A Test of the Response to a Monetary Policy Regime Change in New Zealand

David Tripe, John McDermott and Ben Petro

A chapter in Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century, 2005, pp 453-467 from Emerald Group Publishing Limited

Abstract: In March 1999, the Reserve Bank of New Zealand changed its method of implementing monetary policy from targeting settlement cash to specifying an (official) Overnight Cash Rate (OCR). This paper explores some of the impacts of this, by comparing market movements before and after the change. We find that, since the introduction of the OCR, key lending interest rates have been found to be more responsive to changes in official monetary policy, with a significant shortening of the half-life of interest rate changes. This suggests that monetary policy is now more efficient, while the speed of response supports the case for regarding the New Zealand banking market as competitive.

Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:eme:csefzz:s1569-3759(05)86019-x

DOI: 10.1016/S1569-3759(05)86019-X

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