RDP 2021-04: Monetary Policy, Equity Markets and the Information Effect Appendix A: Data Description

Calvin He

April 2021

Table A1: Data Sources and Samples
  Source Start date End date Missing data
Cash rate target RBA 2001:M4 2020:M5  
Overnight index swap Refinitiv 2001:M4 2020:M5 2001:M12–2002:M8
ASX 200 index Refinitiv 2001:M4 2020:M5  
Equity earnings forecasts Thomson Reuters, Refinitiv 2006:M2 2020:M2  
RBA communication dates Bloomberg 2001:M4 2020:M5  
Unemployment, GDP growth, CPI forecasts Bloomberg 2001:M4 2020:M2  
Unemployment, GDP growth, CPI first release Bloomberg, ABS 2001:M4 2020:M2  
Equity risk premium RBA 2001:M4 2020:M5  
10-year AGS yield RBA 2001:M4 2020:M5  

A.1 Overnight index swap window

Due to incomplete data, occasionally the window around the monetary policy event needs to be modified. This is especially in the case of speeches which often occur outside normal business hours.

If data are unavailable 30 minutes prior to the event the following rules are applied in order:

  • if the event occurred after the first available observation of the day and 30 minutes prior to the event is before the time of the first available observation of the day, then the first available of the day is used; else
  • the data point that occurs immediately before 30 minutes prior to the event is used.

If data are unavailable 90 minutes following the event the following rules are applied in order:

  • if the event occurs before the last available observation of the day and 90 minutes following the event is after the last available observation of the day, then the last available observation of the day is used; else
  • if the event occurs before the first available observation of the day, then the observation 60 minutes after the first available observation of the day is used; else
  • if the event occurs after the last available observation of the day, then the observation 60 minutes following the first available observation of the next day is used.

A.2 Economic news and Governor speeches

Following the release of economic news there is not necessarily a Governor speech in the time immediately after. To account for this, I only include economic news events that have a Governor speech within 14 days of the release of economic news.