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RBA Glossary definition for RBA

RBA – Reserve Bank of Australia. Australia's central bank, the body corporate successor to the Commonwealth Bank established in 1912; created under its new name by the Reserve Bank Act 1959.

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Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

16 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Research Discussion Paper – RDP 2019-09 Australian Money Market Divergence: Arbitrage Opportunity or Illusion? Belinda Cheung and Sebastien Printant. September 2019. 1.5. MB. Supplementary information. banking, financial markets, interest rates,
https://www.rba.gov.au/publications/rdp/2019/2019-09.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Spread to overnight indexed swaps, one-year rolling averages. Sources: Authors' calculations; Bloomberg; RBA. ... RBA. Japanese yen swap. Implied return rate from. hedged 3-month swap of.
https://www.rba.gov.au/publications/rdp/2019/2019-09/full.html

Appendix A: Data Summary

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
RBA. Japanese yen swap. Implied return rate from. hedged 3-month swap of. ... 3-month). Bank bills. 3-month bank bill swap rate. ASX; RBA. Risk weights (w.
https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html

Sensitivity Analysis

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
b) Assumes that debt is funded at the repo rate. Sources: APRA; Authors' calculations; Bloomberg; RBA. ... Sources: APRA; Authors' calculations; RBA. Figure 11 depicts the possible dispersion in net returns when allowing risk weights to vary.
https://www.rba.gov.au/publications/rdp/2019/2019-09/sensitivity-analysis.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
https://www.rba.gov.au/publications/rdp/2019/2019-09/sections.html

Conclusion

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
RDP 2019-09: Australian Money Market Divergence: Arbitrage Opportunity or Illusion? 7. Conclusion. Belinda Cheung and Sebastien Printant. September 2019. Download the Paper 1,465. KB. Opportunities to arbitrage across Australian money markets have
https://www.rba.gov.au/publications/rdp/2019/2019-09/conclusion.html

References

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Becker C, A Fang and JC Wang (2016), ‘Developments in the Australian Repo Market’, RBA Bulletin, September, pp 41–46. ... Wakeling D and I Wilson (2010), ‘The Repo Market in Australia’, RBA Bulletin, December, pp 27–35.
https://www.rba.gov.au/publications/rdp/2019/2019-09/references.html

Australian Money Market Divergence: Arbitrage Opportunity or Illusion?

1 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Mortgages:. Discounted variable lending rate on housing loans from RBA Statistical Table F5. ... Cost of debt for Australian major banks. Confidential data sourced from internal RBA modelling.
https://www.rba.gov.au/publications/rdp/2019/2019-09/read-me.html

Introduction

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Sources: Bloomberg; RBA. The issue of unexploited arbitrage opportunities in foreign exchange markets and the breakdown of the covered interest parity condition has been well documented. ... The return enhancement offered by the persistently wide basis
https://www.rba.gov.au/publications/rdp/2019/2019-09/introduction.html

Estimation Results

13 Sep 2019 RDP 2019-09
Belinda Cheung and Sebastien Printant
Spread to overnight indexed swaps, one-year rolling averages. Sources: Authors' calculations; Bloomberg; RBA. ... Figure 7: Net Return on Money Market Trades. Sources: APRA; Authors' calculations; Bloomberg; RBA.
https://www.rba.gov.au/publications/rdp/2019/2019-09/estimation-results.html