Loading...
Please wait, while we are loading the content...
Similar Documents
What moves yields in australia? (1998).
| Content Provider | CiteSeerX |
|---|---|
| Author | Campbell, Frank Lewis, Eleanor |
| Abstract | This paper has benefited from valuable comment from Ric Battellino, John Broadbent, David Gruen, Philip Lowe and participants in a seminar at the Reserve Bank of Australia. We are grateful to Diane Castle for helping to prepare the document and to Rebecca Moylan and Mina Stavropoulos for assistance with extensive data input. We also appreciate the considerable assistance of Kelly McCullum (Sydney Futures Exchange), Sandra Muldoon (Dow Jones) and John Mair (Reuters) for supplying data and market forecasts. The views expressed in this paper are those of the authors and should not be attributed to the Reserve In this paper, we measure how the fixed-interest market in Australia assesses and responds to new economic information. We use high-frequency data, precise announcement times and market-based forecasts to measure the reaction of bill and bond yields to news. The period covered is from January 1994 to September 1997. We find that announcements about US economic news have had a large impact on yields in Australia – especially bond yields. Of the domestic announcements, the |
| File Format | |
| Publisher Date | 1998-01-01 |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
