RDP 2005-02: The Impact of Monetary Policy on the Exchange Rate: A Study Using Intraday Data Appendix A: Data Description and Sources
April 2005
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| Australia | Canada | NZ | UK | |
|---|---|---|---|---|
| Interest rates | ||||
| 1-month interest rate | 30-day bank bills (RBA) | 1-month bankers acceptances (BoC) | 1-month wholesale bill (RBNZ) | 1-month LIBOR (Datastream: LDNIB1M) |
| 3-month interest rate | 90-day bank bills (RBA) | 3-month bankers acceptances (BoC) | 3-month wholesale bill (RBNZ) | 3-month LIBOR (Datastream: LDNIB3M) |
| Futures | ||||
| Contracts | 90-day bank bills (Bloomberg: IR1 comdty) | 3-month bankers acceptances (Bloomberg: BA1 comdty) | 3-month bank bills (Bloomberg: ZB1 comdty) | 3-month LIBOR (Bloomberg: L 1 comdty) |
| Futures exchange | Sydney Futures Exchange | Montreal Exchange | Sydney Futures Exchange | London International Financial Futures Exchange |
| Settlement months | March, June, September and December for all countries | |||
| Expiration day | 2nd Friday | 3rd Tuesday | Thursday after first Wednesday after 9th of month | 3rd Thursday |
| Exchange rates | RBA/Reuters, 10-minute intervals, midpoint of 2 closest quotes | |||
| Note: RBA is the Reserve Bank of Australia, BoC is the Bank of Canada, and RBNZ is the Reserve Bank of New Zealand. | ||||