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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. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. This appendix provides some information on the
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-c.html
Appendix D: Derivation of the Model
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data Appendix D: Derivation of the Model. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. For simplicity, this appendix assumes that there are no
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-d.html
References
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data References. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. Akram QF and C Christophersen (2013), ‘Inferring Interbank Loans and Interest
https://www.rba.gov.au/publications/rdp/2016/2016-11/references.html
Appendix A: Literature Review
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data Appendix A: Literature Review. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. The first part of our algorithm is based on the work of Furfine
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-a.html
Accuracy of the Algorithm
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 4. Accuracy of the Algorithm. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. To evaluate the accuracy of the algorithm, the daily output is
https://www.rba.gov.au/publications/rdp/2016/2016-11/accuracy-of-the-algorithm.html
Introduction
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 1. Introduction. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. The average interest rate on unsecured overnight interbank loans – the cash
https://www.rba.gov.au/publications/rdp/2016/2016-11/introduction.html
Conclusions and Future Research
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 6. Conclusions and Future Research. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. The aim of this paper was to construct a loan-level database
https://www.rba.gov.au/publications/rdp/2016/2016-11/conclusions-and-future-research.html
The Australian Payments System and IBOC Market
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 2. The Australian Payments System and IBOC Market. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. This section is based on RBA Bulletin
https://www.rba.gov.au/publications/rdp/2016/2016-11/australian-payments-system-and-iboc-market.html
Appendix B: Detailed Description of the Algorithm
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data Appendix B: Detailed Description of the Algorithm. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. This appendix details the Furfine-type and
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-b.html
The Algorithm
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 3. The Algorithm. Anthony Brassil, Helen Hughson and Mark McManus. December 2016. Download the Paper 3.19. MB. Our algorithm is composed of two parts. The first part, which we call the
https://www.rba.gov.au/publications/rdp/2016/2016-11/algorithm.html