The differential impact of monetary policy announcements and explanatory minute releases on the Australian foreign exchange market

McCredie, Bronwyn (2016) The differential impact of monetary policy announcements and explanatory minute releases on the Australian foreign exchange market. In 2016 Accounting & Finance Association of Australia and New Zealand, 3-5 July 2016, Gold Coast, Qld. (Unpublished)

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Abstract

In US and European jurisdictions, monetary policy announcements that set a target interest rate for overnight loans are followed promptly by projections materials or statements that explain the deliberation process. However in Australia these releases are made separately with the announcement of the monthly target interbank cash rate for overnight loans being provided two weeks before the release of the minutes of the Reserve Bank board meeting that explicate the rate outcome. This study exploits this unique feature of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory minute releases on the Australian foreign exchange market. This study finds that unexpected monetary policy announcements and explanatory minutes’releases have a significant impact on the value and volatility of the Australian foreign exchange market. When the relative impact of these announcements is examined, no discernible difference is found. Further, this study demonstrates that conditioning on the state of the economy influences the Australian foreign exchange market response. Specifically, the impact of unexpected monetary policy announcements (explanatory minutes’ releases) strengthen weaken) during the Global Financial Crisis and are affected by consumer sentiment.

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ID Code: 97868
Item Type: Conference Paper
Refereed: No
Keywords: monetary policy, explanatory minutes, foreign exchange, global financial crisis, sentiment
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Accountancy
Copyright Owner: Copyright 2016 The Author
Deposited On: 02 Aug 2016 23:52
Last Modified: 02 Aug 2016 23:52

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