Download This PaperThe Impact of Monetary Policy Announcements on the Volatility of Australian Banking Stock Prices
26 Pages Posted: 28 May 2020
Date Written: January 17, 2018
Abstract
This paper examines the effects of monetary policy announcements, made by the Reserve Bank of Australia, on the stock price volatility of Australian commercial banks. The results suggest that the announcements of the new target cash rate increase the volatility of Australian banking stocks. In contrast, the release of the explanatory meeting minutes is not associated with any dominant impact on stock price volatility. We find that the volatility is greater during the Global Financial Crisis (GFC). However, both types of events—the announcements of the target cash rate and the releases of the explanatory meeting minutes—are not generally associated with higher volatility of banking stock prices during the GFC.
Keywords: Monetary Policy Announcements, Stock Price Volatility, Commercial Banks
JEL Classification: E58, G10, G21
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