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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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27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
na. na. σ. cash rate. 0.0037. (0.0001). na. na. na. na. ... Specifically, we estimated a model of nominal rates using the methodology outlined in Adrian et al (2013), but extended to include cash rate forecasts.
https://www.rba.gov.au/publications/rdp/2018/2018-02/results.html

Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
We use two sets of surveys:. Surveys on cash rate expectations obtained from the RBA survey of market economists and Bloomberg; and. ... na. na. σ. cash rate. 0.0037. (0.0001). na. na. na. na.
https://www.rba.gov.au/publications/rdp/2018/2018-02/full.html

Read Me File for RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in…

1 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
The model uses data on the nominal and real zero-coupon yield, as well as survey measures of inflation and cash rate expectations, to construct estimates of future nominal and real ... Cash rate forecasts:. From Bloomberg (March 2000 to June 2005) and
https://www.rba.gov.au/publications/rdp/2018/2018-02/read-me.html

Data and Estimation

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Consistent with Abrahams et al (2016) we use the first K principal components from a panel of nominal interest rates. ... We use two sets of surveys:. Surveys on cash rate expectations obtained from the RBA survey of market economists and Bloomberg; and.
https://www.rba.gov.au/publications/rdp/2018/2018-02/data-and-estimation.html

Appendix C: Estimating the Real Zero-coupon Yield Curve

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
To alleviate this problem we choose a particularly simple and transparent yield curve fitting method: interpolating the forward rate between outstanding bonds. ... We then calculate what forward rate is required to price the next bond on the yield curve
https://www.rba.gov.au/publications/rdp/2018/2018-02/appendix-c.html

Introduction

27 Feb 2018 RDP 2018-02
Jonathan Hambur and Richard Finlay
Expectations for real interest rates, particularly a long way into the future, provide information about the economy's expected potential growth rate and the neutral real interest rate: the real rate ... In many economic models, monetary policy is deemed
https://www.rba.gov.au/publications/rdp/2018/2018-02/introduction.html