We study high-frequency trading (HFT) activities and their consequent price impacts on the ASX around RBA announcement. RBA announcement provides an ideal setting for studying the speed advantage of high-frequency traders (HFTs), as the announcement has significant impact on stock prices and...

Unlike US and European jurisdictions, Australian monetary policy announcements are not followed promptly by projections materials or statements that explain the decision process. This information is disclosed two weeks later when the explanatory minutes of the Reserve Bank board meeting are...

This paper examines the Australian interest rate futures market reaction to changes in RBA monetary policy. Having determined market expectations from 30-day Interbank futures, the study finds evidence that interest rate futures react strongly to target rate announcements across the maturity...

We evaluate the accuracy of the fixed-income market in pricing for future movements in monetary policy. Yields implied by market pricing on various fixed-income securities are regressed on returns on the cash rate over corresponding periods. Where the market pricing is subject to risk premia,...

In this paper we quantitatively analyse monetary policy statements of the Reserve Bank of India (RBI) from 1998 to 2017, across the regimes of five governors. We first ask whether the content and focus of the statements have changed with the adoption of inflation-targeting as a framework for...

Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...