Relevant bibliographies by topics / Interest rate futures Australia

Academic literature on the topic 'Interest rate futures Australia'

Author: Grafiati
Published: 10 December 2022
Last updated: 29 January 2023

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Journal articles on the topic "Interest rate futures Australia"

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Smales, Lee A. "IMPACT OF MACROECONOMIC ANNOUNCEMENTS ON INTEREST RATE FUTURES: HIGH-FREQUENCY EVIDENCE FROM AUSTRALIA." Journal of Financial Research 36, no. 3 (September 2013): 371–88. http://dx.doi.org/10.1111/j.1475-6803.2013.12015.x.

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TAN, TING-YEAN. "Event Studies of Efficiency in the Australian Interest Rate Futures Market." Economic Record 68 (December 1992): 135–40. http://dx.doi.org/10.1111/j.1475-4932.1992.tb02301.x.

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Keefe, Helena G., and Erick W. Rengifo. "Currency Options, Implied Interest Rates and Inflation Targeting." International Journal of Economics and Finance 11, no. 2 (January 15, 2019): 119. http://dx.doi.org/10.5539/ijef.v11n2p119.

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The currency option price is a powerful tool used regularly to determine market expectations on volatility in currencies using the implied volatility measure. This research tests and analyzes whether similar inferences can be made regarding interest rate and inflation expectations. Using historical options data, we derive and analyze implied interest rates during non-inflation targeting (non-IT) and inflation targeting (IT) periods for Australia, Canada, and the United Kingdom. We compare the results to a control group of countries that had not yet adopted inflation targeting during the period under study: Germany, Japan and Switzerland. Our results show that options prices can provide insights on market expectations on interest rates, that the adoption of inflation targeting strengthens the relationship between market expectations and inflation, and that shocks in interest rates and inflation lead to higher implied interest rates. In determining the potential uses of implied interest rates derived from currency options prices, our goal is not to replace the Federal Funds futures or equivalent tools in advanced economies, rather to present the usefulness of currency options as a tool to provide information to policymakers in emerging market economies. Central banks, such as the Banco Central de Colombia and Banco de Mexico, have been using currency options as tools for foreign exchange intervention or reserve accumulation/decumulation since the early 2000’s, and options markets in these economies have grown rapidly since then. Therefore, establishing the usefulness of implied interest rate measures derived from currency options prices may provide insights to policymakers and practitioners alike.
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Smales, Lee A. "RBA monetary policy communication: The response of Australian interest rate futures to changes in RBA monetary policy." Pacific-Basin Finance Journal 20, no. 5 (November 2012): 793–808. http://dx.doi.org/10.1016/j.pacfin.2012.04.002.

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McCredie, Bronwyn, Paul Docherty, Steve Easton, and Katherine Uylangco. "The differential impact of monetary policy announcements and explanatory minutes releases on the Australian interest rate futures market." Pacific-Basin Finance Journal 29 (September 2014): 261–71. http://dx.doi.org/10.1016/j.pacfin.2014.05.001.

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Aries, Morgan, Gianfranco Giromini, and Gunter Meissner. "A Model for a Fair Exchange Rate." Review of Pacific Basin Financial Markets and Policies 09, no. 01 (March 2006): 51–66. http://dx.doi.org/10.1142/s0219091506000641.

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Financial markets have developed formulas and models to derive fair values for bonds, futures, swaps, options and other securities. This model derives a fair value of an exchange rate, which might be used as a benchmark for a long-term equilibrium level to stabilize currency markets. The model is based on the value-added tax adjusted purchasing power parity exchange rate. This rate is then modified by five components: the macro-economic component, the foreign currency reserve component, the debt component, the interest rate component, and the political stability/leadership component. With respect to the American dollar, the model shows that the Euro and the Japanese Yen are overvalued compared to its current exchange rate, while the Brazilian Real, the Russian Ruble, the Chinese Yuan and the Australian dollar are currently undervalued.
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Wolfe, E. C. "Nitrogen Special Issue: summing up of papers and recommendations for future research." Australian Journal of Experimental Agriculture 41, no. 3 (2001): 459. http://dx.doi.org/10.1071/ea00137.

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The 12th Australian Nitrogen Fixation Conference was the third in a series of national workshops that began in 1991 and dealt with aspects of the nitrogen dynamics of Australian pastures and croplands. The conference and the papers published in the Special Issue addressed, at least in part, the slow progress that is evident in improving the rate of biological nitrogen fixation by enhancing inoculating techniques and Rhizobium strains. An important output from the conference was an analysis of nitrogen supply and demand in Australian dryland crops, indicating less reliance on biological nitrogen fixation due to higher wheat yields, the increased use of canola in crop rotations and problems with pulses. In 3 keynote reviews, the factors affecting the fixation and release of biologically fixed nitrogen to non-legume crops were comprehensively detailed. These factors included the frequency of legumes in rotations and their individual biomass rather than the efficiency of nitrogen fixation itself. The further development and use of models is a way of predicting outcomes for various combinations of management and crop rotations. The present trend towards fewer years of legumes in phase farming in Australia may reverse, resulting in renewed interest in ley pastures and pulse crops.
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Wong, Peng Yew, Woon-Weng Wong, and Kwabena Mintah. "Residential property market determinants: evidence from the 2018 Australian market downturn." Property Management 38, no. 2 (December 3, 2019): 157–75. http://dx.doi.org/10.1108/pm-07-2019-0043.

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Purpose The purpose of this paper is to validate and uncover the key determinants revolving around the Australian residential market downturn towards the 2020s. Design/methodology/approach Applying well-established time series econometric methods over a decade of data set provided by Australian Bureau of Statistics, Reserve Bank of Australia and Real Capital Analytics, the significant and emerging drivers impacting the Australian residential property market performance are explored. Findings Besides changes in the significant levels of some key traditional market drivers, housing market capital liquidity and cross-border investment fund were found to significantly impact the Australian residential property market between 2017 and 2019. The presence of some major positive economic conditions such as low interest rate, sustainable employment and population growth was perceived inadequate to uplift the Australian residential property market. The Australian housing market has performed negatively during this period mainly due to diminishing capital liquidity, excess housing supplies and retreating foreign investors. Practical implications A better understanding of the leading and emerging determinants of the residential property market will assist the policy makers to make sound decisions and effective policy changes based on the latest development in the Australian housing market. The results also provide a meaningful path for future property investments and investigations that explore country-specific effects through a comparative analysis. Originality/value The housing market determinants examined in this study revolve around the wider economic conditions in Australia that are not new. However, the coalesce analysis on the statistical results and the current housing market trends revealed some distinguishing characteristics and developments towards the 2020s Australian residential property market downturn.
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Zhao, K. "Localising Chinese language curriculum construction: A case study in an Australian primary school." Global Chinese 6, no. 2 (September 1, 2020): 263–88. http://dx.doi.org/10.1515/glochi-2020-0014.

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Abstract Chinese is now the second most commonly spoken language in Australia. There is a growing interest in learning Chinese in local schools. However, it is reported that the principally English-speaking learners in Australia have great difficulties and challenges in learning Chinese. The high dropout rate in Chinese courses demonstrates this. This paper presents a case study conducted in a local public school in New South Wales. The purpose of this study is to explore and employ the local students’ daily recurring sociolinguistic activities, performed in English at school, for creating suitable learning content. In this way, a localised Chinese curriculum is constructed in the Australian educational environment. The case study shows that the local students’ translanguaging aptitudes between English and Chinese are developing and becoming influential, as they have engaged in learning Chinese in the form of a local practice – playing chess, which is a typical instance of their daily recurring sociolinguistic activities in school. Therefore, in the process of such contextualised learning practices, not only can Chinese be made learnable for them, but also the specific vocabulary learnt can be the basis for their wider learning of Chinese in the future.
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Powell, T. G. "UNDERSTANDING AUSTRALIA’S PETROLEUM RESOURCES, FUTURE PRODUCTION TRENDS AND THE ROLE OF THE FRONTIERS." APPEA Journal 41, no. 1 (2001): 273. http://dx.doi.org/10.1071/aj00013.

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Relative to its needs over the last 30 years, Australia has enjoyed a high level of self-sufficiency. Whilst the overall remaining reserves of oil have been relatively constant, reserves of condensate have grown substantially as major reserves of natural gas have been added to Australia’s resource inventory. Oil and condensate reserves stand at 3.43 billion barrels (505 GL), of which 50% is condensate in gas fields. Australia’s undiscovered oil potential in its major offshore hydrocarbon producing basins has been upgraded to an indicative 5 billion barrels (800 GL) at the average expectation, following evaluation of the assessment results for Australia in the authoritative worldwide assessment of undiscovered potential by the US Geological Survey.Current reserves, however, are insufficient to sustain present levels of production in the medium term. Estimates of future production of oil and condensate suggest that at the mean expectation, production rates will drop by around 33% by 2005 and 50% by 2010, largely as a result of a decline in oil production. This forecast includes production from fields that have not yet been discovered. Condensate production will continue to grow, but the rate of growth is constrained by gas production rates and overall by the development timetable for the major gas fields.The rate of discovery of new oil fields is insufficient to replace the oil reserves that are being produced. If Australia is to maximise the opportunity to maintain production at similar levels to the recent past, it is probable that exploration effort will have to diversify to the frontier basins to locate a new oil province whilst continuing to explore the full potential of the known hydrocarbon-bearing basins. Australia still has a remarkable number of basins which have received little or no exploration. Whilst there is no substitute for a discovery to stimulate exploration in poorly known areas, demonstrating that petroleum has been generated and migrated is the key to attracting continued exploration interest.
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Dissertations / Theses on the topic "Interest rate futures Australia"

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Vignon, Marc. "Implementing Sensitivity Calculations for Long Interest Rate Futures." Thesis, KTH, Matematik (Inst.), 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-48284.

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Choi, Ka-fai, and 蔡家輝. "Specifications of delivery options in interest rate futures." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31954704.

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Choi, Ka-fai. "Specifications of delivery options in interest rate futures." Hong Kong : University of Hong Kong, 2001. http://sunzi.lib.hku.hk:8888/cgi-bin/hkuto%5Ftoc%5Fpdf?B23425064.

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Liu, Cheng. "Utility-based Futures Contract Pricing under Stochastic Interest Rate, Appreciation Rate and Dividend Yield." University of Cincinnati / OhioLINK, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=ucin1283524846.

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Rusnáková, Monika. "Spread trading strategy for intraday short term interest rate futures markets." reponame:Repositório Institucional do FGV, 2011. http://hdl.handle.net/10438/8152.

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Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e venda simultânea de contratos de STIR com diferentes maturidades. Cada um dos contratos individualmente se comporta de forma aleatória e dificilmente previsível. No entanto, no longo prazo, pares de contratos podem apresentar um comportamento comum, com os desvios de curto prazo sendo corrigidos nos períodos seguintes. Se este comportamento comum for empiricamente confirmado, há a possibilidade de desenvolver uma estratégia rentável de trading. Para ser bem sucedida, esta estratégia depende da confirmação da existência de um equilíbrio de longo prazo entre os contratos e a definição do limite de spread mais adequado para a mudança de posições entre os contratos. Neste trabalho, foram estudadas amostras de 1304 observações de 5 diferentes séries de spread, coletadas a cada 10 minutos, durante um período de 1 mês. O equilíbrio de longo prazo entre os pares de contratos foi testado empiricamente por meio de modelos de cointegração. Quatro pares mostraram-se cointegrados. Para cada um destes, uma simulação permitiu a estimação de um limite que dispararia a troca de posições entre os contratos, maximizando os lucros. Uma simulação mostrou que a aplicação deste limite, levando em conta custos de comissão e risco de execução, permitiria obter um fluxo de caixa positivo e estável ao longo do tempo.
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Wong, Alan 1954. "Futures-Forward Price Differences and Efficiency in the Treasury Bill Futures Market." Thesis, North Texas State University, 1986. https://digital.library.unt.edu/ark:/67531/metadc330688/.

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This study addressed two issues. First, it examined the ability of two models, developed by Cox, Ingersoll and Ross (CIR), to explain the differences between futures and implicit forward prices in the thirteen-week T-bill market. The models imply that if future interest rates are stochastic, futures and forward prices differ; the structural difference is due to the daily settlement process required in futures trading. Second, the study determined the efficiency of the thirteen-week T-bill futures market using volatility and regression tests. Volatility tests use variance bounds to examine whether futures prices are excessively volatile for the market to be efficient. Regression tests investigate whether futures prices are unbiased predictors of future spot prices. The study was limited to analysis of the first three futures contracts, using weekly price data as reported in the Wall Street Journal from March, 1976 to December, 1984. Testing of the first CIR model involved determination of whether changes in futures-forward price differences are related to changes in local covariances between T-bill futures and bond prices. The same procedure applied in testing the second model with respect to changes in futures-forward price differences, local covariances between T-bill spot and bond prices, and local variances of bond prices. Volatility tests of market efficiency involved comparison of mean variances on both sides of two inequality equations. Regression tests involved determination of whether slope coefficients are significantly different from zero.
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Au, Chi Kwong. "Instant calibration to the stochastic volatility LIBOR market model /." View abstract or full-text, 2008. http://library.ust.hk/cgi/db/thesis.pl?MATH%202008%20AU.

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Kobold, Klaus. "Interest rate futures markets and capital market theory : theorical concepts and empirical evidence /." Berlin ; New York : W. de Gruyter, 1986. http://catalogue.bnf.fr/ark:/12148/cb37354747f.

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Mun, Kyung-Chun. "Bank hedging in futures markets: an integrated approach to exchange and interest rate risk management." Diss., Virginia Tech, 1991. http://hdl.handle.net/10919/39770.

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Tsai, Angela C. F. "Valuation of Eurodollar futures contracts under alternative term structure models : theory and evidence." Thesis, University of Strathclyde, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.366802.

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Books on the topic "Interest rate futures Australia"

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Valentine, T. J. Interest rates and money markets in Australia. Sydney: Financial Training and Analysis Services, 1991.

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J, Fabozzi Frank, ed. Interest rate futures and options. Chicago, Ill: Probus Pub. Co., 1990.

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R, Beidleman Carl, and Beidleman Carl R, eds. Interest rate swaps. Homewood, Ill: Business One Irwin, 1991.

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V, Piterbarg Vladimir, ed. Interest rate modeling. London: Atlantic Financial Press, 2010.

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London International Financial Futures Exchange. Eurolira futures: Three month interest rate futures contract. London: London International Financial Futures Exchange, 1992.

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Exchange, Chicago Mercantile. Using interest rate futures and options. Chicago: the Exchange, 1986.

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Exchange, London International Financial Futures. Eurodollar interest rate futures and options. London: LIFFE, 1985.

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Exchange, London International Financial Futures. 3-month sterling interest rate futures. London: LIFFE, 1987.

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Understanding interest rate swaps. New York: McGraw-Hill, 1993.

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Murphy, J. Austin. Hedging fixed-rate mortgage investments against interest-rate risk. 4th ed. Washington, D.C. (1700 G St., NW, Washington 20552): Federal Home Loan Bank Board, Office of Policy and Economic Research, 1989.

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Book chapters on the topic "Interest rate futures Australia"

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Dempsey, Michael. "Interest rate futures (forwards)." In Financial Risk Management and Derivative Instruments, 85–105. Milton Park, Abingdon, Oxon ; New York, NY : Routledge, 2021. | Series: Routledge advanced text in economics and finance: Routledge, 2021. http://dx.doi.org/10.4324/9781003132240-9.

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Kienitz, Jörg. "Markets and Products — Deposits, Bonds, Futures, Repo." In Interest Rate Derivatives Explained, 35–47. London: Palgrave Macmillan UK, 2014. http://dx.doi.org/10.1057/9781137360076_4.

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Labuszewski, John W., and Richard Co. "Eurodollar Futures: Interest Rate Market Building Blocks." In The CME Group Risk Management Handbook, 169–230. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2011. http://dx.doi.org/10.1002/9781118266564.ch6.

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Wilkens, Sascha. "Option Pricing Based on Mixtures of Distributions: Evidence from the Eurex Index and Interest Rate Futures Options Market." In Derivatives and Hedge Funds, 370–90. London: Palgrave Macmillan UK, 2016. http://dx.doi.org/10.1057/9781137554178_18.

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Almeida, Sylvia Christine, and Marilyn Fleer. "E-STEM in Everyday Life: How Families Develop a Caring Motive Orientation Towards the Environment." In International Perspectives on Early Childhood Education and Development, 161–81. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-72595-2_10.

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AbstractInternationally there is growing interest in how young children engage with and learn concepts of science and sustainability in their everyday lives. These concepts are often built through nature and outdoor play in young children. Through the dialectical concept of everyday and scientific concept formation (Vygotsky LS, The collected works of L.S. Vygotsky. Problems of general psychology, V.1, (Trans. N Minick). Editor of English Translation, RW Rieber, and AS Carton, New York: Kluwer Academic and Plenum Publishers, 1987), this chapter presents a study of how families transformatively draw attention to STEM and sustainability concepts in the everyday practices of the home. The research followed a focus child (4–5 year old) from four families as they navigated everyday life and talked about the environments in which they live. Australia as a culturally diverse community was reflected in the families, whose heritage originated in Europe, Iran, India, Nepal and Taiwan. The study identified the multiple ways in which families introduce practices and conceptualise imagined futures and revisioning (Payne PG, J HAIA 12:2–12, 2005a). About looking after their environment. It was found that young children appear to develop concepts of STEM, but also build agency in exploration, with many of these explorations taking place in outdoor settings. We conceptualise this as a motive orientation to caring for the environment, named as E-STEM. The study emphasises for education to begin with identifying family practices and children’s explorations, as a key informant for building relevant and locally driven pedagogical practices to support environmental learning.
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"Interest Rate Futures." In Interest Rate Markets, 85–105. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119200949.ch4.

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Mukherjee, Kedar Nath. "Interest rate futures." In Demystifying Fixed Income Analytics, 236–80. Routledge India, 2020. http://dx.doi.org/10.4324/9781003045168-9.

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"Interest Rate Futures." In Derivatives, 88–112. Cambridge University Press, 2017. http://dx.doi.org/10.1017/9781108236041.008.

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"Interest rate futures hedging." In Capital Investment & Financing, 399–408. Elsevier, 2005. http://dx.doi.org/10.1016/b978-075066532-2.50018-8.

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"Treasury Futures Basis and Rolls." In Interest Rate Markets, 299–318. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119200949.ch11.

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Conference papers on the topic "Interest rate futures Australia"

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Zhou, M. Z., and J. Xiao. "Study on Interaction between Treasury Futures and Interest Rate Liberalization." In 2015 International Conference on Electrical, Automation and Mechanical Engineering. Paris, France: Atlantis Press, 2015. http://dx.doi.org/10.2991/eame-15.2015.79.

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Chen, An-Pin, Yu-Chia Hsu, Chien-Hua Huang, and Ya-Chun Yang. "Applying the Extended Classifier System to Trade Interest Rate Futures Based on Technical Analysis." In 2008 Eighth International Conference on Intelligent Systems Design and Applications (ISDA). IEEE, 2008. http://dx.doi.org/10.1109/isda.2008.219.

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Lleshaj, Llesh. "Volatility Estimation of Euribor and Equilibrium Forecasting." In 7th International Scientific Conference ERAZ - Knowledge Based Sustainable Development. Association of Economists and Managers of the Balkans, Belgrade, Serbia, 2021. http://dx.doi.org/10.31410/eraz.2021.171.

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Euribor rates (Euro Interbank Offered Rate) rates are considered to be the most important reference rates in the European money market. The interest rates do provide the basis for the price and interest rates of all kinds of financial products like interest rate swaps, interest rate futures, saving accounts and mortgages. Since September 2014, this index has per­formed with negative rates. In recent years, several European central banks have imposed negative interest rates on commercial banks, as the only way to stimulate their nations’ economies. Under these circumstances, the purpose of this study is to estimate the gap of the negative rates which are still increasing constantly. This fact puts in question the financial stability in many countries and the effect of monetary policy on stimulating economic growth around European countries. According to the daily data 2016 - 2021, this study has analyzed the volatility of the Euribor index related to efficient market hypothesis and volatility clustering. Applying advanced volatility econometric methods, GARCH volatility models are derived and the long-run equilibrium is predicted. Practical Implications are related to the empiri­cal impacts that ought to be taken into consideration by the banking sector and other financial institutions to make decisions with the Euribor index.
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Reports on the topic "Interest rate futures Australia"

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Koh, Annie, and Richard Levich. Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence. Cambridge, MA: National Bureau of Economic Research, August 1989. http://dx.doi.org/10.3386/w3055.

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Brassil, Anthony. The Consequences of Low Interest Rates for the Australian Banking Sector. Reserve Bank of Australia, December 2022. http://dx.doi.org/10.47688/rdp2022-08.

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There is a vast international literature exploring the consequences of low interest rates for various banking sectors. In this paper, I explore how this international literature relates to the Australian banking sector, which operates differently to other jurisdictions. In the face of low rates, the profitability of Australian banks has likely been less adversely affected than what the international literature would predict, but the flip side to this is that the pass-through of monetary policy to lending rates may have been more muted. I then use a recent advance in macrofinancial modelling to explore whether pass-through in Australia could turn negative – the so called 'reversal rate' – and find that the features of the Australian banking system mean a reversal rate is highly unlikely to exist in Australia.
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