Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32548 
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dc.contributor.authorReitz, Stefanen
dc.contributor.authorRuelke, Jan C.en
dc.contributor.authorTaylor, Mark P.en
dc.date.accessioned2010-05-18-
dc.date.accessioned2010-05-20T14:19:33Z-
dc.date.available2010-05-20T14:19:33Z-
dc.date.issued2010-
dc.identifier.isbn978-3-86558-611-7en
dc.identifier.urihttp://hdl.handle.net/10419/32548-
dc.description.abstractThis 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.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2010,08en
dc.subject.jelC10en
dc.subject.jelF31en
dc.subject.jelF41en
dc.subject.ddc330en
dc.subject.keywordForeign exchange interventionen
dc.subject.keywordmarket microstructureen
dc.subject.keywordsmooth transitionen
dc.subject.keywordnonlinear mean reversionen
dc.subject.stwWechselkurspolitiken
dc.subject.stwWirkungsanalyseen
dc.subject.stwWechselkursen
dc.subject.stwUS-Dollaren
dc.subject.stwDevisenmarkten
dc.subject.stwMikrostrukturanalyseen
dc.subject.stwNichtlineares Verfahrenen
dc.subject.stwSchätzungen
dc.subject.stwAustralienen
dc.titleOn the nonlinear influence of Reserve Bank of Australia interventions on exchange rates-
dc.typeWorking Paperen
dc.identifier.ppn626257611en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:201008en

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