On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates.

• Autores: Stefan Reitz, Jan C. Rülke, Mark P. Taylor
• Localización: Economic record, ISSN 0013-0249, Vol. 87, Nº. 278, 2011, págs. 465-479
• Idioma: inglés
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• Resumen

  • 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.