Journal Article

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

The Economic Record

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.

Authors

Stefan Reitz
Jan C. Rülke
Mark P. Taylor

Info

Publication Date
JEL Classification
C10, F31, F41