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On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates
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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. doi:10.1111/j.1475-4932.2011.00723.x ISSN 0013-0249.
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Official URL: http://dx.doi.org/10.1111/j.1475-4932.2011.00723.x
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 | ||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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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 | ||||
Official Date: | September 2011 | ||||
Dates: |
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Volume: | Vol.87 | ||||
Number: | No.278 | ||||
Number of Pages: | 15 | ||||
Page Range: | pp. 465-479 | ||||
DOI: | 10.1111/j.1475-4932.2011.00723.x | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
Data sourced from Thomson Reuters' Web of Knowledge
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