Search: OIS
RBA Glossary definition for OIS
OIS – Overnight indexed swap, a bilaterally traded, or over-the-counter (OTC), derivative in which one party agrees to pay the other party a fixed interest rate in exchange for receiving the average cash rate recorded over the term of the swap.
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Monetary Policy, Equity Markets and the Information Effect
24 Oct 2021
RDP
PDF
1573KB
4.1 Data. To calculate monetary policy surprises I use data from the OIS market. ... year.7 In principle, the changes in one OIS contract around monetary policy announcements could.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-04.pdf
Read me file for Monetary Policy, Equity Markets and the Information Effect
20 Apr 2021
RDP
PDF
567KB
RDP 2021-04 supplementary information
https://www.rba.gov.au/publications/rdp/2021/2021-04/rdp-2021-04-read-me.pdf
Data and Method
1 Apr 2021
RDP
2021-04
Sources: Author's calculations; RBA; Refinitiv. Footnotes. RBA (2002) provides details on the OIS market in Australia. ... Expanding the window gives time for the OIS market to price in the announcement.
https://www.rba.gov.au/publications/rdp/2021/2021-04/data-and-method.html
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The Role of Collateral in Borrowing
14 Jan 2021
RDP
PDF
1784KB
spread to 3-month OIS(RHS). TED spread lagged one day(LHS). 1A. ug.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf
Start Spreading the News: News Sentiment and Economic Activity in Australia
23 Dec 2020
RDP
2020-08
Kearns and Manners 2006). The interest rate surprise is calculated as the change in the 1-month overnight indexed swap rate (OIS) from the close of the day prior to the ... In contrast, in the case of the 1-month OIS series, the effect of the shock on
https://www.rba.gov.au/publications/rdp/2020/2020-08/full.html
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Start Spreading the News: News Sentiment and Economic Activity in Australia
21 Dec 2020
RDP
PDF
1524KB
The interest. rate surprise is calculated as the change in the 1-month overnight indexed swap rate (OIS) from the. ... 1-month OIS. 0 2 4 6 8 10-2.0. -1.5. -1.0. -0.5.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-08.pdf
Robustness Tests
14 Feb 2020
RDP
2020-02
indexed swap (OIS), the spread between the average large business variable lending rate and the 3-month BAB rate, and the US BAA 10-year spread;.
https://www.rba.gov.au/publications/rdp/2020/2020-02/robustness-tests.html
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The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets
14 Feb 2020
RDP
PDF
1878KB
The Distributional Effects of Monetary Policy: Evidence from Local. Housing Markets. Calvin He and Gianni La Cava. Research Discussion Paper. R DP 2020 - 02. Figures in this publication were generated using Mathematica. The contents of this
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-02.pdf
Appendix C: Variable Definitions
28 Jan 2020
RDP
2020-01
RBA. c. s. t. M. M. Money market spread between 3-month bank-accepted bill (BAB) rate and 3-month Australian dollar overnight indexed swap (OIS) rate (3-month zero-coupon
https://www.rba.gov.au/publications/rdp/2020/2020-01/appendix-c.html
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Credit Spreads, Monetary Policy and the Price Puzzle
23 Jan 2020
RDP
PDF
1959KB
rate and the 3-month Australian dollar overnight indexed swap (OIS) rate ( MMtcs ) captures credit. ... risk on the interbank market. However, the OIS rate is also only available from July 2001.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-01.pdf