Search: interbank overnight rate
RBA Glossary definition for interbank overnight rate
interbank overnight rate – The interbank overnight rate (also known as the cash rate) is the interest rate which banks pay or charge to borrow funds from or lend funds to other banks on an overnight unsecured basis. The Reserve Bank of Australia uses this rate as an operational target for the implementation of monetary policy. The Reserve Bank of Australia calculates and publishes this rate each day on the basis of data collected directly from banks. The interbank overnight rate has been published by the Reserve Bank of Australia since June 1998.
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Identifying Interbank Loans from Payments Data
8 Dec 2016
RDP
2016-11
banking, financial markets, interest rates, modelling, monetary policy, money, payments. The interbank overnight cash market is central to the implementation of monetary policy in Australia. ... So these novel features may also be useful for identifying
https://www.rba.gov.au/publications/rdp/2016/2016-11.html
The Algorithm
15 Dec 2016
RDP
2016-11
Figure 1: Daily Interbank Overnight Cash Rate. Note: Rounded to nearest basis point. ... literature. To the extent that rollovers occur in other countries, the novel features of our algorithm may also improve the identification of overnight interbank
https://www.rba.gov.au/publications/rdp/2016/2016-11/algorithm.html
Appendix A: Literature Review
15 Dec 2016
RDP
2016-11
However, while neither European study assesses Type I error rates at the transaction level, the euro area algorithm identifies well over 100 per cent of the daily overnight trading reported by ... This may be why, even with a high false negative rate,
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-a.html
Introduction
15 Dec 2016
RDP
2016-11
Download the Paper 3.19. MB. The average interest rate on unsecured overnight interbank loans – the cash rate – is the Reserve Bank of Australia's (RBA) operational target for monetary policy. ... For example, the RBA's Interbank Overnight Cash Rate
https://www.rba.gov.au/publications/rdp/2016/2016-11/introduction.html
Appendix B: Detailed Description of the Algorithm
15 Dec 2016
RDP
2016-11
the target cash rate on the previous day, plus/minus the range of interest rates. ... Footnotes. Interest rates expressed as an annual rate will need to be divided by 365.
https://www.rba.gov.au/publications/rdp/2016/2016-11/appendix-b.html
References
15 Dec 2016
RDP
2016-11
Demiralp S, B Preslopsky and W Whitesell (2004), ‘Overnight Interbank Loan Markets’, Board of Governors of the Federal Reserve System Finance and Economics Discussion Series Paper No 2004-29. ... Millard S and M Polenghi (2004), ‘The Relationship
https://www.rba.gov.au/publications/rdp/2016/2016-11/references.html
Identifying Interbank Loans from Payments Data
1 Dec 2016
RDP
2016-11
1. Introduction. The average interest rate on unsecured overnight interbank loans – the cash rate – is the Reserve Bank of Australia's (RBA) operational target for monetary policy. ... Figure 1: Daily Interbank Overnight Cash Rate. Note: Rounded to
https://www.rba.gov.au/publications/rdp/2016/2016-11/full.html
Accuracy of the Algorithm
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 4. Accuracy of the Algorithm. ... For term lending to cause false positives, the rates on these loans would need to perfectly forecast future overnight rates and there would need to be no term
https://www.rba.gov.au/publications/rdp/2016/2016-11/accuracy-of-the-algorithm.html
The Australian Payments System and IBOC Market
15 Dec 2016
RDP
2016-11
RDP 2016-11: Identifying Interbank Loans from Payments Data 2. The Australian Payments System and IBOC Market. ... The RBA pays daily interest on ‘surplus’ ESA balances at 25 basis points below the target cash rate.
https://www.rba.gov.au/publications/rdp/2016/2016-11/australian-payments-system-and-iboc-market.html