30-Day interbank futures: Investigating the process of price discovery following RBA cash target rate announcements

30-Day interbank futures: Investigating the process of price discovery following RBA cash target rate announcements

The article examines microstructure issues in the Australian Interbank futures market by analyzing the price adjustment process following scheduled cash target rate announcements by the Reserve Bank of Australia. In characterizing the market response, three distinct stages of price formation and liq...

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Bibliographic Details
Main Author: Smales, Lee
Format: Journal Article
Published: Elsevier BV * North-Holland 2012
Subjects:
Price discovery
Target rate announcement
Futures markets
RBA
Online Access:http://hdl.handle.net/20.500.11937/43492

Internet

http://hdl.handle.net/20.500.11937/43492

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