School of Economics

  Invites you to a

Macroeconomics and Trade seminar presented by

Qazi Haque
(University of Adelaide)

Can We Use High-Frequency Yield Data to Better

Understand the Effects of Monetary Policy and Its

Communication? Yes and No!

Co-author

Jonathan Hambur (University of Adelaide)

Wednesday 20 September 2023

2:00pm – 3.30pm

Level 6 Seminar Room (650)

A02 Social Sciences Building
Camperdown Campus

The University of Sydney NSW 2006

Zoom: 875 6893 1762

Passcode: 214693

 We examine the effects of three facets of monetary policy in Australia using high-frequency yield changes around RBA 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 evidence that: forward  guidance shocks raised future rate expectations in the mid-2010s as the RBA 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.

For further information contact: Macroeconomics and Trade seminar series coordinator Dr James Graham (james.a.graham@sydney.edu.au)

For all upcoming seminars in School of Economics see Our events and Calendar