@techreport{Reitz2010nonlinear,
abstract = {This paper 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 in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness.},
address = {Frankfurt, M.},
author = {Stefan Reitz and Jan C. Ruelke and Mark P. Taylor},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-86558-611-7},
keywords = {C10; F31; F41; 330; Foreign exchange intervention; market microstructure; smooth transition; nonlinear mean reversion; Wechselkurspolitik; Wirkungsanalyse; Wechselkurs; US-Dollar; Devisenmarkt; Mikrostrukturanalyse; Nichtlineares Verfahren; Sch\"{a}tzung; Australien},
language = {eng},
number = {2010,08},
publisher = {Dt. Bundesbank},
title = {On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates},
type = {Discussion Paper Series 1: Economic Studies},
url = {http://hdl.handle.net/10419/32548},
year = {2010}
}

