我们能否利用高频数据更好地理解货币政策及其沟通的效果？是与否！*

IF 1.1 4区经济学 Q3 ECONOMICS

Economic Record Pub Date : 2024-02-25 DOI:10.1111/1475-4932.12786

Jonathan Hambur, Qazi Haque

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引用次数: 0

摘要

我们利用澳大利亚储备银行公告前后的高频收益率变化，研究了澳大利亚货币政策的三个方面的影响：当前政策、信号/前瞻性指引和溢价变化。对当前政策的冲击所产生的影响与传统方法所确定的影响相似，但对信号和溢价冲击的影响的估计并不精确。尽管如此，该方法还是提供了以下证据：随着澳大利亚储备银行强调住房风险，前瞻性指导冲击在 2010 年代中期提高了未来利率预期；COVID 时代的政策主要影响期限溢价，这与 COVID 之前的政策不同；对预期利率路径的冲击是可预测的，这表明市场误解了澳大利亚储备银行对数据的反应。

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Can we Use High-Frequency Data to Better Understand the Effects of Monetary Policy and its Communication? Yes and No!*

We examine the effects of three facets of monetary policy in Australia using high-frequency yield changes around the Reserve Bank of Australia's announcements: current policy, signalling/forward guidance and changes in premia. Shocks to current policy have similar effects to those identified using conventional approaches, but the effects of signalling and premia shocks are imprecisely estimated. Still, the approach provides the following evidence: forward guidance shocks raised future rate expectations in the mid-2010s as the Reserve Bank of Australia highlighted housing risks; COVID-era policy mainly affected term premia, unlike pre-COVID policy; shocks to the expected path of rates are predictable, suggesting markets misunderstand the RBA's reaction to data.

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来源期刊

Economic Record ECONOMICS-

CiteScore

1.90

自引率

16.70%

发文量

期刊介绍： Published on behalf of the Economic Society of Australia, the Economic Record is intended to act as a vehicle for the communication of advances in knowledge and understanding in economics. It publishes papers in the theoretical, applied and policy areas of economics and provides a forum for research on the Australian economy. It also publishes surveys in economics and book reviews to facilitate the dissemination of knowledge.