High-frequency monetary policy surprise for Australia, decomposed into three components (action, path, and term premium) by a principal- component rotation of changes in overnight-indexed swap and Australian Government Securities yields around RBA cash-rate decisions. Monthly frequency; months with no RBA board meeting are coded zero.
Format
A data frame with columns:
- date
Date. First day of the observation month.- shock
numeric. Action factor (current cash-rate surprise), percentage points.- action
numeric. Current-meeting cash-rate surprise, percentage points.- path
numeric. Forward-guidance surprise, percentage points.- term_premium
numeric. Long-end term-premium surprise, percentage points.- series
character. Series identifier"hambur_haque_au".
Source
Hambur, J., & Haque, Q. (2023). "Monetary Policy Transmission, Real Interest Rates and Credit Spreads: Evidence from Australia." Economic Record (2024). doi:10.1111/1475-4932.12786 . Data: Reserve Bank of Australia Research Discussion Paper 2023-04, https://www.rba.gov.au/publications/rdp/2023/2023-04/. CC BY 4.0.
Details
Identification. Three PC components are rotated to isolate
(i) action, the current-meeting cash-rate surprise;
(ii) path, the forward-guidance surprise in expected short rates;
(iii) term_premium, the residual long-end move attributable to
duration / term-premium effects. shock is set to action for
pipeline compatibility; users running multi-factor IRFs should use
the individual component columns.
Coverage. The bundled series spans April 2001 to December 2019, matching the published paper. The RBA has not released a maintained extension covering the COVID-era LSAP period.
Licence. Published as an RBA Research Discussion Paper under Commonwealth of Australia Creative Commons Attribution 4.0 International licence.