The High-Frequency Responses of Australian Financial Futures to Unexpected Cash Rate Announcements.

• Autores: Xinsheng Lu, Francis In, Mingting Kou
• Localización: Economic record, ISSN 0013-0249, Vol. 85, Nº. 0, 2009, págs. 22-28
• Idioma: inglés
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• Resumen

  • This study examines the high-frequency responses of Australian financial futures to monetary surprises using intra-day futures data. Using the event window method with tick data to control for the endogeneity between market interest rates and the cash rate, our empirical findings support the following. First, monetary policy announcements significantly impact not only short-term interest rate futures but also longer-term treasury security future markets. Second, the most significant responses of these markets occur in the event window that contains the policy announcement. Third, we also find that the monetary policy is not well anticipated by market participants until the Reserve Bank of Australia’s policy release.