Macro indicators and volatility

What the historical record shows

Descriptive analysis of Australian market data over recent decades consistently shows two patterns. First, realised volatility in equities is not constant — it clusters, with extended calm periods followed by shorter but sharper dispersions. Second, the periods of higher volatility have coincided, historically, with shifts in the cash-rate cycle, inflation surprises and episodes of external shock. This is not a forecast; it is a description of what the data has shown.

We caution against over-reading any single episode. The 2020 volatility spike, for example, was driven by an external event rather than by a slow-moving macro indicator. Treating it as a repeatable signal from a small set of series would be a statistical error.

Why we publish this as descriptive

Many institutional teams want a factual picture of how macro indicators and market dispersion have historically moved together, so that they can frame their own risk discussions. That picture is legitimate to publish. Turning it into a timing call — "volatility will rise because the cash rate has peaked" — is a forecast and sits outside our scope. We provide the descriptive numbers; licensed analysts supply the interpretation.