30-Day Interbank futures: Investigating the process of price discovery following RBA cash target rate announcements

► The article examines the price adjustment process following scheduled RBA target rate announcements, and the potentially costly issue of stale price quotes is addressed. ► Three distinct stages of price formation and liquidity provision are identified. ► 30-Day Interbank futures exhibit higher volume, tighter bid-ask spreads, and faster trading reactions than Fed Funds futures. ► Market expectations are derived explicitly from 30-Day Interbank futures. ► Deviations from theoretical prices are common, particularly when a large amount of uncertainty exists.