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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Data
23 Apr 2019
RDP
2019-03
Unlike futures contracts which refer to the overnight rate in a particular calendar month, the maturity in the OIS contract is fixed. ... Hence they allow investors to more finely calibrate their hedges. OIS contracts are widely traded in a broad array
https://www.rba.gov.au/publications/rdp/2019/2019-03/data.html
Online Appendices: Explaining Monetary Spillovers: The Matrix Reloaded
1 Apr 2019
RDP
2019-03
Description. Source. Interest rates. 1-month and 6-month OIS. Overnight indexed swaps. ... shows target shocks as estimated via the change in 1-month OIS rates in a (/) 20-minute window around ECB monetary policy announcements; the middle panel shows
https://www.rba.gov.au/publications/rdp/2019/2019-03/online-appendix.html
Explaining Monetary Spillovers: The Matrix Reloaded
1 Apr 2019
RDP
2019-03
The first component of the monetary policy shock vector given in Equation (3) is the change in the interest rate on 1-month overnight indexed swaps (OIS). ... The second component is the change in the 2-year government bond yield that is orthogonal to
https://www.rba.gov.au/publications/rdp/2019/2019-03/full.html
Does Monetary Policy Spill Over to Other Economies?
23 Apr 2019
RDP
2019-03
Footnotes. Depending on data availability, for 1-month or 6-month interest rates, we used OIS rates, government bill rates, interbank rates or deposit rates.
https://www.rba.gov.au/publications/rdp/2019/2019-03/does-monetary-policy-spill-over-to-other-economies.html