What is it about?
This paper provides comprehensive evidence on the impacts of the Reserve Bank of Australia's (RBA) and the U.S. Fed's target interest rate announcement news on the Australian financial markets over the period 1998–2006. The RBA's news had a significant impact on the first moments of market returns/changes in line with a priori expectations, and the conditional volatility in most of the markets was significantly higher following the news. Asymmetric news effect is also observed for the Australian
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Why is it important?
This paper dually aims at firstly investigating the role played by the RBA’s interest rate news in the Australian debt, foreign exchange and stock markets, and secondly, documenting and discussing the existence and the nature of the transmission of the U.S. Fed’s interest rate news on the Australian financial markets.
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This page is a summary of: The reaction of the Australian financial markets to the interest rate news from the Reserve Bank of Australia and the U.S. Fed, Research in International Business and Finance, September 2008, Elsevier,
DOI: 10.1016/j.ribaf.2008.02.001.
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