Research Discussion Paper – RDP 9808 What Moves Yields in Australia?

Contents

• Introduction
• Explaining Market Movements
• Data, Episodes and News
• A Diversion: International Influences
• Announcement Effects on Yields in Australia
• Conclusion
• Appendix A: International Influences
• Appendix B: Patterns of Intra-day Volatility
• Appendix C: 25 Largest Movements in Yields During Five-minute Intervals
• Appendix D: 25 Largest Movements in Yields During 15-minute Intervals
• Appendix E: Empirical Results
• References

This paper has benefited from valuable comment from Ric Battellino, John Broadbent, David Gruen, Philip Lowe and participants in a seminar at the Reserve Bank of Australia. We are grateful to Diane Castle for helping to prepare the document and to Rebecca Moylan and Mina Stavropoulos for assistance with extensive data input. We also appreciate the considerable assistance of Kelly McCullum (Sydney Futures Exchange), Sandra Muldoon (Dow Jones) and John Mair (Reuters) for supplying data and market forecasts. The views expressed in this paper are those of the authors and should not be attributed to the Reserve Bank of Australia.