Search: OIS

Sort by: Relevance Date
1–9 of 9 collapsed search results for 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.

Search Results

Monetary Policy, Equity Markets and the Information Effect

23 Mar 2021 RDP 2021-04
Calvin He
4. Data and Method. To calculate monetary policy surprises I use data from the OIS market. ... Hence, it appears that the augmented monetary policy surprises continue to reflect movements in the entire OIS curve.
https://www.rba.gov.au/publications/rdp/2021/2021-04/full.html

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

Results

1 Apr 2021 RDP 2021-04
Calvin He
The estimates suggests that a 100 basis point increase in the OIS curve drives around a 3 per cent decline in the ASX 200 index. ... For the one-year-ahead forecast, a 100 basis point increase in the OIS curve causes expected earnings growth of the ASX
https://www.rba.gov.au/publications/rdp/2021/2021-04/results.html

Beyond Board Meetings

1 Apr 2021 RDP 2021-04
Calvin He
Hence, it appears that the augmented monetary policy surprises continue to reflect movements in the entire OIS curve. ... a 100 basis point increase in the OIS curve causing around a 7.9 percentage point increase in earnings forecasts.
https://www.rba.gov.au/publications/rdp/2021/2021-04/beyond-board-meetings.html

Monetary Policy, Equity Markets and the Information Effect

23 Mar 2021 RDP 2021-04
Calvin He
analysis. This includes the high-frequency OIS and equity price data, and the weekly forecasted earnings growth. ... Also note that the data in. /data/fake-data/ois-all.csv are synthetic (and are just random numbers).
https://www.rba.gov.au/publications/rdp/2021/2021-04/read-me.html

Introduction

1 Apr 2021 RDP 2021-04
Calvin He
To overcome this issue I use high-frequency financial data of Australia's overnight index swap (OIS) market, which measures expectations of the cash rate. ... Taking OIS pricing around the window of monetary policy announcements effectively isolates the
https://www.rba.gov.au/publications/rdp/2021/2021-04/introduction.html

Robustness and Extensions

1 Apr 2021 RDP 2021-04
Calvin He
The one-year-ahead earnings growth forecasts for the materials sector fall by 9.4 percentage points following a 100 basis point level increase in the OIS curve. ... α. n. e. g. for a surprise monetary policy easing. Both coefficients should be
https://www.rba.gov.au/publications/rdp/2021/2021-04/robustness-and-extensions.html

Discussion, Limitations and Future Research

1 Apr 2021 RDP 2021-04
Calvin He
For example, the constructed monetary policy surprise series could be interpreted as a level shift in the OIS curve. ... This may not necessarily be how monetary policy announcements are internalised in the OIS market in the future.
https://www.rba.gov.au/publications/rdp/2021/2021-04/discussion-limitations-and-future-research.html

Policy Rule Changes or Deviations?

1 Apr 2021 RDP 2021-04
Calvin He
ξ. t. where:. F. 1,t. is the first factor from Equation (3), scaled to the one month OIS contract.
https://www.rba.gov.au/publications/rdp/2021/2021-04/policy-rule-changes-or-deviations.html