On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Stefan Reitz; Jan C. Rülke; Mark P. Taylor

doi:10.1111/j.1475-4932.2011.00723.x

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Stefan Reitz
, Jan C. Rülke
, Mark P. Taylor

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

This article 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. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This is in line with the so-called coordination channel of intervention effectiveness.

Original language	English
Pages (from-to)	465-479
Number of pages	15
Journal	Economic Record
Volume	87
Issue number	278
DOIs	https://doi.org/10.1111/j.1475-4932.2011.00723.x
State	Published - Sep 2011

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10.1111/j.1475-4932.2011.00723.x

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title = "On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates",

abstract = "This article 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. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This is in line with the so-called coordination channel of intervention effectiveness.",

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AB - This article 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. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This is in line with the so-called coordination channel of intervention effectiveness.

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On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

Abstract

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