Search: derivative
RBA Glossary definition for derivative
derivative – A financial contract whose value is based on, or derived from, another financial instrument (such as a bond or share) or a market index (such as the Share Price Index). Examples of derivatives include futures, forwards, swaps and options.
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A Select Bibliography of Published Research by Staff of the Reserve Bank of Australia: 1991–2001
1 Dec 2009
RDP
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201KB
9409 Gizycki MC and B Gray, ‘Default Risk and Derivatives: An Empirical Analysis of Bilateral Netting’. ... 223. Walwyn H and WS Byres, ‘Valuation of Options’, Derivatives Use, Trading & Regulation, 4(1), pp 76–90.
https://www.rba.gov.au/publications/rdp/2001/pdf/rdp2001-10.pdf
Inflation in Australia: Causes, Inertia and Policy
18 Apr 2007
RDP
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349KB
A series vt. A The partial derivatives of g (denoted g) with respect to each of the parameters b are calculated and evaluated at the parameter.
https://www.rba.gov.au/publications/rdp/1991/pdf/rdp9105.pdf
Tax Policy and Housing Investment in Australia
19 Nov 2012
RDP
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886KB
Where a prime indicates the first derivative with respect to time.
https://www.rba.gov.au/publications/rdp/1989/pdf/rdp8907.pdf
ASY.2ETRIC INFORMATION AND BID-ASK SPREADS IN THE EUROCURRENCY MARKETS ...
20 Oct 2014
RDP
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590KB
U x C. We wish to sign the derivatives of k with respect to 472 and c.
https://www.rba.gov.au/publications/rdp/1987/pdf/rdp8707.pdf
Monetary Transmission in a Deregulated Financial System
19 Nov 2012
RDP
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825KB
a rise. represents a depreciation). A dot over a variable is a time derivative, a star.
https://www.rba.gov.au/publications/rdp/1988/pdf/rdp8811.pdf
The Effectiveness of Fiscal Policy in an Economy with Anticipatory Wage Contracts
19 Nov 2012
RDP
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1019KB
Indeed the partial derivative of b with respect to b is simply -n.
https://www.rba.gov.au/publications/rdp/1986/pdf/rdp8611.pdf
An Optimising Model for Monetary Policy Analysis: Can Habit Formation Help?
1 Dec 2009
RDP
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394KB
AN OPTIMISING MODEL FOR MONETARY POLICYANALYSIS: CAN HABIT FORMATION HELP? Jeffrey C. Fuhrer. Research Discussion Paper9812. September 1998. Reserve Bank of Australia. Vice President and Economist, Research Department, Federal Reserve Bank ofBoston,
https://www.rba.gov.au/publications/rdp/1998/pdf/rdp9812.pdf
Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter
19 Apr 2007
RDP
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487KB
The analytical solution involves equating the vector of first derivatives to zero and solving for the parameters.
https://www.rba.gov.au/publications/rdp/1991/pdf/rdp9111.pdf
Measuring Traded Market Risk: Value-at-risk and Backtesting Techniques
1 Dec 2009
RDP
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400KB
MEASURING TRADED MARKET RISK: VALUE-AT-RISK ANDBACKTESTING TECHNIQUES. Colleen Cassidy and Marianne Gizycki. Research Discussion Paper9708. November 1997. Bank Supervision Department. Reserve Bank of Australia. The views expressed in this paper are
https://www.rba.gov.au/publications/rdp/1997/pdf/rdp9708.pdf
Financialisation and the Term Structure of Commodity Risk Premiums
24 May 2017
RDP
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1495KB
related derivatives during the mid 2000s, as well as in the assets under management (AUM) of. ... This could. 23 Swap dealers act as intermediaries by entering over-the-counter derivatives contracts.
https://www.rba.gov.au/publications/rdp/2017/pdf/rdp2017-03.pdf