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RBA Glossary definition for interest rate
interest rate – The term used to describe the cost of borrowing money or the return to the owner of the funds which are invested or lent out. It is usually expressed as a percent per annum of the amount of money borrowed, lent or invested.
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Appendix C: Expanding the Interest Rate Range
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data Appendix C: Expanding the Interest Rate Range. ... Download the Paper 3.19. MB. This appendix provides some information on the impact of expanding the interest rate range beyond zero (as is done
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-c.html
Identifying Interbank Loans from Payments Data
1 Dec 2016
RDP
2016-11
the rate implied by comparing the values of the first and second legs) to some external information about reasonable interest rates in the IBOC market. ... Figure 2: Implied Interest Rates of Algorithm Matches. Implied rate of simple interest, deviation
https://www.rba.gov.au/publications/rdp/2016/2016-11/full.html
The Algorithm
15 Dec 2016
RDP
2016-11
Figure 2: Implied Interest Rates of Algorithm Matches. Implied rate of simple interest, deviation from target cash rate, 2015. ... After rounding observations' implied interest rates to the nearest 0.01 basis point, there are 27 separate transaction
https://www.rba.gov.au/publications/rdp/2016/2016-11/algorithm.html
Identifying Interbank Loans from Payments Data
8 Dec 2016
RDP
2016-11
banking, financial markets, interest rates, modelling, monetary policy, money, payments. The interbank overnight cash market is central to the implementation of monetary policy in Australia.
https://www.rba.gov.au/publications/rdp/2016/2016-11.html
Appendix B: Detailed Description of the Algorithm
15 Dec 2016
RDP
2016-11
the target cash rate on the previous day, plus/minus the range of interest rates. ... Footnotes. Interest rates expressed as an annual rate will need to be divided by 365.
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-b.html
Appendix A: Literature Review
15 Dec 2016
RDP
2016-11
A different approach was taken by Millard and Polenghi (2004), who assess the accuracy of a Furfine-type algorithm by comparing the daily average of implied interest rates across all identified ... these excluded loans may have the same average interest
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-a.html
Accuracy of the Algorithm
15 Dec 2016
RDP
2016-11
With IBOC loans almost always occurring at the target cash rate, we are able to set our implied interest rate range to 0 basis points (around the target cash rate), so ... For term lending to cause false positives, the rates on these loans would need to
https://www.rba.gov.au/publications/rdp/2016/2016-11/accuracy-of-the-algorithm.html
Introduction
15 Dec 2016
RDP
2016-11
of the day, and the average interest rate at which these loans occurred. ... The loan-level dataset produced by our algorithm contains information on counterparties, loan values, interest rates, time of settlement, time of repayment, rollover length, and
https://www.rba.gov.au/publications/rdp/2016/2016-11/introduction.html
Identifying Interbank Loans from Payments Data
1 Dec 2016
RDP
2016-11
Research Discussion Paper – RDP 2016-11 Identifying Interbank Loans from Payments Data. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. 3.19. MB. We thank Chris Aylmer, John Bagnall, Chris Becker, Belinda Cheung, Alison Clark,
https://www.rba.gov.au/publications/rdp/2016/2016-11/sections.html
References
15 Dec 2016
RDP
2016-11
Download the Paper 3.19. MB. Akram QF and C Christophersen (2013), ‘Inferring Interbank Loans and Interest Rates from Interbank Payments – An Evaluation’, Norges Bank Working Paper No 2013|26. ... RBA (2016), ‘Cash Rate Methodology – Overview’
https://www.rba.gov.au/publications/rdp/2016/2016-11/references.html