Research Discussion Paper – RDP 2016-11 Identifying Interbank Loans from Payments Data

Contents

• Introduction
• The Australian Payments System and IBOC Market
• The Algorithm
• Accuracy of the Algorithm
• Features of the Market
• Conclusions and Future Research
• Appendix A: Literature Review
• Appendix B: Detailed Description of the Algorithm
• Appendix C: Expanding the Interest Rate Range
• Appendix D: Derivation of the Model
• References

We thank Chris Aylmer, John Bagnall, Chris Becker, Belinda Cheung, Alison Clark, Timoth De Atholia, Nick Garvin, David Hughes, David Olivan, Matthew Read and John Simon for advice, comments, and provision of the data. The views expressed in this paper are those of the authors and do not necessarily reflect the views of the Reserve Bank of Australia. The authors are solely responsible for any errors.