Appendix A: International Influences | RDP 9808: What Moves Yields in Australia?

RDP 9808: What Moves Yields in Australia? Appendix A: International Influences

Frank Campbell and Eleanor Lewis

July 1998

Table A1: Impact of US and Australian Announcements on Yields in Australia
	Bill yields
	Episode I		Episode II		Episode III		Whole period
Constant	2.1	(8.45)	1.3	(9.10)	1.5	(7.68)	1.5	(13.16)
Australian news	2.7	(2.71)	1.2	(2.47)	2.5	(3.80)	2.1	(4.89)
US news	2.0	(3.35)	1.8	(3.21)	0.6	(2.22)	1.5	(4.98)
S₁	0.4	(5.60)	0.4	(7.05)	0.3	(1.41)	0.5	(8.28)
S₂	0.2	(2.76)	0.1	(2.25)	0.0	(0.39)	0.2	(3.50)
Adjusted R²	0.13		0.12		0.11		0.13
DW statistic	2.02		2.10		2.00		2.04
S E of regression	5.08		3.05		3.05		3.92
Number of observations	604		595		607		1806
	Bond yields
	Episode I		Episode II		Episode III		Whole period
Constant	5.2	(12.65)	4.1	(14.09)	3.3	(15.44)	3.9	(22.47)
Australian news	0.7	(0.97)	1.5	(2.69)	1.6	(3.31)	1.2	(3.40)
US News	4.3	(5.63)	2.5	(2.87)	2.9	(5.52)	3.3	(6.94)
S₁	0.2	(4.35)	0.1	(1.29)	0.0	(−0.04)	0.2	(4.62)
S₂	0.1	(2.75)	0.1	(1.17)	0.1	(0.85)	0.1	(4.68)
Adjusted R²	0.07		0.03		0.08		0.07
DW statistic	1.95		1.96		1.91		1.96
S E of regression	5.98		4.79		3.44		4.97
Number of observations	604		595		607		1806
Notes: T-ratios are in parentheses. When heteroskedasticity is present, White's heteroskedasticity-consistent standard errors are used to calculate t-ratios.