Search: RBA
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.
Search Results
Identifying Repo Market Microstructure from Securities Transactions Data
16 Aug 2018
RDP
2018-09
non-Austraclear) infrastructure, the two datasets have a robust positive relationship. The algorithm data, capturing non-RBA repos of up to 14-days maturity from several 2-month data samples between
https://www.rba.gov.au/publications/rdp/2018/2018-09.html
Identifying Repo Market Microstructure from Securities Transactions Data
1 Aug 2018
RDP
2018-09
Before running the algorithm, any transactions involving the RBA or ASX are removed. ... a) Algorithm run with 61-day maturity cap. Sources: APRA; ASX; Author's calculations; RBA.
https://www.rba.gov.au/publications/rdp/2018/2018-09/full.html
The Algorithm Performance
15 Aug 2018
RDP
2018-09
Upon request, ASX provided the RBA with securities transactions data from Austraclear, its central securities depository (CSD) for debt securities. ... Austraclear is the primary CSD for Australian dollar-denominated debt securities. It is linked to the
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html
Identifying Repo Market Microstructure from Securities Transactions Data
6 Sep 2018
RDP
2018-09
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. Nicholas Garvin. August 2018. 2.7. MB. I would like to thank ASX staff Tim Hogben and Wayne Jordan for help with the data, and
https://www.rba.gov.au/publications/rdp/2018/2018-09/sections.html
Conclusion
15 Aug 2018
RDP
2018-09
RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data 6. Conclusion. Nicholas Garvin. August 2018. Download the Paper 2.7. MB. This paper provides an algorithm for extracting loan-level repo data from securities
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
These are sources from RBA and Yieldbroker. Figure data is provided for Figures 2, 3, 4, 6, 7, 8, 9, 11 and 13 in ‘rdp-2018-09-graph-data.xlsx’.
https://www.rba.gov.au/publications/rdp/2018/2018-09/read-me.html
Introduction
15 Aug 2018
RDP
2018-09
To minimise counterparty risk, the RBA uses repos when lending to private banks in open market operations (OMO). ... Figure 1 plots available data on overnight interbank (i.e. non-RBA) loans in the Australian unsecured and repo markets.
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html
References
15 Aug 2018
RDP
2018-09
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/2018/2018-09/references.html
The Repo-detection Algorithm
15 Aug 2018
RDP
2018-09
Before running the algorithm, any transactions involving the RBA or ASX are removed. ... This assumes an intraday interest rate of zero, consistent with intraday repos on offer from the RBA, although other assumptions on intraday interest rates or fees
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html
The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
Sources: ASX; Author's calculations; RBA. Figure 8: Repo Maturities by Share of Value. ... Sources: ASX; Author's calculations; RBA. In this section I analyse the distribution of counterparty relationships in the repo market.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html