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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Read me file for Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
3 May 2023
RDP
PDF
247KB
RDP 2023-04 supplementary information
https://www.rba.gov.au/publications/rdp/2023/2023-04/rdp-2023-04-read-me.pdf
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
The Yield and Market Function Effects of the Reserve Bank of Australia’s Bond Purchases
19 May 2022
RDP
PDF
1938KB
the expected average overnight cash rate over the term of the OIS contract. ... linked to the realised daily overnight cash rate, which is what an OIS contract delivers.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-02.pdf
Online Appendix: Explaining Monetary Spillovers: The Matrix Reloaded
8 Apr 2019
RDP
PDF
378KB
RDP 2019-03 online appendix
https://www.rba.gov.au/publications/rdp/2019/2019-03/rdp-2019-03-online-appendix.pdf
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 May 2023
RDP
PDF
1465KB
of the 3-month OIS and the Premia shock in a given month.10. ... less OIS), the US commercial paper spread, the second principal component of the yield curve.
https://www.rba.gov.au/publications/rdp/2023/pdf/rdp2023-04.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
Read me file for The Yield and Market Function Effects of the Reserve Bank of Australia's Bond Purchases
20 May 2022
RDP
PDF
563KB
RDP 2022-02 supplementary information
https://www.rba.gov.au/publications/rdp/2022/2022-02/rdp-2022-02-read-me.pdf
A Term Structure Decomposition of the Australian Yield Curve
28 Dec 2008
RDP
PDF
578KB
We start by estimating zero-coupon yield curves from observed overnight indexedswap (OIS) and government bond data (for further details see Section 4 andAppendix A). ... See RBA (2002) for details of how OIS contracts operate, and Appendix A formore
https://www.rba.gov.au/publications/rdp/2008/pdf/rdp2008-09.pdf
Explaining Monetary Spillovers: The Matrix Reloaded
8 Apr 2019
RDP
PDF
1861KB
interest rate on 1-month overnight indexed swaps (OIS).16 We refer to this as the ‘target’ shock as. ... 16 OIS contracts are OTC derivatives contracts allowing investors to hedge against (or speculate on) movements of the.
https://www.rba.gov.au/publications/rdp/2019/pdf/rdp2019-03.pdf
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