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RBA Glossary definition for money market

money market – The market which deals in short-term discount securities such as Treasury notes, bank bills and promissory notes. Major participants in this market include the Reserve Bank of Australia, banks, superannuation funds, insurance companies, investment trusts, investment banks, building societies and large corporates.

Search Results

Identifying Repo Market Microstructure from Securities Transactions Data

16 Aug 2018 RDP 2018-09
Nicholas Garvin
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... banking, financial markets, interest rates, modelling, money. Interbank repo markets are arguably just as important as unsecured
https://www.rba.gov.au/publications/rdp/2018/2018-09.html

References

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Arciero L, R Heijmans, R Heuver, M Massarenti, C Picillo and F Vacirca (2016), ‘How to Measure the Unsecured Money Market: The Eurosystem's Implementation and Validation Using TARGET2 Data’, International ... Becker C and P Rickards (2017),
https://www.rba.gov.au/publications/rdp/2018/2018-09/references.html

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Another key component of short-term interbank markets, besides the unsecured market, is the repo market. ... Similar patterns have occurred in other regions – between 2006 and 2015, unsecured turnover in the European money market declined from 14
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html

Conclusion

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Related algorithms are commonly used for loan-level analysis of unsecured interbank markets around the world. ... Yet, until now, there has been little access to loan-level data on repo markets.
https://www.rba.gov.au/publications/rdp/2018/2018-09/conclusion.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
Another key component of short-term interbank markets, besides the unsecured market, is the repo market. ... Similar patterns have occurred in other regions – between 2006 and 2015, unsecured turnover in the European money market declined from 14
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html

The Repo-detection Algorithm

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Consideration: the amount of money, if any, transferred in the opposite direction to the securities. ... Brassil et al (2016) show that these multiple-transaction loans occur frequently in the unsecured market.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html

The Algorithm Performance

15 Aug 2018 RDP 2018-09
Nicholas Garvin
This permits Austraclear account holders to simultaneously settle securities with central bank money. ... These bounds permit greater volatility in market rates in windows with greater volatility in the cash rate.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html

Comparing the Output with Prudential Data

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Taking everything into account, it seems reasonable to interpret the algorithm data as capturing the short-term domestic interbank repo market, acknowledging that this omits repos transacted through foreign infrastructure. ... This corresponds to the
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html

The Australian Repo Market Microstructure

15 Aug 2018 RDP 2018-09
Nicholas Garvin
In 2008, the SGS repo market was larger than the AGS repo market. ... Sources: ASX; Author's calculations. Figure 10 illustrates the market as a network.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html