yield (GBY): consumer price index (CPI) impelled the writer towards a series of experiments reported in this memorandum on methods of analysis of nearly stationary time series. These include spectral analysis which he approaches with some skepticism as to practical utility, however, much he admires its mathematical elegance. A start is made with a short series of annual averages the idea being that if methods seem successful with these they can be extended to the more realistic shorter term (quarterly, monthly) series. The experimental annual series used was derived from International Financial Statistics. Yields were those of a single stock, in later years on 6% Exchequer Loan 1985-90, no doubt deemed representative, though the stock quoted for was changed at intervals of years. Chart 1 shows how the yields varied with CPI. Clearly the graphs were similar up to and including 1973; in fact the percentage rise in both in the period 1953-1972 were almost identical. Indeed the most remarkable feature of the chart is the break in the period 1974-1977. It may be added that the low yield continues into 1978. Despite our enormous and rapidly increasing national debt Irish Government credit is good.

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