Reitz, Stefan, Ruelke, Jan C. and Taylor, Mark P.. (2011) On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates. Economic Record, Vol.87 (No.278). pp. 465-479. ISSN 0013-0249

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Abstract

This article applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders’ confidence in fundamental analysis. This is in line with the so-called coordination channel of intervention effectiveness.

Item Type:	Journal Article
Subjects:	H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Reserve Bank of Australia, Foreign exchange rates -- Australia -- Econometric models, Foreign exchange administration -- Australia, Econometric models, Arbitrage -- Australia
Journal or Publication Title:	Economic Record
Publisher:	Wiley-Blackwell Publishing Asia
ISSN:	0013-0249
Date:	September 2011
Volume:	Vol.87
Number:	No.278
Number of Pages:	15
Page Range:	pp. 465-479
Identification Number:	10.1111/j.1475-4932.2011.00723.x
Status:	Peer Reviewed
Publication Status:	Published
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URI:	http://wrap.warwick.ac.uk/id/eprint/38488

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