تاثیر منصفانه سیاست های پولی در بازارهای مالی استرالیا

In January 1990, the Reserve Bank of Australia (RBA) changed from a covert disclosure policy to an overt disclosure policy. Using a sample from January 1986 to September 2001, this paper examines the reaction of Australian financial markets to rate target changes within each of these disclosure regimes. We find significantly different announcement day responses between the two disclosure regimes for both short-term and long-term treasury securities, and equity indices. Overall, the results indicate that when monetary policy is more transparent, the market reaction is less pronounced and, therefore, we conclude that fuller disclosure of monetary policy allows investors to more optimally manage their portfolios.

There are two distinct positions on how explicitly central banks should communicate monetary policy to market participants. One group argues that the option of choosing between public or non-public changes to monetary policy should reside with the central bank. The opposing group argues for a mandatory public statement of monetary policy change. This is an important issue since prior studies show that monetary policy actions of central banks have the ability to affect security prices in a systematic manner.1 The impact of monetary policy changes on security prices may be a function of how explicitly monetary policy is communicated. Different methods of communicating monetary policy may affect the ability of market participants to value correctly their financial securities and to manage their portfolios. In 1985, the Reserve Bank of Australia (RBA) began managing monetary policy through the control of interest rates. Initially, monetary policy changed covertly and only later was it acknowledged by central bankers “with winks and nods months after the event”.2 During this covert regime, market participants had little knowledge of when an announcement might occur and they had to infer changes by examining the rediscount rate, which was changed irregularly.3 In January 1990, the RBA decided to publicize changes in monetary policy. At that time, the RBA announced that it would meet on a particular day each month and the next day would release a press statement specifying the official cash rate target.4 In addition, the press release would indicate the logic behind that target. Therefore, during this period market participants knew ex ante when an announcement might occur, and the only uncertainty was the magnitude of any change. This change in communication policy permits a unique opportunity to investigate the impact of differential information of changes in the administered interest rate target on the Australian financial market. This study examines the impact of RBA target rate changes on security prices. RBA intervention was occurring during both regimes, and it is reasonable to assume market participants observed the same economic indicators as the RBA. As market conditions change, the likelihood of a change in interest rates increases, and participants adjust their portfolios to reflect these expectations. This rebalancing occurs over time and in an orderly fashion only if they know when an announcement is forthcoming. If their expectations are ultimately realized, their portfolios require little or no rebalancing, and we expect no statistically significant announcement effect. However, if the anticipation is not completely accurate or if the RBA is revealing new private information, portfolios may require substantial rebalancing, and we will observe an announcement effect.5 Timing is critical. If market participants do not know when the RBA will announce rate changes, more pronounced reactions to changes would occur. For example, suppose economic conditions are changing and market participants expect the RBA to increase short-term rates by 25 basis points. As a market participant, we continually rebalance our portfolio to reflect our expectations. If we know the day the RBA will announce any changes, we know our expectations will or will not be confirmed on that day. Optimization of our portfolio should occur at that time. However, if we do not know when the RBA will make the 25 basis point adjustment, our portfolio is more likely to be less than optimal on the inferred announcement date.6 Therefore, release of this information necessitates larger portfolio adjustments. With this in mind, we expect a larger announcement effect for changes during the covert period. A change in the interest rate target by itself is an incomplete signal because it does not clearly communicate the resolve of the central bank to manage inflation. Central bank action not only influences market interest rates, but also inflation expectations. Previous research on administered rate changes neglects the contribution that real interest rate and inflation rate components have on treasury instruments with different maturities. We address this issue by recognizing that real interest rates drive the effect of central bank administered target rate changes on short-term treasury securities. Both real interest rates and inflation expectations drive the effect on long-term treasury securities. Most prior research uses US data to examine the impact of central bank rate target changes on financial securities. However, there is limited research as to whether the results of US studies are generally applicable. Australian financial market results may differ from the US because of the different institutional structure of the RBA.7

This study examines the reaction of financial securities to rediscount and official cash rate target changes in Australia. Consistent with prior US research, we find that RBA administered rates and treasury yields move together, with longer term treasury yields moving less for given changes in RBA administered rate targets. We also find significantly different announcement day responses between the two disclosure regimes for both short-term and long-term treasury securities. Previous research on federal funds rate and discount changes neglects the dissimilar contribution that real interest and inflation rate components have on treasury instruments with different maturities because information about inflation expectations was not explicitly stated in announcements by central banks. Real interest rates drive the effect of rate changes on short-term treasury securities whereas both real rates and inflation expectations drive the effect on long-term treasury securities. Changes in the RBA administered rates during the covert disclosure regime elicit significant negative reactions in the equity markets. A change in the official cash rate during the overt disclosure regime elicits no significant reaction in the equity markets. The response coefficients during the covert disclosure regime are statistically significantly greater than the response coefficients during the overt disclosure regime. These results suggest the equity markets are not as surprised by RBA announcements during the overt period. Recent US research reveals that business and monetary conditions and their interaction influence both equity and bond returns. Accordingly, investors must use business and monetary conditions to formulate and manage their portfolios. We find that when monetary policy is more transparent, the market reaction is less pronounced and, therefore, we conclude that fuller disclosure of monetary policy allows investors to more optimally manage their portfolios.