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https://hdl.handle.net/10419/32548
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Reitz, Stefan | en |
dc.contributor.author | Ruelke, Jan C. | en |
dc.contributor.author | Taylor, Mark P. | en |
dc.date.accessioned | 2010-05-18 | - |
dc.date.accessioned | 2010-05-20T14:19:33Z | - |
dc.date.available | 2010-05-20T14:19:33Z | - |
dc.date.issued | 2010 | - |
dc.identifier.isbn | 978-3-86558-611-7 | en |
dc.identifier.uri | http://hdl.handle.net/10419/32548 | - |
dc.description.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. | en |
dc.language.iso | eng | en |
dc.publisher | |aDeutsche Bundesbank |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aDiscussion Paper Series 1 |x2010,08 | en |
dc.subject.jel | C10 | en |
dc.subject.jel | F31 | en |
dc.subject.jel | F41 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Foreign exchange intervention | en |
dc.subject.keyword | market microstructure | en |
dc.subject.keyword | smooth transition | en |
dc.subject.keyword | nonlinear mean reversion | en |
dc.subject.stw | Wechselkurspolitik | en |
dc.subject.stw | Wirkungsanalyse | en |
dc.subject.stw | Wechselkurs | en |
dc.subject.stw | US-Dollar | en |
dc.subject.stw | Devisenmarkt | en |
dc.subject.stw | Mikrostrukturanalyse | en |
dc.subject.stw | Nichtlineares Verfahren | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Australien | en |
dc.title | On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 626257611 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:bubdp1:201008 | en |
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