RBA Research Discussion Papers最新文献

Demand in the Repo Market: Indirect Perspectives from Open Market Operations from 2006 to 2020 回购市场的需求：2006 至 2020 年公开市场操作的间接视角

RBA Research Discussion Papers Pub Date : 2024-05-15 DOI: 10.47688/rdp2024-03

Chris Becker, Anny Francis, Calebe de Roure, Brendan Wilson

{"title":"Demand in the Repo Market: Indirect Perspectives from Open Market Operations from 2006 to 2020","authors":"Chris Becker, Anny Francis, Calebe de Roure, Brendan Wilson","doi":"10.47688/rdp2024-03","DOIUrl":"https://doi.org/10.47688/rdp2024-03","url":null,"abstract":"In Australia repurchase (repo) obligations are traded bilaterally 'over-the-counter' between parties, rather than on an exchange. As a result, it is difficult to obtain quotes of executable prices, trading volumes, and related data that are representative of the market. Market conditions are therefore not easy to assess and often dependent on anecdotal evidence. Over the years, the Reserve Bank of Australia has published data and analysis of the repo market by providing indirect perspectives using data from its own open market operations that are conducted using repos. This paper contributes to this work. The Reserve Bank conducts open market operations to manage liquidity in the interbank market, provide settlement balances for the smooth functioning of the payments system, and for the implementation of monetary policy. Repos are an integral part of these operations. The eligible private sector counterparties in these auctions have a variety of reasons for participating. We arrange their bids in an ascending order in a number of distinct phases so that they can be used to make inferences about the demand for repo and hence market operations. Several insights allow us to better understand the dynamics underpinning the repo market. The findings mainly relate to the period prior to the implementation of unconventional monetary policies in March 2020.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"61 13","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140972331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Valuing Safety and Privacy in Retail Central Bank Digital Currency 重视中央银行零售数字货币的安全性和隐私性

RBA Research Discussion Papers Pub Date : 2024-04-11 DOI: 10.47688/rdp2024-02

Zan Fairweather, Denzil Fiebig, Adam Gorajek, Rochelle Guttmann, June Ma, Jack Mulqueeney

引用次数: 0

Adoption of Emerging Digital General-purpose Technologies: Determinants and Effects 采用新兴数字通用技术：决定因素和影响

RBA Research Discussion Papers Pub Date : 2023-12-21 DOI: 10.47688/rdp2023-10

Kim Nguyen, Jonathan Hambur

引用次数: 0

Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE 货币政策是否影响澳大利亚的非采矿企业投资？来自 BLADE 的证据

RBA Research Discussion Papers Pub Date : 2023-12-11 DOI: 10.47688/rdp2023-09

Gulnara Nolan, Jonathan Hambur, Philip Vermeulen

{"title":"Does Monetary Policy Affect Non-mining Business Investment in Australia? Evidence from BLADE","authors":"Gulnara Nolan, Jonathan Hambur, Philip Vermeulen","doi":"10.47688/rdp2023-09","DOIUrl":"https://doi.org/10.47688/rdp2023-09","url":null,"abstract":"We provide new evidence on the effect of monetary policy on investment in Australia using firm-level data. We find that contractionary monetary policy makes firms less likely to invest and lowers the amount they invest if they do so. The effects are similar for young and old firms, indicating that the decline in the number of young firms in Australia over time is unlikely to have weakened the effect of monetary policy. The effects are also broadly similar for smaller and larger firms. This suggests that evidence that some, particularly large, firms have sticky hurdle rates does not mean that they do not respond to monetary policy. It also suggests that overseas findings that expansionary monetary policy lessens competition by supporting the largest firms likely do not apply to Australia. We find evidence that financially constrained firms, and sectors that are more dependent on external finance, are more responsive to monetary policy, highlighting the important role of cash flow and financing constraints in the transmission of monetary policy. Finally, we find evidence that monetary policy affects firms' actual and expected investment contemporaneously, suggesting that expectations are reactive and will tend to lag over the cycle.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"31 16","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139010512","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The Evolution of Consumer Payments in Australia: Results from the 2022 Consumer Payments Survey 澳大利亚消费者支付的演变：2022 年消费者支付调查结果

RBA Research Discussion Papers Pub Date : 2023-11-27 DOI: 10.47688/rdp2023-08

Tanya Livermore, Jack Mulqueeney, Thuong Nguyen, Benjamin Watson

引用次数: 0

Firms' Price-setting Behaviour: Insights from Earnings Calls 公司的定价行为：盈利电话会议的启示

RBA Research Discussion Papers Pub Date : 2023-09-11 DOI: 10.47688/rdp2023-06

C. Windsor, Max Zang

引用次数: 0

The Impact of Interest Rates on Bank Profitability: A Retrospective Assessment Using New Cross-country Bank-level Data 利率对银行盈利能力的影响:基于新的跨国银行层面数据的回顾性评估

RBA Research Discussion Papers Pub Date : 2023-06-21 DOI: 10.47688/rdp2023-05

C. Windsor, T. Jokipii, M. Bussière

{"title":"The Impact of Interest Rates on Bank Profitability: A Retrospective Assessment Using New Cross-country Bank-level Data","authors":"C. Windsor, T. Jokipii, M. Bussière","doi":"10.47688/rdp2023-05","DOIUrl":"https://doi.org/10.47688/rdp2023-05","url":null,"abstract":"This paper provides a retrospective assessment of the relationship between bank profitability and interest rates, focusing on the period when rates were very low or negative. To do this we use new confidential bank-level data covering about 1,500 banks operating in 10 banking systems, with most samples spanning the two decades up to the end of 2019. Our analysis confirms the empirical regularity that declining interest rates reduce banks' net interest margins. However, we find a smaller effect than in previous studies: on average across countries, a 100 basis point fall in short-term interest rates results in a 5 basis point decline in net interest margins in the short run. Notably, there are substantial cross-country differences, and, in some cases, the estimated effect is greater. Importantly, the effect of lower interest rates on net interest margins is larger than the effect on assets returns, suggesting that banks can shield overall profitability in the face of lower interest rates. For example, lower interest rates alleviate debt-servicing burdens and are associated with a fall in provisions set aside to cover losses on loans. There is therefore no one-size-fits-all result for the impact of low interest rates on overall profitability: in some jurisdictions banks maintained their level of profitability as the beneficial impact of lower rates on loan-loss provisions and other factors, including an increased focus on cost efficiencies and streamlining business models, materially offset the drag from lower interest margins.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"124 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-06-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128113071","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No! 我们能利用高频收益率数据更好地理解货币政策及其沟通的影响吗?是和不是!

RBA Research Discussion Papers Pub Date : 2023-05-12 DOI: 10.47688/rdp2023-04

Jonathan Hambur, Qazi Haque

{"title":"Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!","authors":"Jonathan Hambur, Qazi Haque","doi":"10.47688/rdp2023-04","DOIUrl":"https://doi.org/10.47688/rdp2023-04","url":null,"abstract":"Understanding the effects of monetary policy and its communication is crucial for a central bank. This paper explores a new approach to identifying the effects of monetary policy using high-frequency data around monetary policy decisions and other announcements that allows us to explore different facets of monetary policy, specifically: current policy action; signalling or forward guidance about future rates; and the effect on uncertainty and term premia. The approach provides an intuitive lens through which to understand how policy and its communication affected expectations for rates and risks during certain historical periods, and more generally. For example, it suggests that: (i) signalling/forward guidance shocks tended to raise expected future policy rates in the mid-2010s as the RBA highlighted rising risks in housing markets; (ii) COVID-19-era monetary policy worked mainly through affecting term premia rather than expectations for future policy rates, unlike pre-COVID-19 policy; and (iii) shocks to the expected path of rates are predictable based on data available at the time, which suggests that markets systematically misunderstand how the RBA reacts to data, highlighting the importance of clear communication. We also explore the macroeconomic effects of these different shocks. The effects of shocks to current policy are similar to those estimated in previous papers, and existing issues such as the 'price puzzle' remain, while the effects of other shocks are imprecisely estimated. Although the approach provides little new information on the macroeconomic effects of monetary policy, it does highlight the importance of these other facets of policy in moving interest rates and suggests additional work in this space could be valuable.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-05-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122767649","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Doing Less, with Less: Capital Misallocation, Investment and the Productivity Slowdown in Australia 用更少的钱做更少的事:澳大利亚的资本错配、投资和生产率放缓

RBA Research Discussion Papers Pub Date : 2023-03-22 DOI: 10.47688/rdp2023-03

Jonathan Hambur, D. Andrews

引用次数: 1

Did Labour Market Concentration Lower Wages Growth Pre-COVID? covid前劳动力市场集中度是否降低了工资增长?

RBA Research Discussion Papers Pub Date : 2023-03-01 DOI: 10.47688/rdp2023-02

Jonathan Hambur

{"title":"Did Labour Market Concentration Lower Wages Growth Pre-COVID?","authors":"Jonathan Hambur","doi":"10.47688/rdp2023-02","DOIUrl":"https://doi.org/10.47688/rdp2023-02","url":null,"abstract":"Wages growth in Australia was lower than expected prior to COVID-19 based on historical determinants. One possible explanation for this is that employment had become more concentrated among a small number of large employers. This reduced outside options for workers and lowered their bargaining power and wages. This paper examines concentration in Australian labour markets and its impacts on wages using a large and representative database derived from administrative tax data. Labour markets have not, on average, become more concentrated over time. However, the impact of any given level of concentration has increased since the 2010s. This may help explain surprisingly low wages growth pre-COVID, despite labour market concentration having remained constant. Simple back-of-the-envelope estimates suggest that the greater impact of concentration may have lowered wages by a little under 1 per cent on average between 2011 and 2015. Declining firm entry and dynamism appear to have contributed to the increased impact of concentration, and lower wages growth, by lowering competition for labour among incumbent firms. Declining union coverage and occupational mobility may also have played a role, but declining firm entry appears to have been the main driver.","PeriodicalId":216440,"journal":{"name":"RBA Research Discussion Papers","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132809765","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1