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2 Aug 2013
Flash: RBNZ rate hike in 2014? – Westpac
FXstreet.com (New York) - Last week the RBNZ explicitly shifted to a tightening stance, citing the housing market and construction boom’s inflationary potential, notes Imre Speizer at Westpac.
Key quotes
“From now, the debate will probably focus on which meeting the first hike will occur. The RBNZ’s June MPS implied it would be in September 2014, whereas most economists and the OIS market expect it will be in March 2014.”
“If we assume it will be the latter date, then it is useful to know how early the swap curve is likely to react to the looming tightening cycle.” For guidance, we examine the three major tightening cycles since the OCR regime was introduced on 17 March 1999.
“The 1-2yr swap curve pre-empted the cycle as one would expect. It started steepening on average 203 calendar days before the first hike date, steepening by around 40bp. A flattening period then started 88 days out and was worth around 20bp.”
Key quotes
“From now, the debate will probably focus on which meeting the first hike will occur. The RBNZ’s June MPS implied it would be in September 2014, whereas most economists and the OIS market expect it will be in March 2014.”
“If we assume it will be the latter date, then it is useful to know how early the swap curve is likely to react to the looming tightening cycle.” For guidance, we examine the three major tightening cycles since the OCR regime was introduced on 17 March 1999.
“The 1-2yr swap curve pre-empted the cycle as one would expect. It started steepening on average 203 calendar days before the first hike date, steepening by around 40bp. A flattening period then started 88 days out and was worth around 20bp.”