Search: Treasury adjustable rate bonds
RBA Glossary definition for Treasury adjustable rate bonds
Treasury adjustable rate bonds – Australian Government Securities with an adjustable interest/coupon rate, periodically reset according to movements in the Australian Bank Bill Swap Reference Rate. These securities are no longer issued by the Commonwealth Government.
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The Consequences of Low Interest Rates for the Australian Banking Sector
21 Dec 2022
RDP
2022-08
The second channel is interest rate risk. As the level of interest rates falls, the duration – broadly defined as the sensitivity of a bond's price to interest rate changes – of ... monetary policy to lending rates when the level of the policy rate
https://www.rba.gov.au/publications/rdp/2022/2022-08/full.html
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Appendix A: Data Sources
1 Nov 1996
RDP
9608
The world short interest rate is calculated as the weighted arithmetic average of short interest rates (3-month Treasury Bills) from the United States, Canada and the United Kingdom. ... The yield curve for Australia is measured as the difference between
https://www.rba.gov.au/publications/rdp/1996/9608/appendix-a.html
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The Australian Repo Market Microstructure
15 Aug 2018
RDP
2018-09
Treasury bond ISINs tend to be favoured over other AGS ISINs, likely related to their long tenor and the large quantity on issue. ... Frequency refers to number of detected repos. Treasury bonds. Treasury indexed bonds.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html
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The Consequences of Low Interest Rates for the Australian Banking Sector
19 Dec 2022
RDP
PDF
1588KB
others typically pay some spread above the cash rate (or expected future cash rates). ... evidence. In jurisdictions with a negative policy rate, retail deposit interest rates remained close to.
https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-08.pdf
The Role of Collateral in Borrowing
20 Jan 2021
RDP
2021-01
Heightened demand for high-quality collateral is evident from the interest rate differential on collateralised loans across collateral types – rates for first-best collateral fall market-wide by over 100 basis ... face value of securities, and money
https://www.rba.gov.au/publications/rdp/2021/2021-01/full.html
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A Model of the Australian Housing Market
1 Mar 2019
RDP
2019-01
It estimates responses to interest rates, allowing for feedback between quantities and prices. ... Caballero 1999). In structural macroeconometric models (e.g. Brayton and Tinsley 1996; Powell and Murphy 1997; Treasury 2001; Fair 2004) effects of
https://www.rba.gov.au/publications/rdp/2019/2019-01/full.html
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The Expectations Theory of the Term Structure and Short-Term Interest Rates in Australia
19 Nov 2012
RDP
PDF
664KB
estimates of these variances using spectral analysis. He considered three. different long rates, (5, 10 and 20-year treasury bonds) while the short. ... than the current short rate, short interest rates are expected to rise above.
https://www.rba.gov.au/publications/rdp/1986/pdf/rdp8607.pdf
Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds
8 Mar 2011
RDP
PDF
479KB
17. 4.2.3 Inflation forward rates. The inflation forward rate reflects the relative prices of traded nominal andinflation-indexed bonds and is given by the sum of inflation expectations andinflation ... rate, and one following the method ofMcCulloch and
https://www.rba.gov.au/publications/rdp/2011/pdf/rdp2011-01.pdf
Appendix D: Glossary and Data
1 Jun 2000
RDP
2000-05
Core Inflation: Datastream, USCPXFDEF, JPCPXFFDF, EMESHARMF, EMCP.F. Definition:. Yield on the conventional Australian 10-year bond less the yield on Treasury capital indexed bonds of similar maturity. ... Treasury capital indexed bond yields:
https://www.rba.gov.au/publications/rdp/2000/2000-05/appendix-d.html
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Credit Spreads, Monetary Policy and the Price Puzzle
23 Jan 2020
RDP
PDF
1959KB
b) Australian BBB corporate bond rate to 10-year Australian government bond yield. ... BAA corporate and 10-year Treasury bond yields to explore the role of credit market shocks for the.
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-01.pdf