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RBA Glossary definition for Cash Rate

Cash Rate – The interest rate which banks pay to borrow funds from other banks in the money market on an overnight basis. The cash rate is the Reserve Bank of Australia's operational target for the implementation of monetary policy. It is also an important financial benchmark in the Australian financial markets. It is used as the reference rate for Australian dollar Overnight Indexed Swaps (OIS) and the ASX 30 Day Interbank Cash Rate Futures. The Reserve Bank of Australia is the administrator of the cash rate. The cash rate is calculated as the weighted average interest rate on overnight unsecured loans between banks settled in the Reserve Bank Information and Transfer System (RITS). The Cash Rate is also known by the acronym AONIA in financial markets.

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Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

3 Jan 2023 RDP 2022-09
Matthew Read
cash rate, exchange rate, inflation, modelling, monetary policy. Existing estimates of the macroeconomic effects of Australian monetary policy tend to be based on strong, potentially contentious, assumptions. ... There is robust evidence that an increase
https://www.rba.gov.au/publications/rdp/2022/2022-09.html

Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

3 Jan 2023 RDP 2022-09
Matthew Read
The domestic block includes the interbank overnight cash rate (CASH. t. ), ... rates) to further purge the cash rate of variation that is anticipated by financial market participants.
https://www.rba.gov.au/publications/rdp/2022/2022-09/full.html

Robustness Exercises

3 Jan 2023 RDP 2022-09
Matthew Read
Although the robust credible intervals are narrower in the inflation-targeting period (compare Figures 6 and 9), this seems to largely reflect that the impact response of the cash rate is ... t. is restricted to be non-negative, so the central bank does
https://www.rba.gov.au/publications/rdp/2022/2022-09/robustness-exercises.html

Appendix B: Data

3 Jan 2023 RDP 2022-09
Matthew Read
Variable. Details. Source. Cash rate. Interbank overnight cash rate, %, quarterly average. ... Louis, FRED database (identifier GDPC1). Federal funds rate. Effective federal funds rate, %, quarterly average.
https://www.rba.gov.au/publications/rdp/2022/2022-09/appendix-b.html

Introduction

3 Jan 2023 RDP 2022-09
Matthew Read
More specifically, I impose that – all else equal – the cash rate is not increased in response to lower output and/or prices. ... monetary policy shocks), since the effects are the same given an appropriately defined counterfactual path for the cash
https://www.rba.gov.au/publications/rdp/2022/2022-09/introduction.html

Estimates under Different Sets of Sign Restrictions

3 Jan 2023 RDP 2022-09
Matthew Read
The domestic block includes the interbank overnight cash rate (CASH. t. ), ... rates) to further purge the cash rate of variation that is anticipated by financial market participants.
https://www.rba.gov.au/publications/rdp/2022/2022-09/estimates-under-different-sets-of-sign-restrictions.html

Conclusion

3 Jan 2023 RDP 2022-09
Matthew Read
the fact that they do not necessarily rule out extremely small (or zero) responses of the cash rate to a monetary policy shock. ... For example, restrictions on the sign of the monetary policy shock or its relative contribution to changes in the cash
https://www.rba.gov.au/publications/rdp/2022/2022-09/conclusion.html

Non-technical summary for ‘The Rise in Household Liquidity’

3 Jan 2023 RDP 2022-09
Matthew Read
This paper explores the extent to which different sign restrictions are informative about the macroeconomic effects of changes in the cash rate. ... In particular, I find strong evidence that an increase in the cash rate lowers real GDP and trimmed mean
https://www.rba.gov.au/publications/rdp/2022/2022-09/non-technical-summary.html

Read me file

3 Jan 2023 RDP 2022-09
Matthew Read
Compute the posterior probability that zero is included within the identified set for the impact response of the cash rate under (presented in Table 2) and the posterior plausibility (described in
https://www.rba.gov.au/publications/rdp/2022/2022-09/read-me.html

The Effects of a 100 Basis Point Monetary Policy Shock

3 Jan 2023 RDP 2022-09
Matthew Read
may be unbounded (i.e. infinite in length) when the identified set for the impact response of the cash rate includes zero; intuitively, if. ... Table 2: Posterior Probability that Identified Set for Impact Response of Cash Rate Includes Zero.
https://www.rba.gov.au/publications/rdp/2022/2022-09/the-effects-of-a-100-basis-point-monetary-policy-shock.html