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

Volumn 22, Issue 3, 2008, Pages 378-395

  Kim, Suk Joong ^a   Nguyen, Do Quoc Tho ^a,b  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

^b State Bank of Vietnam ^*  (Viet Nam)

Author keywords

Monetary surprises; RBA; Spillover effects; Target interest rate news; U.S. Fed

Indexed keywords

EID: 47149114207     PISSN: 02755319     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ribaf.2008.02.001     Document Type: Article

References (23)

1. Bernanke B.S., and Blinder A.S. The Federal funds rate and the channels of monetary transmission. Am. Econ. Rev. 82 (1992) 901-921
2. Bernanke B.S., and Kuttner K.N. What explains the stock market's reaction to Federal Reserve policy?. J. Financ. 60 (2005) 1221-1257
3. Bomfim A.N. Pre-announcement effects, news effects, and volatility: monetary policy and the stock market. J. Bank. Financ. 27 (2003) 133-151
4. Bredin D., Gavin O., and O'Reilly G. US monetary policy announcements and Irish stock market volatility. Appl. Financ. Econ. 15 (2005) 1243-1250
5. Connolly R.A., and Wang F.A. Economic news and stock market linkages: the evidence from the US, UK and Japan. Proceedings of The Second Joint Central Bank Research Conference on Risk Management and Systemic Risk, vol. 1 (1998) 211-240
6. Connolly R.A., and Wang F.A. International equity market comovements: economic fundamentals or contagion?. Pacific Basin Financ. J. 11 (2003) 23-43
7. Cook T., and Hahn T. The effects of changes in the Federal funds rate target on market interest rates in the 1970s. J. Monet. Econ. 24 (1989) 331-351
8. Demiralp S., and Jorda O. The response of term rates to Fed announcements. J. Money Credit Bank. 36 (2004) 387-405
9. Diggle J., and Brooks R. The target cash rate and its impacts on investment asset returns in Australia. Appl. Financ. Econ. 17 (2007) 615-633
10. Ehrmann M., and Fratzscher M. Monetary policy announcements and money markets: a transatlantic perspective. Int. Financ. 6 (2003) 309-328
11. Ehrmann M., and Fratzscher M. Equal size, equal role? Interest rate interdependence between the euro area and the United States. Econ. J. 115 (2005) 928-948
12. Gasbarro D., and Monroe G.S. The impact of monetary policy candidness on Australian financial markets. J. Multinational Financ. Manage. 14 (2004) 35-46
13. Gulley O.D., and Sultan J. The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract. Appl. Financ. Econ. 13 (2003) 199-209
14. Hausman, J., Wongswan, J., 2006. Global asset prices and FOMC announcements. FRB International Finance Discussion Papers. Board of Governors of the Federal Reserve System.
15. Kim S.-J. Information leadership in the advanced Asia-Pacific stock markets: return, volatility and volume information spillovers from the US and Japan. J. Jpn. Int. Econ. 19 (2005) 338-365
16. Kim S.-J., and Sheen J. International linkages and macroeconomic news effects on interest rate volatility-Australia and the US. Pacific Basin Financ. J. 8 (2000) 85-113
17. Krueger J., and Kuttner K. The Fed funds futures rate as a predictor of federal reserve policy. J. Futures Markets 16 (1996) 865-879
18. Kuttner K.N. Monetary policy surprises and interest rates: evidence from Fed funds futures market. J. Monet. Econ. 47 (2001) 523-544
19. Lee J. The impact of federal funds target changes on interest rate volatility. Int. Rev. Econ. Financ. 15 (2006) 241-259
20. Masih A.M.M., and Winduss T. Who leads the Australian interest rates in the short and long run? An application of long run structural modeling. Rev. Pacific Basin Financ. Markets Pol. 9 (2006) 1-24
21. Narayan P.K., and Smyth R. Modeling the linkages between the Australian and G7 stock markets: common stochastic trends and regime shifts. Appl. Financ. Econ. 14 (2004) 991-1004
22. Roley V.V., and Sellon G.H. Monetary policy actions and long-term interest rates. Econ. Quart. 80 (1995) 73-89
23. Roley, V.V., Sellon, G.H., 1998. Market reaction to monetary policy non-announcement. In: Working paper. Federal Reserve Bank of Kansas City.