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Introducing overnight indexed swaps

Author

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  • Wai Kin Choy

    (Reserve Bank of New Zealand)

Abstract

Last year, a new type of financial instrument - the Overnight Indexed Swap (OIS) - was introduced to New Zealand. This article is intended as a primer, explaining what the OIS is and how it is used by market participants to manage interest rate risks and to take a view on the direction of the Official Cash Rate (OCR). From the Bank's perspective, we are most interested in using OIS yields to derive estimates of market expectations of the OCR. This article also highlights developments in the New Zealand OIS market to date.

Suggested Citation

  • Wai Kin Choy, 2003. "Introducing overnight indexed swaps," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 66, March.
    • Handle: RePEc:nzb:nzbbul:march2003:4
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    File URL: http://www.rbnz.govt.nz/-/media/ReserveBank/Files/Publications/Bulletins/2003/2003mar66-1choy.pdf
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    Cited by:

    1. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
    2. Aron Drew & Özer Karagedikli, 2007. "Some Benefits of Monetary-Policy Transparency in New Zealand," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
    3. Bevan Cook & Daan Steenkamp, 2018. "Funding cost pass-through to mortgage rates," Reserve Bank of New Zealand Analytical Notes series AN2018/02, Reserve Bank of New Zealand.

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