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

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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

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