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Interest Rates Historical Data for Australia - Interbank and Target Cash Rates

by Patrick Fonce, 2541 days ago
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The cash rate is the interest rate at which banks lend money to each other. This overnight money market interest rate should follow the cash rate target decided by a central bank and this can be achieved using different operations in order to influence the supply of money of the economy.

The Reserve Bank of Australia releases an excel document that contains the target rate, the overnight money market interest rate (Interbank rate), the 30/90/180 days Bank accepted bills (Three indices) and the 1/3/6 months overnight indexed swaps (Three indices). All these rates are downloaded and parsed by this item. The result is stored in the following ticker symbols: ^IR_TargetRate, ^IR_InterbankRate, ^IR_BankABill_30, ^IR_BankABill_90, ^IR_BankABill_180, ^IR_OvernightSwap_1, ^IR_OvernightSwap_3, ^IR_OvernightSwap_6.

Interest Rate Decisions or changes in the cash rate decided by the Reserve Bank of Australia can be obtained and calculated using the interest target rate (cash target rate). As an example you can create a variable that gets "1" on bars where a change in interest rate target has been made using the following formula:
a = GetSeries("^IR_TARGETRATE", close, NA);
change1 = (a != ref(a, 1));
This trading formula simply gets the interest target rate time-series and then returns one when the current bar's rate is different from previous bar's rate.

The cash target rate decided by the Federal Reserve (federal funds target rate) in the United States is available here Federal Funds - target rate, and the interbank rate can be downloaded using the following trading object: Federal funds effective rate.




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Type: Download Script

Object ID: 779


Country:
Australia

Market: Economic

Style:
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