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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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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

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

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

Data and Method

1 Apr 2021 RDP 2021-04
Calvin He
Sources: Author's calculations; RBA; Refinitiv. Footnotes. RBA (2002) provides details on the OIS market in Australia. ... Expanding the window gives time for the OIS market to price in the announcement.
https://www.rba.gov.au/publications/rdp/2021/2021-04/data-and-method.html
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The Role of Collateral in Borrowing

14 Jan 2021 RDP PDF 1784KB
spread to 3-month OIS(RHS). TED spread lagged one day(LHS). 1A. ug.
https://www.rba.gov.au/publications/rdp/2021/pdf/rdp2021-01.pdf

Start Spreading the News: News Sentiment and Economic Activity in Australia

23 Dec 2020 RDP 2020-08
Kim Nguyen and Gianni La Cava
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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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
Calvin He and Gianni La Cava
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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The Distributional Effects of Monetary Policy: Evidence from Local Housing Markets

14 Feb 2020 RDP PDF 1878KB
The Distributional Effects of Monetary Policy: Evidence from Local. Housing Markets. Calvin He and Gianni La Cava. Research Discussion Paper. R DP 2020 - 02. Figures in this publication were generated using Mathematica. The contents of this
https://www.rba.gov.au/publications/rdp/2020/pdf/rdp2020-02.pdf

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