EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/32548
  
Title:On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates PDF Logo
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

Files in This Item:
File Description SizeFormat
626257611.pdf509.19 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/32548

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.