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Central bank intervention and exchange rate volatility -- Australian evidence

Citations

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Cited by:

  1. Juan J. Echavarría & Luis F. Melo-Velandia & Mauricio Villamizar-Villegas, 2018. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," Empirical Economics, Springer, vol. 55(3), pages 1319-1336, November.
  2. Ordoñez-Callamand, Daniel & Hernandez-Leal, Juan D. & Villamizar-Villegas, Mauricio, 2018. "When multiple objectives meet multiple instruments: Identifying simultaneous monetary shocks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 78-101.
  3. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, vol. 87(Nov), pages 685-718.
  4. Koji Kubo, 2017. "Impacts of Foreign Exchange Auctions on the Informal Market Rate in Myanmar," Global Economic Review, Taylor & Francis Journals, vol. 46(2), pages 189-202, April.
  5. Jonathan Kearns & Roberto Rigobon, 2002. "Identifying the Efficacy of Central Bank Interventions: The Australian Case," NBER Working Papers 9062, National Bureau of Economic Research, Inc.
  6. Jonathan Kearns & Roberto Rigobon, 2003. "Identifying the Efficacy of Central Bank Interventions: Evidence from Australia," RBA Research Discussion Papers rdp2003-04, Reserve Bank of Australia.
  7. Neely, Christopher J., 2008. "Central bank authorities' beliefs about foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 27(1), pages 1-25, February.
  8. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, University Library of Munich, Germany.
  9. Suk-Joong Kim & Jeffrey Sheen, 2018. "Interventions in the Yen-Dollar Spot Market: A Story of Price, Volatility and Volume," World Scientific Book Chapters, in: Information Spillovers and Market Integration in International Finance Empirical Analyses, chapter 3, pages 73-106, World Scientific Publishing Co. Pte. Ltd..
  10. Biswajit Banerjee & Juraj Zeman & Ľudovít Ódor & William O. Riiska, 2018. "On the Effectiveness of Central Bank Intervention in the Foreign Exchange Market: The Case of Slovakia, 1999–2007," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(3), pages 442-474, September.
  11. Eria Hisali, 2012. "The Efficacy Of Central Bank Intervention On The Foreign Exchange Market: Uganda'S Experience," Journal of International Development, John Wiley & Sons, Ltd., vol. 24(2), pages 185-207, March.
  12. Yasin Kursat Onder & Mauricio Villamizar-Villegas, 2018. "The Effects of Monetary and Exchange Rate Policy Shocks: Evidence from an Emerging Market Economy," International Journal of Central Banking, International Journal of Central Banking, vol. 14(1), pages 159-199, January.
  13. Diwa C Guinigundo, 2013. "A note on the effectiveness of intervention in the foreign exchange market: the case of the Philippines," BIS Papers chapters, in: Bank for International Settlements (ed.), Sovereign risk: a world without risk-free assets?, volume 73, pages 263-277, Bank for International Settlements.
  14. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  15. Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
  16. Beine, Michel, 2003. "Volatility expectations and asymmetric effects of direct interventions in the FX market," Journal of the Japanese and International Economies, Elsevier, vol. 17(1), pages 55-80, March.
  17. Smita Roy Trivedi, 2020. "The Moses effect: can central banks really guide foreign exchange markets?," Empirical Economics, Springer, vol. 58(6), pages 2837-2865, June.
  18. Kiss M., Norbert, 2005. "A jegybanki devizapiaci intervenció hatékonysága. Nemzetközi tapasztalatok és elméleti megfontolások [Effectiveness of central-bank intervention on foreign-exchange markets. International experienc," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(11), pages 846-872.
  19. Fayyaz Hussain & Abdul Jalil, 2007. "Effectiveness of Foreign Exchange Intervention: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 191-208.
  20. Michel Beine & Ariane Szafarz, 2006. "Size matters: Central bank interventions on the Yen/Dollar exchange rate," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 49(1), pages 5-20.
  21. Bal??zs ??gert & Lubo?? Kom??rek, 2000. "Official Foreign Exchange Interventions in the Czech Republic: Did They Matter?," William Davidson Institute Working Papers Series wp760, William Davidson Institute at the University of Michigan.
  22. Juan Manuel Julio & Norberto Rodríguez & Héctor Manuel Zárate, 2005. "Estimating the COP Exchange Rate Volatility Smile and the Market Effect of Central Bank Interventions: A CHARN Approach," Borradores de Economia 2605, Banco de la Republica.
  23. Hali Edison & Paul Cashin & Hong Liang, 2006. "Foreign exchange intervention and the Australian dollar: has it mattered?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 155-171.
  24. Tolga Caskurlu & Mustafa C. Pinar & Aslihan Salih & Ferhan Salman, 2008. "Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach Using Constrained Nonlinear Programming," Working Papers 0806, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  25. Seojin Lee & Young Min Kim, 2020. "Effect of foreign exchange intervention: The case of Korea," Pacific Economic Review, Wiley Blackwell, vol. 25(5), pages 641-659, December.
  26. Michael Smith & Andrew Pitts, 2006. "Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 425-451.
  27. Yin Germaschewski & Jaroslav Horvath & Jiansheng Zhong, 2022. "Oral interventions in the foreign exchange market: evidence from Australia," Empirical Economics, Springer, vol. 62(6), pages 2713-2737, June.
  28. Sideris, Dimitrios A., 2008. "Foreign exchange intervention and equilibrium real exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 344-357, October.
  29. Fatum, Rasmus & Yamamoto, Yohei, 2014. "Large versus small foreign exchange interventions," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 114-123.
  30. Egert, Balazs & Komarek, Lubos, 2006. "Foreign exchange interventions and interest rate policy in the Czech Republic: Hand in glove?," Economic Systems, Elsevier, vol. 30(2), pages 121-140, June.
  31. Domac, Ilker & Mendoza, Alfonso, 2004. "Is there room for foreign exchange interventions under an inflation targeting framework ? Evidence from Mexico and Turkey," Policy Research Working Paper Series 3288, The World Bank.
  32. Zoe McLaren, 2002. "The Effectiveness Of Reserve Bank Of Australia Foreign Exchange Intervention," Department of Economics - Working Papers Series 849, The University of Melbourne.
  33. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
  34. Michel Beine & Ariane Szafarz, 2003. "The design of effective Central Bank interventions: the yen/dollar case," Working Papers CEB 03-008.RS, ULB -- Universite Libre de Bruxelles.
  35. Broto, Carmen, 2013. "The effectiveness of forex interventions in four Latin American countries," Emerging Markets Review, Elsevier, vol. 17(C), pages 224-240.
  36. Stefan Reitz & Jan C. Rülke & Mark P. Taylor, 2011. "On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates," The Economic Record, The Economic Society of Australia, vol. 87(278), pages 465-479, September.
  37. Daniel Ordoñez‐Callamand & Mauricio Villamizar‐Villegas & Luis F. Melo‐Velandia, 2018. "Foreign exchange intervention revisited: A new way of estimating censored models," International Finance, Wiley Blackwell, vol. 21(2), pages 195-213, June.
  38. Zulfiqar Hyder & Muhammad Mazhar Khan, 2007. "Monetary Conditions Index for Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 3, pages 165-190.
  39. Christelle Lecourt & Helene Raymond, 2006. "Central bank interventions in industrialized countries: a characterization based on survey results," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 123-138.
  40. Grossmann, Axel & Orlov, Alexei G., 2022. "Exchange rate misalignments, capital flows and volatility," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  41. repec:bla:intfin:v:6:y:2003:i:2:p:249-71 is not listed on IDEAS
  42. Grossmann, Axel & Love, Inessa & Orlov, Alexei G., 2014. "The dynamics of exchange rate volatility: A panel VAR approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 1-27.
  43. Shawn Chen‐Yu Leu, 2009. "Managed Floating in Australia," Economic Papers, The Economic Society of Australia, vol. 28(4), pages 310-322, December.
  44. Christopher J. Neely, 2006. "Identifying the effects of U.S. intervention on the levels of exchange rates," Working Papers 2005-031, Federal Reserve Bank of St. Louis.
  45. Bal??zs ??gert & Maroje Lang, 2005. "Foreign Exchange Interventions in Croatia and Turkey: Should We Give a Damn?," William Davidson Institute Working Papers Series wp755, William Davidson Institute at the University of Michigan.
  46. ABBUY, Kwami Edem, 2018. "An Empirical Test for the Effectiveness of Central Bank Interventions in Foreign Exchange Markets: An Application to the Canadian and Swiss Central Banks," MPRA Paper 89647, University Library of Munich, Germany.
  47. O. P. C. Muhammed Rafi & M. Ramachandran, 2018. "Capital flows and exchange rate volatility: experience of emerging economies," Indian Economic Review, Springer, vol. 53(1), pages 183-205, December.
  48. Olga S. Kuznetsova & Sofiya R. Ulyanova, 2016. "The Impact Of A Central Bank’S Verbal Interventions On Stock Exchange Indices In A Resource Based Economy: The Evidence From Russia," HSE Working papers WP BRP 155/EC/2016, National Research University Higher School of Economics.
  49. Kim, Suk-Joong & Pham, Cyril Minh Dao, 2006. "Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986-2003," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 16(5), pages 446-467, December.
  50. Kisukyabo Simwaka & Leslie Kwacha Mkandawire, 2004. "The Efficacy of Foreign Exchange Market Intervention in Malawi," Macroeconomics 0407022, University Library of Munich, Germany.
  51. Jinzhao Chen, 2023. "The "real" exchange rate regime in China since 2015's exchange rate reform," Post-Print hal-04402467, HAL.
  52. Rogers, J. M. & Siklos, P. L., 2003. "Foreign exchange market intervention in two small open economies: the Canadian and Australian experience," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 393-416, June.
  53. Balázs Égert & Maroje Lang, 2006. "Foreign exchange interventions in a small emerging market: the case of Croatia," Economic Change and Restructuring, Springer, vol. 39(1), pages 35-62, June.
  54. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2004. "Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 140(3), pages 709-729, September.
  55. Simwaka, Kisu, 2006. "The effectiveness of official intervention in foreign exchange market in Malawi," MPRA Paper 1123, University Library of Munich, Germany.
  56. Viola, Alessandra Pasqualina & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & da Silveira Barbedo, Claudio Henrique, 2019. "Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach," Research in International Business and Finance, Elsevier, vol. 47(C), pages 251-263.
  57. Ilker Domac & Alfonso Mendoza, 2002. "Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey," Discussion Papers 0206, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  58. Michael R. King, 2003. "Effective Foreign Exchange Intervention: Matching Strategies with Objectives," International Finance, Wiley Blackwell, vol. 6(2), pages 249-271, July.
  59. Suardi, Sandy, 2008. "Central bank intervention, threshold effects and asymmetric volatility: Evidence from the Japanese yen-US dollar foreign exchange market," Economic Modelling, Elsevier, vol. 25(4), pages 628-642, July.
  60. Andrea Monticini & Giacomo Vaciago, 2007. "Are Euro Interest Rates led by FED Announcements?," Money Macro and Finance (MMF) Research Group Conference 2006 16, Money Macro and Finance Research Group.
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