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23 Mar 2021
RDP
2021-04
Calvin He
Consistent with standard models, unexpected increases in the cash rate cause equity prices to fall (Figure 3). ... The absolute value of the effect is much smaller when using the cash rate as the independent variable.
https://www.rba.gov.au/publications/rdp/2021/2021-04/full.html
1 Apr 2021
RDP
2021-04
Calvin He
These represented the largest changes in the cash rate since the early 1990s. ... 0. ]. is an indicator variable for when the cash rate target was changed, and.
https://www.rba.gov.au/publications/rdp/2021/2021-04/robustness-and-extensions.html
1 Apr 2021
RDP
2021-04
Calvin He
Consistent with standard models, unexpected increases in the cash rate cause equity prices to fall (Figure 3). ... The absolute value of the effect is much smaller when using the cash rate as the independent variable.
https://www.rba.gov.au/publications/rdp/2021/2021-04/results.html
1 Apr 2021
RDP
2021-04
Calvin He
Source. Start date. End date. Missing data. Cash rate target. RBA.
https://www.rba.gov.au/publications/rdp/2021/2021-04/appendix-a.html
1 Apr 2021
RDP
2021-04
Calvin He
For example, if the conventional effects of cash rate changes (e.g. ... To overcome this issue I use high-frequency financial data of Australia's overnight index swap (OIS) market, which measures expectations of the cash rate.
https://www.rba.gov.au/publications/rdp/2021/2021-04/introduction.html
1 Apr 2021
RDP
2021-04
Calvin He
One-year-ahead earnings growth. Long-term earnings growth. Monetary policy surprise. Cash rate. ... 0.030). Monetary policy surprise. 2.988. (0.434). 1.919. (0.864). 0.021. (0.234). Cash rate.
https://www.rba.gov.au/publications/rdp/2021/2021-04/appendix-b.html
1 Apr 2021
RDP
2021-04
Calvin He
An OIS is an over-the-counter agreement between two parties where one party agrees to pay the other a fixed interest rate in exchange for receiving the average cash rate ... This could happen if a change in the cash rate also resolves some uncertainty in
https://www.rba.gov.au/publications/rdp/2021/2021-04/data-and-method.html
1 Apr 2021
RDP
2021-04
Calvin He
Brassil A (2019), ‘How Insufficiently Responsive Monetary Policy Can Lead to a Positive Relationship between Consumer Confidence and the Cash Rate’, Unpublished manuscript, Reserve Bank of Australia, 18 December. ... Cook T and T Hahn (1989), ‘The
https://www.rba.gov.au/publications/rdp/2021/2021-04/references.html
23 Mar 2021
RDP
2021-04
Calvin He
data/mp-surprises.csv and. /data/mp-surprises-all.csv: only show the cash rate change and monetary policy surprise measure. ... The cash rate changes are available from the RBA web site, while the monetary policy surprises are constructed with data from
https://www.rba.gov.au/publications/rdp/2021/2021-04/read-me.html
23 Mar 2021
RDP
2021-04
Calvin He
Under the information effect hypothesis, people perceive cash rate cuts to be revealing negative economic information. ... Some claim this effect is so strong it reverses the otherwise expansionary effects of cash rate cuts.
https://www.rba.gov.au/publications/rdp/2021/2021-04/non-technical-summary.html