Examining the effect of RBA target rate news on the interest rate futures market
This paper examines the interest rate futures market reaction to the release of RBA target rate news using daily data within an EGARCH framework. The study finds evidence that interest rate futures react to the news component of target rate announcements across the maturity spectrum, with a stronger...
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| Format: | Journal Article |
| Published: |
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/18372 |
| _version_ | 1848749726974869504 |
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| author | Smales, Lee |
| author_facet | Smales, Lee |
| author_sort | Smales, Lee |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | This paper examines the interest rate futures market reaction to the release of RBA target rate news using daily data within an EGARCH framework. The study finds evidence that interest rate futures react to the news component of target rate announcements across the maturity spectrum, with a stronger reaction evident in short maturity futures. There is evidence of an asymmetric news effect whereby interest rate futures have a stronger reaction to unexpected rate rises, than to unexpected rate cuts. The study finds that the RBA target rate announcements resolve uncertainty in interest rate futures, and this effect has intensified following the December 2007 change in RBA communication policy. |
| first_indexed | 2025-11-14T07:25:32Z |
| format | Journal Article |
| id | curtin-20.500.11937-18372 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:25:32Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-183722017-01-30T12:07:32Z Examining the effect of RBA target rate news on the interest rate futures market Smales, Lee This paper examines the interest rate futures market reaction to the release of RBA target rate news using daily data within an EGARCH framework. The study finds evidence that interest rate futures react to the news component of target rate announcements across the maturity spectrum, with a stronger reaction evident in short maturity futures. There is evidence of an asymmetric news effect whereby interest rate futures have a stronger reaction to unexpected rate rises, than to unexpected rate cuts. The study finds that the RBA target rate announcements resolve uncertainty in interest rate futures, and this effect has intensified following the December 2007 change in RBA communication policy. 2011 Journal Article http://hdl.handle.net/20.500.11937/18372 restricted |
| spellingShingle | Smales, Lee Examining the effect of RBA target rate news on the interest rate futures market |
| title | Examining the effect of RBA target rate news on the interest rate futures market |
| title_full | Examining the effect of RBA target rate news on the interest rate futures market |
| title_fullStr | Examining the effect of RBA target rate news on the interest rate futures market |
| title_full_unstemmed | Examining the effect of RBA target rate news on the interest rate futures market |
| title_short | Examining the effect of RBA target rate news on the interest rate futures market |
| title_sort | examining the effect of rba target rate news on the interest rate futures market |
| url | http://hdl.handle.net/20.500.11937/18372 |