Journal Article

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


  • Reitz
  • S.
  • Rülke
  • J.C.
  • Taylor
  • M.P.
Publication Date

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.


JEL Classification
C10, F31, F41