Appendix E: Empirical Results | RDP 9808: What Moves Yields in Australia?

Table E1: Impact of Announcements
	Episode I		Episode II		Episode III		Whole period
	Bill yields
	Episode I		Episode II		Episode III		Whole period
Constant	0.3	(9.62)	0.2	(7.59)	0.2	(7.38)	0.2	(14.18)
RBA policy announcements	11.7	(6.81)	–	–	21.9	(3.35)	18.1	(4.06)
RBA commentary	0.9	(1.23)	0.8	(2.93)	2.2	(2.29)	1.3	(2.98)
Post-Board market operations	1.0	(1.13)	0.1	(0.91)	2.0	(3.54)	1.0	(2.70)
CPI	5.3	(2.09)	6.1	(3.03)	1.4	(2.35)	4.3	(3.48)
AWOTE	−0.6	(−0.56)	3.5	(1.84)	6.6	(3.57)	3.4	(2.73)
Labour force	2.9	(2.37)	2.4	(2.77)	2.1	(3.91)	2.2	(4.13)
Retail trade	2.2	(2.38)	0.0	(−0.09)	1.2	(3.23)	1.1	(2.40)
GDP	5.5	(2.02)	0.8	(2.01)	0.6	(1.89)	2.3	(2.02)
Imports	0.7	(1.73)	1.8	(3.34)	0.1	(0.57)	1.1	(3.38)
Building approvals	0.1	(0.08)	1.4	(2.00)	0.0	(0.02)	1.1	(2.76)
Balance of payments	3.4	(2.56)	1.8	(2.61)	0.2	(1.26)	1.6	(3.62)
Financial aggregates	0.4	(0.75)^{^(a)}	0.0	(−0.06)^(a)	−0.3	(−0.60)^(a)	0.1	(0.42)^(a)
	–	–	–	–	0.8	(2.39)^(b)	0.7	(2.19)^(b)
Adjusted R²	0.42		0.44		0.64		0.46
DW statistic	1.89		1.92		1.99		1.95
S E of regression	1.26		0.86		1.28		1.24
Number of observations	936		927		942		2805
	Bond yields
Constant	0.6	(15.23)	0.5	(15.06)	0.4	(15.15)	0.5	(25.80)
RBA policy announcements	7.4	(3.62)	–	–	10.2	(2.62)	9.2	(3.56)
RBA commentary	2.0	(2.21)	0.6	(1.86)	1.0	(2.51)	1.2	(3.13)
Post-Board market operations	0.4	(1.68)	−0.1	(−1.38)	0.3	(3.09)	0.2	(1.93)
CPI	6.9	(5.63)	6.7	(3.66)	2.6	(2.47)	5.5	(5.76)
AWOTE	−1.8	(−1.60)	2.8	(1.45)	4.3	(5.16)	1.9	(1.96)
Labour force	3.6	(4.02)	3.0	(3.30)	3.3	(3.75)	3.1	(5.88)
Retail trade	1.0	(2.40)	0.1	(0.24)	2.5	(3.91)	1.0	(3.10)
GDP	5.7	(3.47)	1.6	(1.13)	0.5	(1.43)	2.5	(2.69)
Imports	0.7	(2.34)	2.5	(5.49)	0.1	(0.89)	1.5	(4.65)
Building approvals	0.6	(0.91)	1.2	(2.03)	−0.9	(−1.02)	0.9	(2.87)
Balance of payments	2.3	(3.06)	1.9	(3.18)	0.2	(1.10)	1.4	(4.63)
Financial aggregates	0.1	(0.29)^(a)	0.0	(0.21)^(a)	−0.1	(−0.49)^(a)	0.0	(0.31)^(a)
	–	–	–	–	1.5	(2.01)^(b)	1.5	(1.94)^(b)
Adjusted R²	0.51		0.45		0.49		0.41
DW statistic	1.95		1.86		1.97		1.90
S E of regression	0.93		0.92		0.99		1.01
Number of observations	936		927		942		2805
Notes: (a) Announced at 9.30 am. (b) Announced at 11.30 am. T-ratios are in parentheses. When heteroskedasticity is present, White's heteroskedasticity-consistent standard errors are used to calculate t-ratios.

Table E2: Average Absolute Surprises
	Episode I	Episode II	Episode III	Whole period
RBA policy announcements (basis points)	41	–	38	40
Underlying inflation (%)	0.1	0.3	0.1	0.2
AWOTE (%)	0.4	0.3	0.3	0.3
Employment ('000)	21.2	33.2	21.5	25.3
Retail trade (%)	1.6	0.9	1.2	1.2
GDP (%)	0.5	0.5	0.2	0.4
Imports (%)	1.3	4.0	2.1	2.5
Building approvals (%)	4.7	3.7	4.0	4.1
Balance of payments ($b)	0.157	0.171	0.258	0.196

Table E3: Reactions to Average Surprises
	Bill yields
	Episode I		Episode II		Episode III		Whole period
Constant	−0.1	(−2.11)	0.0	(−0.46)	0.1	(3.62)	0.0	(−1.12)
Policy announcements	8.8	(7.60)	–	–	23.3	(8.97)	17.4	(4.33)
Underlying inflation	5.3	(2.43)	7.8	(3.46)	0.6	(9.64)	4.6	(3.83)
AWOTE	0.8	(0.96)	1.4	(2.51)	6.1	(4.19)	2.4	(2.23)
Employment	3.1	(5.39)	2.7	(3.62)	2.0	(5.55)	2.5	(5.84)
Retail trade	1.7	(2.06)	0.3	(1.59)	0.9	(3.84)	1.0	(3.10)
GDP	5.2	(1.48)	0.7	(2.30)	0.0	(−0.04)	1.9	(1.60)
Imports	−0.1	(−0.11)	1.7	(3.59)	0.3	(2.53)	0.9	(3.52)
Building approvals	0.8	(0.88)	1.7	(3.13)	0.5	(2.29)	1.0	(2.13)
Balance of payments	2.6	(5.76)	2.1	(2.43)	0.1	(0.62)	1.5	(2.02)
Adjusted R²	0.44		0.56		0.82		0.53
DW statistic	2.10		1.90		2.08		2.07
S E of regression	1.31		0.79		0.93		1.21
Number of observations	936		927		942		2,805
	Bond yields
	Episode I		Episode II		Episode III		Whole period
Constant	0.0	(0.09)	0.0	(−0.29)	0.0	(0.89)	0.0	(−0.95)
Policy announcements	−2.1	(−0.62)	–	–	10.6	(3.12)	5.3	(1.62)
Underlying inflation	5.7	(5.75)	7.9	(7.10)	2.0	(5.03)	5.0	(8.16)
AWOTE	0.2	(0.54)	3.3	(2.66)	3.5	(3.61)	2.0	(2.20)
Emplyment	3.3	(20.96)	3.2	(4.31)	3.6	(6.30)	3.2	(7.03)
Retail trade	1.2	(2.16)	0.9	(3.62)	1.8	(3.24)	1.3	(4.24)
GDP	6.1	(11.44)	2.2	(1.83)	−0.1	(−0.13)	2.7	(3.59)
Imports	0.0	(0.05)	2.3	(5.77)	0.2	(1.64)	1.2	(4.97)
Building approvals	0.7	(1.49)	1.5	(2.12)	0.5	(3.49)	0.9	(2.15)
Balance of payments	2.3	(7.51)	2.1	(2.81)	0.3	(1.95)	1.5	(2.68)
Adjusted R²	0.45		0.54		0.56		0.39
DW statistic	2.02		1.98		2.07		2.02
S E of regression	1.14		0.94		1.00		1.16
Number of observations	936		927		942		2,805
Notes: T-ratios are in parentheses. When heteroskedasticity is present, White's heteroskedasticity-consistent standard errors are used to calculate t-ratios.

Table E4: Does the Market Respond Only to Unexpected News?
	Bill yields				Bond yields
Constant		0.3	(18.30)			0.5	(40.79)
	Dummy for Announcement		Absolute Surprise		Dummy for Announcement		Absolute Surprise
Policy announcements	2.8	(0.55)	15.6	(2.28)	7.0	(1.71)	2.2	(0.49)
Underlying inflation	0.7	(0.56)	3.5	(2.77)	2.2	(1.98)	3.2	(3.33)
AWOTE	3.6	(2.21)	−0.1	(−0.12)	1.8	(1.74)	0.2	(0.15)
Employment	−0.4	(−0.65)	2.5	(4.07)	0.2	(0.42)	2.9	(4.57)
Retail trade	0.6	(0.79)	0.4	(0.79)	0.0	(0.09)	0.9	(2.41)
GDP	0.9	(1.14)	1.3	(1.08)	−0.8	(−1.24)	3.2	(4.25)
Imports	−0.2	(−0.42)	1.0	(2.85)	0.2	(0.44)	1.1	(3.09)
Building approvals	0.2	(0.32)	0.8	(1.62)	0.2	(0.40)	0.7	(2.00)
Balance of payments	1.4	(1.93)	0.1	(0.16)	0.6	(1.07)	0.7	(1.33)
Adjusted R²	0.57				0.52
DW statistic	1.93				1.90
S E of regression	1.11				0.91
Number of observations	2,805				2,805
Notes: T-ratios are in parentheses. When heteroskedasticity is present, White's heteroskedasticity-consistent standard errors are used to calculate t-ratios.

RDP 9808: What Moves Yields in Australia? Appendix E: Empirical Results