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Credit Spreads, Monetary Policy and the Price Puzzle

1 Jan 2020 RDP 2020-01
Benjamin Beckers
conditions. Second, I show that cash rate changes – after accounting for the Bank's response to its own forecasts but not for the response to credit market conditions – are well anticipated ... Inferring that this is not the case suggests that cash
https://www.rba.gov.au/publications/rdp/2020/2020-01/full.html

The Effects of Monetary Policy Shocks on Inflation, Unemployment and Output

28 Jan 2020 RDP 2020-01
Benjamin Beckers
b) BT shock accounting for cash rate response to credit spreads; residuals from regression BT-CS of Table 1. ... a considerable extent by accounting for the systematic response of the cash rate to financial conditions.
https://www.rba.gov.au/publications/rdp/2020/2020-01/the-effects-of-monetary-policy-shocks-on-inflation-unemployment-and-output.html

Credit Spreads, Monetary Policy and the Price Puzzle

28 Jan 2020 RDP 2020-01
Benjamin Beckers
Accordingly, I show that accounting for the cash rate's additional response to credit market conditions resolves the price puzzle.
https://www.rba.gov.au/publications/rdp/2020/2020-01.html

Appendix D: Further Robustness Tests and Results

28 Jan 2020 RDP 2020-01
Benjamin Beckers
a) Bishop and Tulip ((2017), updated, BT) policy shock with confidence intervals, or BT shock accounting for cash rate response to domestic lending rate spread (BT-CS2), US corporate bond spread ... b) BT shock accounting for cash rate response to all
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-d.html

Introduction

28 Jan 2020 RDP 2020-01
Benjamin Beckers
conditions. Second, I show that cash rate changes – after accounting for the Bank's response to its own forecasts but not for the response to credit market conditions – are well anticipated ... While international financial conditions are certainly
https://www.rba.gov.au/publications/rdp/2020/2020-01/introduction.html

The Cash Rate Response to Credit Market Conditions

28 Jan 2020 RDP 2020-01
Benjamin Beckers
Inferring that this is not the case suggests that cash rate changes, even after accounting for the Bank's forecasts, are anticipated by financial market participants.
https://www.rba.gov.au/publications/rdp/2020/2020-01/the-cash-rate-response-to-credit-market-conditions.html