The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market
McCredie, Bronwyn, Docherty, Paul, Easton, Steve, & Uylangco, Katherine (2014) The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market. Pacific-Basin Finance Journal, 29, pp. 261-271.
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Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2 weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.
We find that both monetary policy announcements and explanatory minutes releases have a significant impact on the implied yield and volatility of Australian interest rate futures contracts. When the differential impact of these announcements is examined using the full sample, no statistically significant difference is found. However, when the sample is partitioned based on stable periods and the Global Financial Crisis, a differential impact is evident. Further, contrary to the findings of Kim and Nguyen (2008), Lu et al. (2009), and Smales (2012a), the response along the yield curve, is found to be indifferent between the short and medium terms.
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|Item Type:||Journal Article|
|Keywords:||Monetary policy announcement, Interest rate futures market, Explanatory minutes, Global Financial Crisis|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Accountancy
Current > Schools > School of Economics & Finance
|Copyright Owner:||Copyright 2014 Elsevier|
|Copyright Statement:||Licensed under the Creative Commons Attribution; Non-Commercial; No-Derivatives 4.0 International. DOI: 10.1016/j.pacfin.2014.05.001|
|Deposited On:||13 Aug 2015 01:16|
|Last Modified:||16 May 2016 09:47|
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