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Monetary policy surprises and the bank bill term premium

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dc.contributor.authorWalsh, Kathleen
dc.contributor.authorTan, David
dc.date.accessioned2015-12-13T22:55:26Z
dc.date.issued2008
dc.date.updated2016-02-24T08:37:13Z
dc.description.abstractHas 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 interest-rate risks in the economy. This new information is immediately assessed and accounted for in the term structure, consequently influencing the term premium in the direction of the unanticipated cash rate adjustment.
dc.identifier.issn0312-8962
dc.identifier.urihttp://hdl.handle.net/1885/82529
dc.publisherUniversity of New South Wales
dc.sourceAustralian Journal of Management
dc.subjectKeywords: Term Premium; Unanticipated monetary policy
dc.titleMonetary policy surprises and the bank bill term premium
dc.typeJournal article
local.bibliographicCitation.issue2
local.bibliographicCitation.lastpage260
local.bibliographicCitation.startpage231
local.contributor.affiliationWalsh, Kathleen, College of Business and Economics, ANU
local.contributor.affiliationTan, David, College of Business and Economics, ANU
local.contributor.authoruidWalsh, Kathleen, u4955047
local.contributor.authoruidTan, David, u4757047
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor150200 - BANKING, FINANCE AND INVESTMENT
local.identifier.absseo910109 - Savings and Investments
local.identifier.ariespublicationf5625xPUB10788
local.identifier.citationvolume33
local.identifier.scopusID2-s2.0-66649097011
local.type.statusPublished Version

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