Examining the effect of RBA target rate news on the interest rate futures market

QR Code

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...

Full description

Bibliographic Details
Main Author:	Smales, Lee
Format:	Journal Article
Published:	2011
Online Access:	http://hdl.handle.net/20.500.11937/18372

Similar Items

RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy
by: Smales, Lee
Published: (2012)

The Determinants of RBA Target Rate Decisions: A Choice Modelling Approach
by: Smales, Lee
Published: (2013)

30-Day interbank futures: Investigating the process of price discovery following RBA cash target rate announcements
by: Smales, Lee
Published: (2012)

Order Imbalance, Market Returns and Macroeconomic News: Evidence from the Australian Interest Rate Futures Market
by: Smales, Lee
Published: (2012)

News Sentiment in the Gold Futures Market
by: Smales, Lee
Published: (2014)

Impact of Macroeconomic Announcements on Interest Rate Futures: High-Frequency Evidence from Australia
by: Smales, Lee
Published: (2013)

The optimal inflation target and the natural rate of interest
by: Le Bihan, Herve, et al.
Published: (2019)

Asymmetric Volatility Response to news sentiment in gold futures
by: Smales, Lee
Published: (2015)

The relationship among the nominal rates of interest, the real rates of interest and the inflation rates: an empirical study of the fisher effect on the Malaysian T Bill Market
by: Noor Azlan Ghazali,
Published: (1990)

The Impact of Interest Rates on the Real Estate Market
by: Mo, Jieling
Published: (2009)

Interest Rate Futures Dynamics with Macroeconomics Announcements : Tick by Tick Evidence from the Japanese Market
by: Ramgutty, Deepa Anjali
Published: (2015)

Commodity market volatility in the presence of U.S. and Chinese macroeconomic news
by: Smales, Lee
Published: (2017)

Impact Of Interest Rate And Exchange Rate On The Stock Market Index In Malaysia: A Cointegration Analysis
by: Foo, Zor Thang
Published: (2009)

The influence of interest rate and exchange rate to stock return and the effect of interest rate changes to the performance of STI / Hani Suryati Hassan Khalep
Published: (2008)

THE EMPIRICAL STUDY OF INTEREST RATE VOLATILITY IN TAIWAN BOND MARKET
by: Chen, Yu-Ching
Published: (2009)

Bond futures and order imbalance Examining international linkages
by: Smales, Lee
Published: (2013)

The relationship between the interest rate and infaltion rate in selected countries
by: Phua, Kheng Leng
Published: (2012)

The application of gold price, interest rates and inflation Expectations in capital markets
by: Abdullah, Adam, et al.
Published: (2015)

The relationship of interest rate among Asian countries to the Malaysia Interest rate / Nur Syafirah Mohd Zuki
by: Mohd Zuki, Nur Syafirah
Published: (2017)

Stock market integration and its implications for international trade, exchange rates and interest rates in ASEAN-5 countries
by: Saeedi, Mitra
Published: (2014)

Up to banks to set interest rates
Published: (2008)

The effect of negative real interest rates on bank profitability
by: Tan, Sin Yee
Published: (2021)

Non-scheduled News Arrival and High-Frequency Stock Market Dynamics: Evidence From the Australian Securities Exchange
by: Smales, Lee
Published: (2014)

Trading Behavior and Monetary Policy News
by: Smales, Lee
Published: (2018)

News sentiment and bank credit risk
by: Smales, Lee
Published: (2016)

News Sentiment and the Investor Fear Gauge
by: Smales, Lee
Published: (2013)

Time-variation in the Impact of News Sentiment
by: Smales, Lee
Published: (2015)

The relationship between interest rate and stock market in Malaysia / Noorulasikin Mohd Noor
by: Mohd Noor, Noorulasikin
Published: (2013)

News sentiment and Measures of Bank Credit Risk
by: Smales, Lee
Published: (2014)

A study on the relationship between inflation rate, exchange rate, interest rate and gold price towards Malaysian stock market performance / Nazatul Shahernie Azmi
by: Azmi, Nazatul Shahernie
Published: (2017)

The dynamic relationship between exchange rate, interest rate and stock market; comparison between ASEAN5 and ASEAN5+3
by: Mahmoud Moustafa Radi, Shaimaa
Published: (2018)

Relationship between inflation and interest rate in China
by: xie, jiejin
Published: (2009)

The impact of liberalization on uncovered interest rate parity
by: Chuan, Annie
Published: (2003)

Term structure of interest rate: an empirical test of the expectation hypothesis on the Malaysian T- Bill Market
by: Noor Azlan Ghazali,
Published: (1993)

The impact of interest rate changes on the Islamic foreign exchange forward in the Malaysian derivative market
by: Nor Azmah Md. Arif,, et al.
Published: (2019)

Importance of inflation rate, income, interest rate and rate of return towards the profit performance of Takaful / Nadhilah Mahmood
by: Mahmood, Nadhilah
Published: (2011)

The effect of inflation rate, interest rate and unemployment rate towards Gross Domestic Products (GDP) growth rate / Nurul Shakilla Hussin and Syaikhul Solihin Samsudin
by: Hussin, Nurul Shakilla, et al.
Published: (2016)

An analysis of non-performing loan, interest rate and inflation rate using Stata software
by: Abu Hassan Asari, Fadli Fizari, et al.
Published: (2011)

Short-term interest rate and own rate of money in Malaysian money demand function
by: Habibullah, Muzafar Shah
Published: (1989)

A Wavelet Approach For Analysing The Relationship Between Exchange Rate And Interest Rate Differential
by: DHAMOTHARAN, LALITHA
Published: (2017)