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Measuring monetary policy expectations

Murik, Vijay

Description

We evaluate the accuracy of the fixed-income market in pricing for future movements in monetary policy. Yields implied by market pricing on various fixed-income securities are regressed on returns on the cash rate over corresponding periods. Where the mar

CollectionsANU Research Publications
Date published: 2013
Type: Journal article
URI: http://hdl.handle.net/1885/74362
Source: Australian Journal of Management
DOI: 10.1177/0312896212445521

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