Search: 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.
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Additional Analysis of Yield Effects
24 May 2022
RDP
2022-02
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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Introduction
20 Jan 2021
RDP
2021-01
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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Appendix A: Data Summary
13 Sep 2019
RDP
2019-09
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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Central Bank Liquidity Provision and Core Funding Markets | Conference – 2013
19 Aug 2013
Conferences
LIBOR-OIS spreads in a number of jurisdictions rose to roughly 100 basis points (Figure 7) from the previously suppressed levels of less than 10 basis points. ... year. Interest rates in a number of funding markets, both core and ancillary, rose sharply,
https://www.rba.gov.au/publications/confs/2013/johnson-santor.html
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
The Impact of Unconventional Monetary Policy on the Overnight Interbank Market | Conference – 2013
19 Aug 2013
Conferences
RBA Annual Conference – 2013 The Impact of Unconventional Monetary Policy on the Overnight Interbank Market Morten L Bech and Cyril Monnet. The modus operandi of central banks in terms of implementing monetary policy has changed materially over
https://www.rba.gov.au/publications/confs/2013/bech-monnet.html
Weighing the Benefits and Costs of Tiering
31 Dec 2012
RDP
2012-06
LIBOR) and the secured-lending repo rate. ... funds out at LIBOR.
https://www.rba.gov.au/publications/rdp/2012/2012-06/weighing-benefits-cost-tiering.html
Securitisation and the Commercial Property Cycle | Conference – 2012
20 Aug 2012
Conferences
RBA Annual Conference – 2012 Securitisation and the Commercial Property Cycle Frank Packer and Timothy Riddiough. The financial crisis of 2007–2009 was triggered by declining housing prices and propagated by securitisation. Combined with high
https://www.rba.gov.au/publications/confs/2012/packer-riddiough.html
Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy | Conference – 2009
17 Aug 2009
Conferences
RBA Annual Conference – 2009 Relative Price Shocks, Inflation Expectations, and the Role of Monetary Policy Pierre L Siklos. The aim of this paper is to rely on a wide variety of forecasts and survey-based estimates of inflationary expectations
https://www.rba.gov.au/publications/confs/2009/siklos.html
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