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RBA Glossary definition for IT
IT – Information Technology
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Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
12 May 2023
RDP
2023-04
For example, it suggests that: (i) signalling/forward guidance shocks tended to raise expected future policy rates in the mid-2010s as the RBA highlighted rising risks in housing markets; (ii) ... Although the approach provides little new information on
https://www.rba.gov.au/publications/rdp/2023/2023-04.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
However, it can be difficult to quantitatively assess the effects of monetary policy. ... The latter remains a cause for concern and so we explore it below.
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
Conclusion
12 May 2023
RDP
2023-04
It produces an intuitive lens through which to examine and understand monetary policy and its communication and provides a number of insights. ... However, it adds relatively little new information compared to existing simpler approaches, as effects of
https://www.rba.gov.au/publications/rdp/2023/2023-04/conclusion.html
Appendix A: Affine Term Structure Model
12 May 2023
RDP
2023-04
λ. 1. , are referred to as ‘Q parameters’. Given observational equivalence of these two situations it can be difficult to estimate the coefficients. ... This makes it difficult to estimate the P-dynamics, and can bias down the estimated persistence
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-a.html
Introduction
12 May 2023
RDP
2023-04
However, it can be difficult to quantitatively assess the effects of monetary policy. ... It allows us to understand how policy and its communication affected expectations for rates and risk during certain historical periods, and more generally.
https://www.rba.gov.au/publications/rdp/2023/2023-04/introduction.html
Non-technical summary for ‘Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication?…
12 May 2023
RDP
2023-04
As such, it could look like inflation is rising in response to higher interest rates, but in fact interest rates are responding to future (expected) inflation. ... For example, it shows that:. Speeches, the Board minutes and the Statement on Monetary
https://www.rba.gov.au/publications/rdp/2023/2023-04/non-technical-summary.html
Read me file
12 May 2023
RDP
2023-04
Note the housing prices series is not available for public release as it is 3rd party-provided data. –
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
Related Literature
12 May 2023
RDP
2023-04
One key advantage of the high-frequency approach is that it allows us to incorporate information from across the yield curve.
https://www.rba.gov.au/publications/rdp/2023/2023-04/related-literature.html
Documenting Shock Measures Pre-COVID-19
12 May 2023
RDP
2023-04
it reflect forward guidance or signalling about the state of the economy and rates in the future? ... The latter remains a cause for concern and so we explore it below.
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html
The Effects of Monetary Policy Shocks
12 May 2023
RDP
2023-04
This allows us to flexibly account for the effect of the shocks, rather than taking a stand on the most relevant maturity, although it does make scaling and interpreting the shocks ... While this doesn't seem to be important in the Australian case, given
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html