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dc.contributor.authorSmales, Lee
dc.date.accessioned2017-01-30T13:21:21Z
dc.date.available2017-01-30T13:21:21Z
dc.date.created2013-03-18T20:00:45Z
dc.date.issued2012
dc.identifier.citationSmales, Lee A. 2012. RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy. Pacific-Basin Finance Journal. 20 (5): pp. 793-808.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/30747
dc.identifier.doi10.1016/j.pacfin.2012.04.002
dc.description.abstract

This paper examines the Australian interest rate futures market reaction to changes in Reserve Bank of Australia (RBA) monetary policy. Having determined market expectations from 30-day Interbank futures, the study finds evidence that interest rate futures react strongly to target rate announcements across the maturity spectrum, with a stronger reaction evident in short maturity futures. Further, there is evidence of an asymmetric news effect whereby volatility reacts more strongly to bad news. Disaggregation of the market reaction into target- and path-surprise factors demonstrates that the change in market expectations of future target rates plays a significant role in explaining changes in yield, particularly for bond futures. There is strong evidence that monetary policy statements drive the path-factor, while the December 2007 modification in policy communication has improved the ability of the RBA to influence market expectations.

dc.publisherElsevier
dc.subjectInterest rates
dc.subjectInternational financial markets
dc.subjectFutures markets
dc.subjectRBA
dc.subjectMonetary policy
dc.titleRBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy
dc.typeJournal Article
dcterms.source.volume20
dcterms.source.startPage793
dcterms.source.endPage808
dcterms.source.issn0927-538X
dcterms.source.titlePacific-Basin Finance Journal
curtin.department
curtin.accessStatusFulltext not available


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