RDP 9808: What Moves Yields in Australia? Appendix D: 25 Largest Movements in Yields During 15-minute Intervals[23]

Frank Campbell and Eleanor Lewis

July 1998

Bill Yields

Table D1: Episode I
  Movement
(Basis points)		 Date
 		 Interval
 		 News item
 
1. 26.0 14 Dec 94 9.30 – 9.45 am Monetary policy announcement
2. −26.0 31 Mar 95 11.30 – 11.45 am Retail sales & GDP
3. −16.0 1 Feb 95 11.30 – 11.45 am Retail sales, building approvals & balance of payments
4. 16.0 11 Aug 94 11.30 – 11.45 am Labour force
5. −14.0 25 Jan 95 11.30 – 11.45 am CPI
6. 12.0 30 Nov 94 11.30 – 11.45 am GDP
7. 11.0 28 Jun 94 Open – 8.45 am –
8. 10.0 30 Jun 94 11.30 – 11.45 am Building approvals & balance of payments
9. 10.0 27 Jun 94 Open – 8.45 am –
10. 10.0 1 Dec 94 Open – 8.45 am –
11. 10.0 14 Dec 94 2.30 – 2.45 pm –
12. −9.0 5 Jul 94 2.45 – 3.00 pm –
13. −9.0 27 Jul 94 2.00 – 2.15 pm –
14. −9.0 16 Jan 95 Open – 8.45 am –
15. −9.0 30 Mar 95 11.30 – 11.45 am Balance of payments
16. −9.0 31 Mar 95 11.45 – 12.00 pm Retail sales & GDP
17. −8.0 7 Dec 94 9.30 – 9.45 am Post-Board dealing intentions
18. −8.0 12 Dec 94 9.30 – 9.45 am –
19. 8.0 15 Mar 95 3.15 – 3.30 pm –
20. 8.0 31 Mar 95 2.00 – 2.15 pm –
21. 8.0 28 Jun 94 8.45 – 9.00 am –
22. 7.0 12 Sep 94 Open – 8.45 am –
23. −7.0 27 Jul 94 11.30 – 11.45 am CPI
24. 7.0 7 Nov 94 Open – 8.45 am –
25. 7.0 3 Jan 95 Open – 8.45 am –
Table D2: Episode II
  Movement
(Basis points)		 Date
 		 Interval
 		 News item
 
1. −23.0 27 Apr 95 11.30 – 11.45 am CPI & AWOTE
2. −12.0 4 May 95 11.30 – 1.45 am Building approvals & balance of payments
3. 11.0 21 Apr 95 11.30 – 11.45 am Merchandise imports
4. 11.0 25 Oct 95 11.30 – 11.45 am CPI
5. −10.0 11 Mar 96 Open – 8.45 am –
6. 10.0 21 Apr 95 11.45 – 12.00 pm Merchandise imports
7. 9.0 11 May 95 11.30 – 11.45 am Labour force
8. 9.0 11 Jan 96 11.30 – 11.45 am Labour force
9. −8.0 27 Apr 95 11.45 – 12.00 pm CPI & AWOTE
10. 6.0 26 Apr 95 Open – 8.45 am –
11. 6.0 13 Jul 95 11.30 – 11.45 am Labour force
12. 6.0 26 Jul 95 11.30 – 11.45 am CPI
13. 6.0 4 Mar 96 Open – 8.45 am –
14. 6.0 28 Mar 96 2.00 – 2.15 pm Governor's speech to Australian Business Economists
15. 6.0 30 Jun 95 11.30 – 11.45 am Building approvals & balance of payments
16. 5.0 24 Apr 95 11.00 – 11.15 am –
17. 5.0 20 Apr 95 Open – 8.45 am –
18. −5.0 21 Jun 95 10.45 – 11.00 am –
19. −5.0 29 Sep 95 11.30 – 11.45 am Building approvals & balance of payments
20. 5.0 20 Jun 95 11.30 – 11.45 am Merchandise imports
21. −5.0 7 Jul 95 2.15 – 2.30 pm –
22. −5.0 13 Sep 95 2.30 – 2.45 pm –
23. −5.0 11 Apr 96 11.30 – 11.45 am Labour force
24. 5.0 30 Jun 95 11.45 – 12.00 pm Building approvals & balance of payments
25. −4.0 19 Sep 95 11.30 – 11.45 am Merchandise imports
Table D3: Episode III
  Movement
(Basis points)		 Date
 		 Interval
 		 News Item
 
1. −44.0 11 Dec 96 9.30 – 9.45 am Monetary policy announcement
2. −32.0 23 May 97 9.30 – 9.45 am Monetary policy announcement
3. −28.0 31 Jul 96 9.30 – 9.45 am Monetary policy announcement
4. −21.0 11 Sep 97 11.30 – 11.45 am Labour force
5. −15.0 24 Oct 96 11.30 – 11.45 am AWOTE
6. −10.0 10 Jul 97 11.30 – 11.45 am Labour force & financial aggregates
7. 9.0 1 May 97 11.30 – 11.45 am AWOTE & building approvals
8. 8.0 17 Oct 96 Open – 8.45 am –
9. −8.0 30 Jul 97 9.30 – 9.45 am Monetary policy announcement
10. 7.0 6 Feb 97 11.30 – 11.45 am AWOTE
11. 7.0 25 Jun 97 4.00 – 4.15 pm –
12. 7.0 20 Aug 96 7.30 – 7.45 pm Federal budget
13. −6.0 7 Aug 96 2.00 – 2.15 pm –
14. 6.0 3 Sep 96 11.30 – 11.45 am Retail sales
15. 6.0 5 Sep 96 2.00 – 2.15 pm Governor's BZW Australia Day Seminar in Tokyo
16. 6.0 29 Jan 97 11.30 – 11.45 am CPI
17. 5.0 30 Sep 97 11.30 – 11.45 am Building approvals & retail sales
18. 5.0 16 Oct 96 3.00 – 3.15 pm RBA commentary (Bulletin)
19. 5.0 4 Dec 96 9.30 – 9.45 am Post-Board dealing intentions
20. −5.0 10 Apr 97 11.30 – 11.45 am Labour force & financial aggregates
21. 5.0 2 Jul 97 11.15 – 11.30 am Building approvals & retail sales
22. 5.0 16 Jul 97 8.45 – 9.00 am –
23. −5.0 24 Jul 97 11.30 – 11.45 am AWOTE
24. 4.0 23 Apr 97 11.30 – 11.45 am CPI
25. 4.0 4 Sep 96 9.30 – 9.45 am Post-Board dealing intentions

Bond yields

Table D4: Episode I
  Movement
(Basis points)		 Date
 		 Interval
 		 News item
 
1. 16.5 11 Aug 94 11.30 – 11.45 am Labour force
2. −16.5 24 Oct 94 9.30 – 9.45 am Monetary policy announcement
3. −15.0 16 Sep 94 Open – 8.45 am –
4. 13.0 30 Nov 94 11.30 – 11.45 am GDP
5. −13.0 25 Jan 95 11.30 – 11.45 am CPI
6. −11.5 23 Nov 94 9.30 – 9.45 am –
7. −11.0 25 Jan 95 11.30 – 11.45 am CPI
8. −10.5 22 Jun 94 Open – 8.45 am –
9. −10.5 14 Dec 94 9.30 – 9.45 am Monetary policy announcement
10. 10.0 26 Oct 94 11.30 – 11.45 am CPI
11. −9.5 4 Aug 94 3.45 – 4.00 pm –
12. −9.5 17 Aug 94 9.30 – 9.45 am Monetary policy announcement
13. 9.5 13 Oct 94 11.30 – 11.45 am Labour force
14. −9.5 1 Feb 95 11.30 – 11.45 am Retail sales, building approvals & balance of payments
15. 9.5 9 Mar 95 11.30 – 11.45 am Labour force
16. −9.0 10 May 94 10.00 – 10.15 am –
17. 9.0 18 May 94 8.45 – 9.00 am –
18. −9.0 29 Jun 94 4.00 – 4.15 pm –
19. −9.0 30 Jun 94 Open – 8.45 am –
20. 9.0 30 Jun 94 8.45 – 9.00 am –
21. −9.0 28 Feb 95 Open – 8.45 am –
22. −9.0 31 Mar 95 11.30 – 11.45 am Retail sales & GDP
23. 8.5 31 Mar 95 2.00 – 2.15 pm –
24. −8.5 12 Jul 94 9.30 – 9.45 am –
25. 8.5 16 Sep 94 8.45 – 9.00 am –
Table D5: Episode II
  Movement
(Basis points)		 Date
 		 Interval
 		 News item
 
1. 16.5 25 Oct 95 11.30 – 11.45 am CPI
2. 15.5 26 Jul 95 11.30 – 11.45 am CPI
3. 15.0 31 May 95 2.30 – 2.45 pm –
4. −12.5 24 Apr 96 11.30 – 11.45 am AWOTE
5. 12.0 29 May 96 11.30 – 11.45 am GDP
6. −10.5 27 Apr 95 11.30 – 11.45 am CPI & AWOTE
7. 10.0 11 May 95 11.30 – 11.45 am Labour force
8. 10.0 21 Feb 96 8.45 – 9.00 am –
9. 9.5 30 Jun 95 11.30 – 11.45 am Building approvals & balance of payments
10. −9.0 4 Mar 96 8.45 – 9.00 am –
11. 8.5 21 Apr 95 11.30 – 11.45 am Merchandise imports
12. −8.5 10 May 95 Open – 8.45 am –
13. −8.0 2 Aug 95 12.00 – 12.15 pm –
14. 8.0 30 Jun 95 11.45 – 12.00 pm Building approvals & balance of payments
15. 7.5 13 Jul 95 11.30 – 11.45 am Labour force
16. −7.5 26 Oct 95 11.30 – 11.45 am AWOTE
17. −7.5 23 Apr 96 11.30 – 11.45 am CPI
18. −7.0 4 May 95 11.30 – 11.45 am Building approvals & balance of payments
19. −7.0 19 Sep 95 11.30 – 11.45 am Merchandise imports
20. 7.0 11 Jan 96 11.30 – 11.45 am Labour force
21. 7.0 10 May 95 4.00 – 4.15 pm –
22. −6.5 10 May 95 8.45 – 9.00 am After Federal Budget
23. −6.0 11 Apr 96 11.30 – 11.45 am Labour force
24. −6.0 21 Jun 95 10.15 – 10.30 am –
25. −5.5 31 Jul 95 11.30 – 11.45 am Building approvals & balance of payments
Table D6: Episode III
  Movement
(Basis points)		 Date
 		 Interval
 		 News Item
 
1. −30.0 11 Dec 96 9.30 – 9.45 am Monetary policy announcement
2. −14.5 11 Sep 97 11.30 – 11.45 am Labour force
3. −11.5 10 Apr 97 11.30 – 11.45 am Labour force & financial aggregates
4. −11.5 12 Jun 97 11.30 – 11.45 am Labour force & financial aggregates
5. 10.5 3 Sep 96 11.30 – 11.45 am Retail sales
6. −10.5 31 Jul 96 9.30 – 9.45 am Monetary policy announcement
7. −10.0 30 May 97 11.30 – 11.45 am Retail sales
8. 9.0 13 May 97 7.30 – 7.45 pm Federal Budget
9. 9.0 24 Jul 96 11.30 – 11.45 am CPI
10. −9.0 24 Oct 96 11.30 – 11.45 am AWOTE
11. −8.0 23 May 97 9.30 – 9.45 am Monetary policy announcement
12. −8.0 10 Jul 97 11.30 – 11.45 am Labour force & financial aggregates
13. −7.5 21 Aug 96 2.00 – 2.15 pm –
14. 7.5 6 Feb 97 11.30 – 11.45 am AWOTE
15. 7.5 2 Jul 97 11.15 – 11.30 am Retail sales & building approvals
16. 7.5 11 Aug 97 2.15 – 2.30 pm –
17. 7.0 23 Apr 97 11.30 – 11.45 am CPI
18. −6.5 12 Dec 96 11.45 – 12.00 pm Labour force
19. 6.5 1 May 97 11.30 – 11.45 am AWOTE
20. 6.0 27 Aug 96 8.45 – 9.00 am –
21. 6.0 29 Jan 97 11.30 – 11.45 am CPI
22. −6.0 31 Jul 97 11.30 – 11.45 am Retail sales
23. 6.0 7 Aug 97 11.30 – 11.45 am Labour force
24. −5.5 19 Aug 97 3.15 – 3.30 pm RBA commentary (Bulletin)
25. −5.0 30 Jul 97 9.30 – 9.45 am Monetary policy announcement
Table D7: Number of Times Each News Item Contributes to the 25 Largest Movements in Bill and Bond Yields (15-minute Intervals)
  Bill yields
  Episode I Episode II Episode III Total
RBA policy announcements 1 – 4 5
RBA commentary 0 1 2 3
Post-Board dealing intentions 1 0 2 3
CPI 2 3 2 7
AWOTE 0 1 3½ 4½
Labour force 1 4 2 7
Retail sales 1⅓ 0 2 3⅓
GDP 2 0 0 2
Imports 0 4 0 4
Building approvals ⅚ 2 1½ 4⅓
Balance of payments 1⅚ 2 0 3⅚
Financial aggregates 0 0 1 1
Fiscal policy statements 0 0 1 1
Unidentified 14 8 4 26
  25 25 25 75
  Bond yields
  Episode I Episode II Episode III Total
RBA policy announcements 3 – 4 7
RBA commentary 0 0 1 1
Post-Board dealing intentions 0 0 0 0
CPI 3 3½ 3 9½
AWOTE 0 2½ 3 5½
Labour force 3 4 4½ 11½
Retail sales ⅚ 0 3½ 4⅓
GDP 1½ 1 0 2½
Imports 0 2 0 2
Building approvals ⅓ 2 ½ 2⅚
Balance of payments ⅓ 2 0 2⅓
Financial aggregates 0 0 1½ 1½
Fiscal policy statements 0 1 1 2
Unidentified 13 7 3 23
  25 25 25 75

Footnote

When one of the 25 largest movements cannot be attributed to a particular news item from Table 1, it is represented by ‘–’. [23]