24714 – Interest-Rate Volatility

Interest-Rate Volatility measures how much Australian interest rates have moved within a quarter. It does not measure how high or low those rates are. Two quarters can carry an identical cash rate and record entirely different readings here: one in which the rate was set once and held, and one in which it was changed twice.

The node is a component of Financing & Volatility Conditions (24710), which in turn sits within the APN Investment Conditions Index™ (24700). It is a national time series, not a geographic one — there is no locality distribution or map at this node.

The distinction between rate level and rate movement is the reason this node exists. Its sibling component Cost of Capital (24711) carries the level signal; the two are reported separately so that neither is read as a proxy for the other.

Both inputs are constructed by APN rather than published by the Reserve Bank. Each quarter, the cash rate measure takes the standard deviation of the daily changes in the RBA’s cash rate target across that quarter. The bond measure does the same on weekly changes in the two-year forward government bond yield. Both are expressed in percentage points and are not annualised.

The bond measure begins in the December quarter of 2013, the first complete quarter of its underlying source. Quarters holding too few observations to support a standard deviation are recorded as NIL RETURN and are not estimated.

The standardised reading expresses the quarter against this node’s own recorded history. The intensity figure expresses the same quarter as a percentile of the 52 quarters in which both inputs are present.

Rate movement in the September 2026 quarter was above this node's own norm. The standardised reading of +0.55 is the highest since the March 2026 quarter, and the two inputs moved the same way: cash rate movement was elevated and two-year bond yield movement rose above its own norm.

The cash rate target was raised by a quarter point, to 4.60 per cent, effective 30 September 2026: a single move in the quarter, which is elevated relative to the long stretches in which the rate was held constant. Two-year bond yields rose through September, from 4.76 per cent in the week ending 6 September to 5.02 per cent in the week ending 27 September, lifting their week-to-week movement above its own norm.

This reading should be held apart from the level of rates themselves. Cost of Capital (24711), certified at the September quarter 2026, records its highest reading in fifteen years of recorded history. Rates are at their most elevated point in that window and their quarter-to-quarter movement, while above the median, sits well short of the highest readings this node records, reached in 2022. The two components are certified at different quarters, and neither substitutes for the other.

• The position sits higher than the standardised reading implies. The Reserve Bank moves its cash rate target in quarter-point steps and otherwise holds it constant, so the cash rate input records exactly zero in 31 of the 52 quarters this position is ranked against. More than half the ranking population is a block of identical zero readings, which lifts the position of any quarter in which the rate moved at all. The standardised reading of +0.55 is the more faithful description of this quarter; the intensity position of 82.4 should not be read as though the distribution were continuous.
• This is a measure of policy-rate movement, not market-priced volatility. Because the cash rate is an administered target rather than a traded price, its realised volatility reflects the count and size of the Reserve Bank's decisions. It is not a diffusion measure and should not be compared with volatility figures drawn from traded instruments.
• The two inputs share a driver. Cash rate settings and two-year bond yields both respond to the monetary policy cycle, so the node reads one dimension from two angles rather than assembling independent evidence.
• Baseline comparison windows are provisional. The cash rate measure is compared against 2011–2025; the bond measure against 2014–2025, a shorter window required by the later start of its source. Both windows are ratified as part of this node's certification.
• Comparison basis. The position ranks this quarter against the 52 quarters in which both inputs are present. That full-coverage basis is the ratified one across the 24700 series; the all-rows basis, which returned 72.1 at this node, is retired.
• Signed direction. This component enters the index negated: unsettled rates are an adverse condition for investment. Its signed position of 17.6 and its intensity position of 82.4 describe the same quarter on two frames — one carrying that direction, the other measuring distance from the node's own record without regard to it.

The other five components of Financing & Volatility Conditions (24710). Each is independently certified and enters that branch at equal weight.