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Monetary policy surprises and the bank bill term premium

Walsh, Kathleen; Tan, David


Has Australia's shift to an inflation-targeting monetary policy regime had a significant impact on investors' perception of interest-rate risks in the market? We find that since 1990, unanticipated adjustments to monetary policy have had a significantly larger impact on the term premium. This coincides with Australia's adoption of an inflation-targeting monetary policy. Since its implementation, unanticipated adjustments have conveyed more information to financial markets regarding the...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Australian Journal of Management


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