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1–10 of 61 search results for LIBOR

RBA Glossary definition for LIBOR

LIBOR – The London Inter-Bank Offered Rate (LIBOR) is a reference rate based on the interest rates at which banks offer to transact with each other on an unsecured basis in the London market. The LIBOR reflects quotes by a panel of banks for maturities of up to 12 months for the euro, Japanese yen, Swiss franc, UK Pound sterling, and the US dollar. The reference rates are set at 11.00 am London time.

Additional Analysis of Yield Effects

24 May 2022 RDP 2022-02

Richard Finlay, Dmitry Titkov and Michelle Xiang

Model 1. Model 2. Model 3. Preferred model. Includes 3-month. USD LIBOR–OIS spread. ... 0.18. (0.11). 0.19. (0.10). 0.20. (0.10). 0.16. (0.10). 3-month USD LIBOR–OIS spread.

https://www.rba.gov.au/publications/rdp/2022/2022-02/additional-analysis-of-yield-effects.html

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The Yield and Market Function Effects of the Reserve Bank of Australia’s Bond Purchases

19 May 2022 RDP PDF 1938KB

The Yield and Market Function Effects of the Reserve Bank of Australia’s. Bond Purchases. Richard Finlay, Dmitry Titkov and Michelle Xiang. Research Discussion Paper. R DP 2022- 02. Figures in this publication were generated using Mathematica.

https://www.rba.gov.au/publications/rdp/2022/pdf/rdp2022-02.pdf

Introduction

20 Jan 2021 RDP 2021-01

Nicholas Garvin, David W Hughes and José-Luis Peydró

Footnote. The TED spread is between the 3-month LIBOR based on USD and the 3-month US Treasury bill rate.

https://www.rba.gov.au/publications/rdp/2021/2021-01/introduction.html

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The Role of Collateral in Borrowing

14 Jan 2021 RDP PDF 1784KB

transactions. 1 The TED spread is between the 3-month LIBOR based on USD and the 3-month US Treasury bill rate.

https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf

Appendix A: Data Summary

13 Sep 2019 RDP 2019-09

Belinda Cheung and Sebastien Printant

AUD into JPY. Bloomberg. We assume the JPY leg is. invested in Japanese LIBOR. ... AUD into USD. Bloomberg. We assume the USD leg is. invested in US LIBOR.

https://www.rba.gov.au/publications/rdp/2019/2019-09/appendix-a.html

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