RDP 2004-10: News and Interest Rate Expectations: A Study of Six Central Banks Appendix A: Data

Ellis Connolly and Marion Kohler

November 2004

Interest rates and interest rate futures: Table A1 below lists for each of the six economies the source of the eight 90-day interest rate futures, the policy rate and the 30-day interest rate future. The latter two variables are used to construct the variable that measures the surprise element of an interest rate decision, as discussed in the main text.

Table A1: Interest Rate Data and Sources
  90-day futures(a) Policy rate 1-month(b)
Australia Bank bills: IR1–IR8 Cash rate: Reserve Bank of Australia Bulletin Table A.2 Bank bills: Reserve Bank of Australia Bulletin Table F.1
Canada Bankers acceptances:
BA1–BA8		 Target rate: Bank of Canada Bankers acceptances:
Bank of Canada
Euro area EurIBOR: ER1–ER8 Repo rate: European Central Bank FIBOR:(c) FIBOR1M and GERMDRM pre-January 1999
NZ Bank bills: ZB1–ZB8 Cash rate: Reserve Bank of
New Zealand		 Bank bills: Reserve Bank of
New Zealand
UK LIBOR: L1–L8 Base rates: Bank of England LIBOR(c): UKC0L01(b)
US Eurodollar: ED1–ED8 Fed funds target rate: Federal Reserve Eurodollar deposits:(c)
Federal Reserve

Notes: (a) Codes from Bloomberg.
(b) Codes from Thomson Financial Datastream.
(c) The response to policy moves is lagged one day since policy moves are announced after the market rate is measured.

Macroeconomic news surprises: Data for the macroeconomic news surprises (the difference between expected and actual outcomes of macroeconomic news releases) were obtained from Bloomberg's Economic Calendar. We included all releases that were available for the sample period. Those releases that were found to have a significant effect on interest rate expectations can be found in Table 6 in the main text. The detailed results (coefficients and significance levels) of the GARCH model and a list of all the releases included are available on request from the authors.

Central bank communication events: Dates and events were obtained from the websites of the respective central banks. The list of parliamentary committee hearings for the United Kingdom was obtained from the website of the House of Commons Treasury Select Committee and for New Zealand from the website of the Finance and Expenditure Select Committee of the New Zealand House of Representatives.

  • Commentaries following rate decisions were identified according to whether a transcript of a press conference or a press release with details was recorded on the website of a central bank.
  • The parliamentary hearings included: for Australia, the half-yearly parliamentary hearings before the House of Representatives Standing Committee on Economics, Finance and Public Administration; for Canada, the governor's appearances before the House of Commons Standing Committee on Finance and on Banking, Trade and Commerce; for the euro area, the annual report to the European Parliament and the testimonies before the European Parliament's Committee on Economic and Monetary Affairs and Industrial Policy, and the European Parliament's Sub-Committee on Monetary Affairs; for New Zealand, the governor's parliamentary testimonies; for the United Kingdom, the oral evidence by MPC members before the House of Commons Treasury Select Committee; and for the US, the chairman's Humphrey-Hawkins testimony to Congress, and – included in ‘other testimonies’ – the chairman's testimonies before the Committee on the Budget (US Senate and House of Representatives) and before the Joint Economic Committee of the US Congress, consistent with Kohn and Sack (2003).
  • The monetary policy reports include: for Australia, the quarterly Statement on Monetary Policy; for Canada, the 6-monthly Monetary Policy Report and the quarterly update; for the euro area, the European Central Bank's analysis of ‘Economic and Monetary Developments’ included in the monthly Bulletin; for New Zealand, the quarterly Monetary Policy Statement; for the United Kingdom, the quarterly Inflation Report; and for the US, the Humphrey-Hawkins semi-annual monetary policy report.
  • We included all speeches by senior central bank officials listed on the central banks' websites.