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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Discussion of Recent Developments in Federal Reserve System Liquidity and Reserve Operations
22 Oct 2008
Conferences
PDF
76KB
RBA Conference Volume 2008
https://www.rba.gov.au/publications/confs/2008/pdf/hilton-disc.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
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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Discussion on Recent Developments in Federal Reserve System Liquidity and Reserve Operations | Conference – 2008
14 Jul 2008
Conferences
While liquidity problems appear to have been stemmed somewhat with the help of these new facilities, a number of participants pointed out that LIBOR/OIS spreads were still usually high, which
https://www.rba.gov.au/publications/confs/2008/hilton-disc.html
Discussion of The Impact of Unconventional Monetary Policy on the Overnight Interbank Market
19 Dec 2013
Conferences
PDF
91KB
RBA Conference Volume 2013
https://www.rba.gov.au/publications/confs/2013/pdf/bech-monnet-disc.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
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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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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The Transmission of Monetary Policy through Banks' Balance Sheets
10 Feb 2020
Conferences
PDF
1946KB
RBA Conference Volume 2018
https://www.rba.gov.au/publications/confs/2018/pdf/rba-conference-volume-2018-brassil-cheshire-muscatello.pdf
Discussion on The Impact of Unconventional Monetary Policy on the Overnight Interbank Market | Conference – 2013
19 Aug 2013
Conferences
It is questionable whether the sharp rise in the LIBOR-OIS spread was an optimal outcome for banks.
https://www.rba.gov.au/publications/confs/2013/bech-monnet-disc.html