Research Discussion Paper – RDP 2023-04 Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
Contents
- Introduction
- Related Literature
- Documenting Shock Measures Pre-COVID-19
- The Effects of Monetary Policy Shocks
- Documenting Shock Measures during the COVID-19 Pandemic
- Conclusion
- Appendix A: Affine Term Structure Model
- Appendix B: Additional Results
- References
- Copyright and Disclaimer Notice
Thanks to Meredith Beechey-Österholm, James Morley, Matthew Read, Chris Gibbs, Bonsoo Koo, Wenying Yao and seminar participants at the RBA for their helpful comments. Thanks to Brian Tran for his measures of monetary policy uncertainty, Luke Hartigan for the measure of macroeconomic factors, Calvin He for his earlier work pulling together high-frequency yield data and Jeremy Lwin for providing updates. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. The authors are responsible for any errors.