Appendix B: Regression Output | RDP 2021-04: Monetary Policy, Equity Markets and the Information Effect

Table B1: Baseline Results
	ASX 200 index		One-year-ahead earnings growth		Long-term earnings growth
	Monetary policy surprise	Cash rate	Monetary policy surprise	Cash rate	Monetary policy surprise	Cash rate
Constant	0.007 (0.035)	0.018 (0.018)	0.154 (0.096)	0.171 (0.104)	0.056 (0.045)	0.070** (0.030)
Monetary policy surprise	−2.988*** (0.434)		−1.919** (0.864)		0.021 (0.234)
Cash rate		0.043 (0.086)		0.433 (0.416)		0.431*** (0.078)
No of obs	199	207	156	156	155	155
R ²	0.168	0.000	0.034	0.013	0.000	0.019
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

Table B2: Monetary Policy Surprises and Economic News
	Unemployment rate	CPI	GDP
Constant	0.003 (0.004)	−0.004 (0.008)	−0.004 (0.007)
Economic news	6.175 (3.738)	−0.980 (3.926)	2.342 (1.830)
No of obs	197	72	71
R ²	0.017	0.001	0.006
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: ABS; Author's calculations; Bloomberg; RBA; Refinitiv

Table B3: All Monetary Policy Surprises
	ASX 200	Earnings forecasts
	ASX 200	One-year-ahead	Long-term
Board meeting announcement	−3.202*** (0.642)	−2.145*** (0.681)	−0.007 (0.306)
Board minutes	−2.822 (5.133)	−10.148*** (3.056)	5.762 (5.317)
SMP	−3.022 (2.896)	−4.467 (3.852)	−5.230 (5.595)
Speech by Governor	10.362** (4.742)	7.928 (6.144)	1.237 (3.653)
No of obs	595	477	475
R ²	0.082	0.039	0.004
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; Bloomberg; RBA; Refinitiv; Thomson Reuters

Table B4: Governor Speeches and News
	Unemployment rate	CPI	GDP
Constant	0.003 (0.004)	−0.004 (0.008)	−0.004 (0.007)
Economic news	6.175 (3.738)	−0.980 (3.926)	2.342 (1.830)
No of obs	197	72	71
R ²	0.017	0.001	0.006
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: ABS; Author's calculations; Bloomberg; RBA; Refinitiv

Table B5: ASX 200 Earnings Growth Forecasts
	Communication	Financial	Health	IT	Real estate	Energy	Industrials	Materials	Utilities	Consumer discretionary	Consumer staples
One-year-ahead
Constant	0.265** (0.120)	0.061 (0.060)	−0.062 (0.137)	0.090 (0.098)	0.257 (0.174)	0.521 (0.351)	0.216 (0.203)	0.367 (0.378)	0.085 (0.145)	0.162*** (0.029)	0.051 (0.082)
Monetary policy surprise	−0.770 (0.547)	−1.163 (1.068)	2.291 (1.723)	−6.855** (2.690)	−0.032 (2.743)	0.784 (3.199)	2.884 (3.491)	−9.384*** (2.830)	−3.224* (1.401)	−1.076*** (0.281)	−1.656 (1.115)
No of obs	152	154	154	153	118	153	138	143	143	155	155
R ²	0.002	0.021	0.009	0.142	0.000	0.000	0.006	0.043	0.017	0.007	0.025
Long-term
Constant	−0.009 (0.067)	−0.010 (0.020)	0.001 (0.033)	0.171 (0.176)	−0.018 (0.024)	−0.187* (0.106)	−0.087 (0.066)	0.146 (0.102)	0.039 (0.074)	0.021 (0.033)	−0.001 (0.020)
Monetary policy surprise	−0.085 (0.350)	−0.113 (0.370)	0.302 (0.185)	4.404 (4.857)	1.481 (1.375)	1.208 (1.172)	−1.220 (0.761)	−0.703 (0.609)	0.524 (0.382)	−0.365 (0.594)	0.007 (0.203)
No of obs	147	154	155	154	118	154	152	156	154	156	154
R ²	0.000	0.001	0.003	0.021	0.032	0.003	0.013	0.001	0.002	0.004	0.000
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

Table B6: Excluding GFC
	ASX 200		Earnings forecasts
	ASX 200		One-year-ahead		Long-term
	Excl GFC	Full sample	Excl GFC	Full sample	Excl GFC	Full sample
Constant	0.010 (0.033)	0.007 (0.035)	0.182** (0.082)	0.154 (0.096)	0.070 (0.043)	0.056 (0.045)
Monetary policy surprise	−2.978*** (0.654)	−2.988*** (0.434)	−3.119*** (1.152)	−1.919** (0.864)	0.253 (0.361)	0.021 (0.234)
No of obs	192	199	149	156	148	155
R ²	0.103	0.168	0.047	0.034	0.000	0.000
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

Table B7: Positive or Negative
	ASX 200	Earnings forecasts
	ASX 200	One-year-ahead	Long-term
Positive	−2.097** (0.842)	−2.413** (1.067)	−1.418* (0.788)
Negative	−3.456*** (0.450)	−1.688 (1.375)	0.693** (0.342)
No of obs	199	156	155
R ²	0.174	0.035	0.010
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

Table B8: Change or No Change
	ASX 200	Earnings forecasts
	ASX 200	One-year-ahead	Long-term
Change	−3.429*** (0.576)	−2.233** (0.927)	−0.038 (0.265)
No change	−2.188* (1.156)	−1.347 (1.798)	0.128 (0.389)
No of obs	199	156	155
R ²	0.175	0.036	0.000
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

Table B9: ASX 200 One-year-ahead Forecasts
Break-adjusted regressions
$β_{1}$	−0.637 (0.478)
$β_{2}$	−3.729 (2.989)
$β_{3}$	−1.791 (1.087)
No of obs	156
R ²	0.053
Notes: Parentheses show Newey-West standard errors; , * and *** denote statistical significance at the 10, 5 and 1 per cent levels, respectively Sources: Author's calculations; RBA; Refinitiv; Thomson Reuters

RDP 2021-04: Monetary Policy, Equity Markets and the Information Effect Appendix B: Regression Output