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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Read me file
12 May 2023
RDP
2023-04
Findur intraday OIS data.csv’ (monetary policy announcement OIS) – not for public release. ... Output folder:. Input dataHF zcrinput. Output files:. ‘ois_pre.csv’ – not for public release.
https://www.rba.gov.au/publications/rdp/2023/2023-04/read-me.html
Can We Use High-frequency Yield Data to Better Understand the Effects of Monetary Policy and Its Communication? Yes and No!
1 Apr 2023
RDP
2023-04
For this, we use data on overnight indexed swaps (OIS) at fixed maturities of 1 week, 1 to 6 months, 9 months, and 12 months, as well as yields on all ... Similarly, there is a moderate correlation between the (conditional) volatility of the 3-month OIS
https://www.rba.gov.au/publications/rdp/2023/2023-04/full.html
Appendix B: Additional Results
12 May 2023
RDP
2023-04
1.73. 0.08. 2.05. 3-month OIS change. (a). 9.21. na. na. na.
https://www.rba.gov.au/publications/rdp/2023/2023-04/appendix-b.html
Documenting Shock Measures Pre-COVID-19
12 May 2023
RDP
2023-04
Similarly, there is a moderate correlation between the (conditional) volatility of the 3-month OIS and the Premia shock in a given month. ... More precisely, this is the conditional volatility of the residual from a forecasting model of the 3-month OIS,
https://www.rba.gov.au/publications/rdp/2023/2023-04/documenting-shock-measures-pre-covid-19.html
The Effects of Monetary Policy Shocks
12 May 2023
RDP
2023-04
For example, using just the change in the 3-month or 2-year OIS rate around the Board meeting leads to very similar results, as does simply taking the first factor
https://www.rba.gov.au/publications/rdp/2023/2023-04/the-effects-of-monetary-policy-shocks.html