91 resultados para Volatility
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- Aberdeen University (1)
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- Acceda, el repositorio institucional de la Universidad de Las Palmas de Gran Canaria. España (1)
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- Chinese Academy of Sciences Institutional Repositories Grid Portal (10)
- Cochin University of Science & Technology (CUSAT), India (6)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (76)
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- Duke University (10)
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- Helda - Digital Repository of University of Helsinki (45)
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- Instituto Politécnico do Porto, Portugal (5)
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- Queensland University of Technology - ePrints Archive (91)
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- Repositório digital da Fundação Getúlio Vargas - FGV (116)
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- Universidade Complutense de Madrid (9)
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- Universitätsbibliothek Kassel, Universität Kassel, Germany (2)
- Université de Lausanne, Switzerland (3)
- Université de Montréal (1)
- Université de Montréal, Canada (39)
- University of Connecticut - USA (8)
- University of Michigan (2)
- University of Queensland eSpace - Australia (8)
- University of Southampton, United Kingdom (4)
- University of Washington (1)
- WestminsterResearch - UK (2)
Resumo:
Owing to the discrete disclosure practices of the Reserve Bank of Australia, this paper provides new evidence on the channels of monetary policy triggered by central bank actions (monetary policy announcements) and statements (explanatory minutes releases), in the Australian equity market. Both monetary policy announcements and explanatory minutes releases are shown to have a significant and comparable impact on the returns and volatility of the Australian equity market. Further, distinct from US and European studies that find strong evidence of the interest rate, bank loan and balance sheet channels and no evidence of the exchange rate channel following central bank actions, this paper finds that monetary policy impacts the Australian equity market via the exchange rate, interest rate and bank loan channels of monetary policy, with only weak evidence of the balance sheet channel of monetary policy. These channels are found to be operating irrespective of the trigger (monetary policy announcements or explanatory minutes releases), though results are somewhat weaker when examining the explanatory minutes releases. These results have important implications for central bank officials and financial market participants alike: by confirming a comparable avenue to affect monetary policy; and providing an explication of its impact on the Australian equity market.