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RBA Glossary definition for ASX

ASX – The Australian Securities Exchange is Australia's primary national exchange for equities, warrants and equity-related derivatives.

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The Algorithm Performance

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Upon request, ASX provided the RBA with securities transactions data from Austraclear, its central securities depository (CSD) for debt securities. ... Sources: ASX; Author's calculations. Some of the conditions C1 to C9 are not addressed in the above
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
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 Australian Repo Market Microstructure

15 Aug 2018 RDP 2018-09
Nicholas Garvin
16. Note: Algorithm run with 14-day maturity cap. Sources: ASX; Author's calculations. ... Sources: ASX; Author's calculations. Figure 10 illustrates the market as a network.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
Obtained from ASX. Eight datasets aligning Austraclear account IDs with account names for each sample window. ... Obtained from ASX. APRA data as described in Section 4 and formatted as input for ‘Garvin (2018) tables etc RUN CODE.R’.
https://www.rba.gov.au/publications/rdp/2018/2018-09/read-me.html

Identifying Repo Market Microstructure from Securities Transactions Data

6 Sep 2018 RDP 2018-09
Nicholas Garvin
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 Chris Becker, Matt Boge, Anthony Brassil,
https://www.rba.gov.au/publications/rdp/2018/2018-09/sections.html

Comparing the Output with Prudential Data

15 Aug 2018 RDP 2018-09
Nicholas Garvin
a) Algorithm run with 61-day maturity cap. Sources: APRA; ASX; Author's calculations; RBA. ... parentheses. Sources: APRA; ASX; Author's calculations; RBA. Unfortunately it is not possible to precisely account for each difference between the APRA and
https://www.rba.gov.au/publications/rdp/2018/2018-09/comparing-the-output-with-prudential-data.html

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Sources: ASX; Author's calculations; RBA. Loan-level data on unsecured interbank markets are commonly obtained by applying an algorithm pioneered by Furfine (1999) on US data that identifies which interbank
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html

The Repo-detection Algorithm

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Before running the algorithm, any transactions involving the RBA or ASX are removed.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html