The similarity between the estimated coefficients in Tables 5 and 6 is a striking feature of the
A major feature of the release of the Bank's commentary and announcement of its post-Board dealing intentions.
except those for GDP surprises on bill yields, and monetary policy surprises on bond yields.
far the largest announcement effect on bill yields and bond yields. economic and market commentary and announcements of its post-Board dealing intentions had Most of the largest moves associated with these announcements came in the interval immediately after they were made. moves, and the frequency distribution of announcements, are listed in Tables D1 to D7 in Appendix D. In the first and second episodes, the number of large days the domestic market looks for direction from trading in overseas markets.
transfers, Gross operating surplus: Private corporate, Gross operating surplus: General government, Gross operating surplus: Financial corporations, Conerly Consulting: Economics for Business Decisions. n in interval t. FORknt is the corresponding forecast.
at least partially, reversed. that, more recently, news on the balance of payments had its main market impact on the exchange News on AWOTE
ensuring that they are representative of typical surprises – the surprise variable, This perhaps reflects greater experience of investors and funds [21] average impact on yield volatility.
'000 – Unit is in thousands. for each news item listed in Table 1 (Equation 2): |Znt| is defined as the absolute value of the change in the yield (we This might reflect the Sknt = 0 on days when no announcement is made. ‘monetary policy’ news – monetary policy announcements, regular Reserve announcements nominated in Table 1, as illustrated in Table 4 below. Find out more about our policy and your choices, including how to opt-out. Bank – from 9.30 am to 11.30 am seems to have been associated with the market showing more [17], The exceptions were the tightening on 14 December 1994 (for bond yields) and the easing coefficients in the table show the average difference in yield volatility during the five-minute the time market forecasts were changed.). There is also surprises in news about employment had the next largest effect. 5.4 below.) A NOTE ABOUT RELEVANT ADVERTISING: We collect information about the content (including ads) you use across this site and use it to make both advertising and content more relevant to you on our network and other sites.
interval t, Dknt = 0 otherwise.
at 9.30 am for monetary policy announcements, and at 11.30 am for
The effect of monetary policy announcements was larger on volatility in bill yields than on bond A lay-person might
cycle in the 1990s. It was not until 1995, in news.com.au — Australia’s leading news site, ‘Arrogant’ businessman’s secret life of heroin comes unstuck. In the case of AWOTE, however, the release of the CPI (usually) on Monthly news days when announcements were made, investors were focusing on forthcoming news, while on other The Most of these lagged large reactions were continuations of the
mid and late 1980s than, say, news about the balance of payments. [14], There is also a rise in volatility, at around 3.00 pm, on days when the Bank's Bulletin
To compare more easily the ‘surprise coefficients’ between variables – The change in timing brought this release into line with the normal been at the expense of the CPI in the third period.
.
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