Daily monetary policy reactions to the pandemic: The Australian case

Richard C.K. Burdekin and Quynh Nguyen

Economic Analysis and Policy, 2023, vol. 78, issue C, 24-32

Abstract: In contrast to the more typical monthly series, Reserve Bank of Australia data offer a high frequency window into central bank actions following the onset of the pandemic. Daily observations demonstrate not only the absolute size of the Reserve Bank’s open market purchases but also a dramatic increase in the conditional variance identified under GARCH estimation. Regression analysis and impulse response functions reveal significant monetary policy responses to government support measures and exchange rate movements against the US dollar. Notwithstanding its overall highly expansionary monetary policy, the Reserve Bank appears to have tempered the pace of its open market purchases when either the government policy response intensified or currency depreciation increased.

Keywords: Monetary policy; Pandemic; Australia (search for similar items in EconPapers)
JEL-codes: E58 E65 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:78:y:2023:i:c:p:24-32

DOI: 10.1016/j.eap.2023.02.009

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