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The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market

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  • McCredie, Bronwyn
  • Docherty, Paul
  • Easton, Steve
  • Uylangco, Katherine

Abstract

Unlike US and Continental European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or comprehensive summaries that explain the decision process. This information is disclosed 2weeks later when the explanatory minutes of the Reserve Bank board meeting are released. This paper is the first study to exploit the features of the Australian monetary policy environment in order to examine the differential impact of monetary policy announcements and explanatory statements on the Australian interest rate futures market.

Suggested Citation

  • McCredie, Bronwyn & Docherty, Paul & Easton, Steve & Uylangco, Katherine, 2014. "The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market," Pacific-Basin Finance Journal, Elsevier, vol. 29(C), pages 261-271.
    • Handle: RePEc:eee:pacfin:v:29:y:2014:i:c:p:261-271
    DOI: 10.1016/j.pacfin.2014.05.001
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    Cited by:

    1. Xinsheng Lu & Ling Qu & Ying Zhou, 2015. "The Impact of Monetary Surprises on Australian Financial Futures Markets: An Insight into Cash Rate Target Announcements," Australian Economic Papers, Wiley Blackwell, vol. 54(3), pages 151-166, September.
    2. McCredie, Bronwyn & Docherty, Paul & Easton, Steve & Uylangco, Katherine, 2016. "The channels of monetary policy triggered by central bank actions and statements in the Australian equity market," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 46-61.
    3. Alexandra Brown & Sigitas Karpavičius, 2017. "The Reaction of the Australian Stock Market to Monetary Policy Announcements from the Reserve Bank of Australia," The Economic Record, The Economic Society of Australia, vol. 93(300), pages 20-41, March.

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    More about this item

    Keywords

    Monetary policy announcement; Interest rate futures market; Explanatory minutes; Global Financial Crisis;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • G01 - Financial Economics - - General - - - Financial Crises
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles

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