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Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/32548
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| Title: | | On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates  |
| Authors: | | Reitz, Stefan Ruelke, Jan C. Taylor, Mark P. |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion Paper Series 1: Economic Studies 2010,08 |
| 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. |
| Subjects: | | Foreign exchange intervention market microstructure smooth transition nonlinear mean reversion |
| JEL: | | C10 F31 F41 |
| ISBN: | | 978-3-86558-611-7 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank
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