Search: repo

Sort by: Relevance Date
1–10 of 12 collapsed search results for repo

RBA Glossary definition for repo

repo – Repurchase agreement. The vehicle whereby most Reserve Bank of Australia (RBA) domestic market operations are conducted. Repurchase agreements (usually called 'repos') involve the sale or purchase of securities with an undertaking to reverse the transaction at an agreed date in the future and at an agreed price. Repos provide flexibility in that they allow the RBA to inject liquidity on one day and withdraw it on another with a single transaction.

Search Results

Identifying Repo Market Microstructure from Securities Transactions Data

16 Aug 2018 RDP 2018-09
Nicholas Garvin
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... banking, financial markets, interest rates, modelling, money. Interbank repo markets are arguably just as important as unsecured
https://www.rba.gov.au/publications/rdp/2018/2018-09.html

The Repo-detection Algorithm

15 Aug 2018 RDP 2018-09
Nicholas Garvin
the number of subsequent transactions that potentially form a repo with any loan-initiation transaction. ... The conditions that together define a set of transactions as a ‘detected repo’ are:.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-repo-detection-algorithm.html

The Australian Repo Market Microstructure

15 Aug 2018 RDP 2018-09
Nicholas Garvin
In 2008, the SGS repo market was larger than the AGS repo market. ... Figure 10: Network of Repo Positions – 2015. Average daily positions within sample window.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-australian-repo-market-microstructure.html

Identifying Repo Market Microstructure from Securities Transactions Data

6 Sep 2018 RDP 2018-09
Nicholas Garvin
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data.
https://www.rba.gov.au/publications/rdp/2018/2018-09/sections.html

Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data. ... The Stata code was run on Stata 13.0. ‘repo detection algorithm FUNCTIONS.R’.
https://www.rba.gov.au/publications/rdp/2018/2018-09/read-me.html

Conclusion

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Yet, until now, there has been little access to loan-level data on repo markets. ... Correlations between the two datasets are around 0.5. I also provide the first analysis of the Australian repo market microstructure, covering several two-month samples
https://www.rba.gov.au/publications/rdp/2018/2018-09/conclusion.html

References

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Tri-Party Repo Market’, Federal Reserve Bank of New York Economic Policy Review, 18(3), pp 17–28. ... Wakeling D and I Wilson (2010), ‘The Repo Market in Australia’, RBA Bulletin, December, pp 27–35.
https://www.rba.gov.au/publications/rdp/2018/2018-09/references.html

Introduction

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Figure 1: Size of Overnight Repo and Unsecured Markets. September and October windows. ... Copeland et al (2012) describe tri-party repo infrastructure in the United States.
https://www.rba.gov.au/publications/rdp/2018/2018-09/introduction.html

The Algorithm Performance

15 Aug 2018 RDP 2018-09
Nicholas Garvin
Such cases would resemble a repo with zero interest, which can be detected with interest bounds at zero. ... In some repo markets collateral for a single repo can be spread across multiple ISINs (e.g.
https://www.rba.gov.au/publications/rdp/2018/2018-09/the-algorithm-performance.html

Supplementary Information for RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data

1 Aug 2018 RDP 2018-09
Nicholas Garvin
Research Discussion Paper – RDP 2018-09 Identifying Repo Market Microstructure from Securities Transactions Data.
https://www.rba.gov.au/publications/rdp/2018/2018-09/supplementary-information.html