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Australian Financial Market Volatility: An Exploration of Cross-country and Cross-market Linkages

Kortian, Tro; James O’Regan - Reserve Bank of Australia - 1996

over the period 1987 to 1996, and addresses four questions concerning volatility and international market linkages. First …, is there evidence of a trend increase in volatility in Australian financial markets? Second, have Australia’s financial … there evidence of directionality and other asymmetries in Australian financial market volatility? The paper finds no …

Persistent link: https://www.econbiz.de/10005426692

The Efficient Market Hypothesis: A Survey

Beechey, Meredith; Gruen, David; Vickery, James - Reserve Bank of Australia - 2000

The efficient market hypothesis states that asset prices in financial markets should reflect all available information; as a consequence, prices should always be consistent with ‘fundamentals’. In this paper, we discuss the main ideas behind the efficient market hypothesis, and provide a...

Persistent link: https://www.econbiz.de/10005426750

Systematic Risk Characteristics of Corporate Equity

Shuetrim, Geoffrey - Reserve Bank of Australia - 1998

well documented negative correlation between equity betas and firm size. Also, greater deviations of systematic risk from …

Persistent link: https://www.econbiz.de/10005398643

Value at Risk: On the Stability and Forecasting of the Variance-covariance Matrix

Engel, James; Gizycki, Marianne - Reserve Bank of Australia - 1999

the forecasts of the volatility of market rates and the correlations between the various market rates (that is, the … variance-covariance matrix) incorporated into the VaR model. In this paper we first present the results of tests of the … the performance of several time-series models that may be used to forecast the variance-covariance matrix. In particular …

Persistent link: https://www.econbiz.de/10005426742

Exchange Rate Movements and the Australian Economy

Manalo, Josef; Perera, Dilhan; Rees, Daniel - Reserve Bank of Australia - 2014

We use a structural vector autoregression model to characterise the aggregate and industry effects of exchange rate movements on the Australian economy. We find that a temporary 10 per cent appreciation of the real exchange rate that is unrelated to the terms of trade or interest rate...

Persistent link: https://www.econbiz.de/10010928954

Asymmetric Demography and Macroeconomic Interactions Across National Borders

Bryant, Ralph C - Reserve Bank of Australia

Persistent link: https://www.econbiz.de/10005423342

Inflation Targeting and the Inflation Process: Some Lessons from an Open Economy

Debelle, Guy; Wilkinson, Jenny - Reserve Bank of Australia - 2002

In an open economy inflation-targeting framework, whether policy-makers should target aggregate or non-traded inflation depends on the structural relationships in the economy. This paper shows that in a small empirical model of the Australian economy, it makes little difference which measure is...

Persistent link: https://www.econbiz.de/10005423601

The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data

Kearns, Jonathan; Manners, Phil - Reserve Bank of Australia - 2005

This paper uses intraday data to estimate the effect of changes in monetary policy on the exchange rate. We use an event study with carefully selected sample periods for four countries (Australia, Canada, New Zealand and the United Kingdom) to ensure that the change in monetary policy is...

Persistent link: https://www.econbiz.de/10005423628

A Structural Vector Autoregression Model of Monetary Policy in Australia

Brischetto, Andrea; Voss, Graham - Reserve Bank of Australia - 1999

This paper examines the effects of monetary policy in Australia using a small structural vector autoregression model. The model we use is a modification of the small open economy model developed for the G6 economies (the G7 less the United States) by Kim and Roubini (1999). The success of the...

Persistent link: https://www.econbiz.de/10005423662

Discussion of 'Asymmetric Demography and Macroeconomic Interactions Across National Borders'

Duchâteau, Alain - Reserve Bank of Australia

Persistent link: https://www.econbiz.de/10005398573