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Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!

Author

Listed:
  • Jonathan Hambur

    (Reserve Bank of Australia)

  • Qazi Haque

    (The University of Adelaide)

Abstract

We examine the effects of three facets of monetary policy in Australia using high-frequency yield changes around RBA announcements: current policy; signalling/forward guidance; and changes in premia. Shocks to current policy have similar effects to those identified using conventional approaches, but the effects of signalling and premia shocks are imprecisely estimated. Still, the approach provides evidence that: forward guidance shocks raised future rate expectations in the mid-2010s as the RBA highlighted housing risks; Covid-era policy mainly affected term premia, unlike pre-COVID policy; shocks to the expected path of rates are predictable, suggesting markets misunderstand the RBA’s reaction to data.

Suggested Citation

  • Jonathan Hambur & Qazi Haque, 2023. "Can we use high-frequency yield data to better understand the effects of monetary policy and its communication? Yes and no!," School of Economics and Public Policy Working Papers 2023-03 Classification-E4, University of Adelaide, School of Economics and Public Policy.
    • Handle: RePEc:adl:wpaper:2023-03
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    File URL: https://media.adelaide.edu.au/economics/papers/doc/wp2023-03.pdf
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    Cited by:

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    2. Almerud, Jakob & Krygier, Dominika & Lundvall , Henrik & Njie, Mambuna, 2024. "Measuring Riksbank Monetary Policy: Shocks and Macroeconomic Transmission," Working Paper Series 445, Sveriges Riksbank (Central Bank of Sweden).
    3. Omer Majeed & Jonathan Hambur & Robert Breunig, 2024. "Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data," CAMA Working Papers 2024-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Shabalina, Ekaterina & Tzaawa-Krenzler, Mary, 2025. "Heterogeneous attention to inflation and monetary policy," IMFS Working Paper Series 219, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    5. Gulnara Nolan & Jonathan Hambur & Philip Vermeulen, 2023. "Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE," RBA Research Discussion Papers rdp2023-09, Reserve Bank of Australia.

    More about this item

    Keywords

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    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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