tailieunhanh - NEWS AND INTEREST RATE EXPECTATIONS: A STUDY OF SIX CENTRAL BANKS

But uncertainty about the path of future interest rates (and differences in investor preferences) will make debt of different maturities imperfect substitutes. Because of this, changes in the mix of short-term and long-term bonds offered by the government will change relative prices and thus influence the shape of the yield curve. At the same time, monetary policy based on setting the policy rate becomes less effective: the lower the degree of asset substitutability, the weaker the transmission of changes in the overnight rate to other interest rates. Hence government debt management policies (or central bank purchases of bonds) become more. | NEWS AND INTEREST RATE EXPECTATIONS A STUDY OF SIX CENTRAL BANKS Ellis Connolly and Marion Kohler Research Discussion Paper 2004-10 November 2004 Economic Group Reserve Bank of Australia We would like to thank Christopher Kent Mark Lauer Anthony Richards and seminar participants at the Reserve Bank of Australia and at the annual conference of the Reserve Bank of Australia 2004 for valuable comments and discussions. Any remaining errors are ours. The views expressed are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. Abstract In this paper we analyse the effect of news relating to the expected path of monetary policy on interest rate futures. Central banks transparency is in most respects much greater than it was a decade ago and so central bank communication needs to be included as a potential source of news. We therefore consider four types of news macroeconomic news overseas news monetary policy surprises and central bank communication. The effect of these types of news on daily changes in interest rate futures is estimated using an EGARCH model for a panel of six economies. We find that interest rate expectations respond to both macroeconomic and policy news although the response to macroeconomic news is larger especially once we include foreign news. Overall the results suggest that the impact of the RBA s communication policy is in line with other major central banks and significantly influences and informs expectations of future monetary policy. JEL Classification Numbers E58 E52 G14 Keywords central bank communication news interest rate futures i Table of Contents 1. Introduction 1 2. News and Interest Rate Expectations Some Conceptual Issues 3 3. Does News Matter 8 Data 8 A Preliminary Analysis 10 4. Measuring the Impact of News on Interest Rates A Cross-country Study 15 The Econometric Model 16 The mean equation 16 The variance equation 17 The Effect of Macroeconomic News and .

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