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RBA Glossary definition for GFC

GFC – Global Financial Crisis

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Appendix A: Affine Term Structure Model

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
Rates then fall around the GFC. In contrast, the bootstrapped model shows long-term expected rates decline over the mid-2000s, and spike during the GFC. ... Similar counterintuitive dynamics are evident for term premia, with the estimated term premia
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-a.html

Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!

1 Apr 2023 RDP 2023-04
Jonathan Hambur
There were large Premia shocks around monetary policy announcements during the GFC, a period of heightened uncertainty. ... Orthogonalising the shocks does little to change this result, nor does removing the GFC period.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html

The Effects of Monetary Policy Shocks

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
a break around the GFC), the (log) nominal TWI, and the first two principal components of the yield curve. ... Orthogonalising the shocks does little to change this result, nor does removing the GFC period.
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html

Appendix B: Additional Results

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
Orthogonalised. No GFC. Bootstrapped. Action shock. (a). 9.84. 6.62. 7.68. 8.89.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-b.html

Read me file

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
estimate_noGFC_IV_SVAR.m’ (replicates ‘No GFC’ responses in Figures B3 and B4). ‘estimate_orthogonalized_IV_SVAR.m’ (replicates ‘Orthogonalised’ responses in Figures B3, B4 and B5). ... pc_yield_baseline.csv’ (contains the baseline
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html

Introduction

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
Monetary policy announcements are more likely to be associated with increased term premia during periods of uncertainty, like the global financial crisis (GFC).
https://www.rba.gov.au/publications/rdp/2023/2023-04/introduction.html

Documenting Shock Measures Pre-COVID-19

12 May 2023 RDP 2023-04
Jonathan Hambur and Qazi Haque
For example, Path shocks consistently lowered medium-term yields during the early stages of the GFC in early and mid-2008. ... There were large Premia shocks around monetary policy announcements during the GFC, a period of heightened uncertainty.
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html