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RBA Glossary definition for interest rate
interest rate – The term used to describe the cost of borrowing money or the return to the owner of the funds which are invested or lent out. It is usually expressed as a percent per annum of the amount of money borrowed, lent or invested.
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News and Interest Rate Expectations: A Study of Six Central Banks
1 Nov 2004
RDP
2004-10
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/2004/2004-10.html
News and Interest Rate Expectations: A Study of Six Central Banks
1 Nov 2004
RDP
2004-10
Research Discussion Paper – RDP 2004-10 News and Interest Rate Expectations: A Study of Six Central Banks.
https://www.rba.gov.au/publications/rdp/2004/2004-10/
News and Interest Rate Expectations: Some Conceptual Issues
31 Dec 2004
RDP
2004-10
The most direct measure of expected future policy rates are interest rate futures, since these incorporate expectations of market interest rates, which are closely linked to the policy rate over the ... The efficient market hypothesis suggests that
https://www.rba.gov.au/publications/rdp/2004/2004-10/news-and-interest-rate-expectations-some-conceptual-issues.html
Measuring the Impact of News on Interest Rates: A Cross-country Study
31 Dec 2004
RDP
2004-10
On average, parliamentary hearings shifted the standard deviation of interest rate expectations by around 2 to 6 basis points, with the largest effect on expectations of rates in two to three ... GARCH models of short rates often require the inclusion of
https://www.rba.gov.au/publications/rdp/2004/2004-10/measuring-the-impact-of-news-on-interest-rates-a-cross-country-study.html
Does News Matter?
31 Dec 2004
RDP
2004-10
RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks 3. ... We measure these using changes in daily implied interest rates from 90-day interest rate futures, Δf.
https://www.rba.gov.au/publications/rdp/2004/2004-10/does-news-matter.html
Appendix A: Data
31 Dec 2004
RDP
2004-10
Download the Paper 886. KB. Interest rates and interest rate futures: Table A1 below lists for each of the six economies the source of the eight 90-day interest rate futures, ... Table A1: Interest Rate Data and Sources. 90-day futures. (a). Policy rate.
https://www.rba.gov.au/publications/rdp/2004/2004-10/appendix-a.html
Introduction
31 Dec 2004
RDP
2004-10
RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks 1. ... However, it is more difficult to measure the impact of monetary policy communication on interest rate futures.
https://www.rba.gov.au/publications/rdp/2004/2004-10/introduction.html
Conclusions
31 Dec 2004
RDP
2004-10
RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks 5. ... The effect of these types of news on daily changes in interest rate futures was estimated using an EGARCH model for a panel of economies.
https://www.rba.gov.au/publications/rdp/2004/2004-10/conclusions.html
References
31 Dec 2004
RDP
2004-10
RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks References. ... Kuttner KN (2001), ‘Monetary policy surprises and interest rates: evidence from the Fed funds futures market’, Journal of Monetary Economics, 47(3), pp
https://www.rba.gov.au/publications/rdp/2004/2004-10/references.html
Appendix B: Econometric Results
31 Dec 2004
RDP
2004-10
Table B2: Effect of Central Bank Communication on Interest Rate Futures Variance Equation for Australia. ... Table B3: Effect of Central Bank Communication on Interest Rate Futures Variance Equation for Canada.
https://www.rba.gov.au/publications/rdp/2004/2004-10/appendix-b.html