期刊名称：Discussion Paper / Series 1, Economic Studies / Deutsche Bundesbank
出版年度：2010
出版社：Deutsche Bundesbank
摘要：This 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. --
关键词：Foreign exchange intervention; market microstructure; smooth transition; nonlinear mean reversion;
