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The Model

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
m. [M(y. m,t. 1. )y. m,t. 1. (1M(y. m,t. 1. ))f. ... m. such that the two pricing equations solve for the same price vector.
https://www.rba.gov.au/publications/rdp/2016/2016-07/model.html

Appendix A: Trader Behaviour and Solution Method

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
m. and A. m. are independent of s. m. and that both y. ... m. with the non-state-contingent solution. The results are similar in this case.
https://www.rba.gov.au/publications/rdp/2016/2016-07/appendix-a.html

The Efficiency of Central Clearing: A Segmented Markets Approach

1 Oct 2016 RDP 2016-07
James Hansen and Angus Moore
m. [M(y. m,t. 1. )y. m,t. 1. (1M(y. m,t. 1. ))f. ... m. such that the two pricing equations solve for the same price vector.
https://www.rba.gov.au/publications/rdp/2016/2016-07/full.html

Results

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
m,t. ) and the idiosyncratic endowment stream (A. m,t. ) is more negative (approaches minus one). ... m. could potentially yield higher welfare. This is the question we now address.
https://www.rba.gov.au/publications/rdp/2016/2016-07/results.html

References

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
Cheung B, M Manning and A Moore (2014), ‘The Effective Supply of Collateral in Australia’, RBA Bulletin, September, pp 53–66. ... Gibson M (2013), ‘Recovery and Resolution of Central Counterparties’, RBA Bulletin, December, pp 39–48.
https://www.rba.gov.au/publications/rdp/2016/2016-07/references.html

Appendix B: Solving the Constrained-efficient Problem

22 Nov 2016 RDP 2016-07
James Hansen and Angus Moore
This equation is maximised by choice of. and. for all m ϵ [0,1]. ... The first-order conditions for market m give two pricing equations, one for the long trader and one for the short trader:.
https://www.rba.gov.au/publications/rdp/2016/2016-07/appendix-b.html