| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 963496 | Journal of International Financial Markets, Institutions and Money | 2012 | 18 Pages |
Abstract
⺠The article examines the price adjustment process following scheduled RBA target rate announcements, and the potentially costly issue of stale price quotes is addressed. ⺠Three distinct stages of price formation and liquidity provision are identified. ⺠30-Day Interbank futures exhibit higher volume, tighter bid-ask spreads, and faster trading reactions than Fed Funds futures. ⺠Market expectations are derived explicitly from 30-Day Interbank futures. ⺠Deviations from theoretical prices are common, particularly when a large amount of uncertainty exists.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Lee A. Smales,