کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964204 930490 2011 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses
چکیده انگلیسی

We estimate the approximate intraday timing of interventions by the Reserve Bank of Australia (RBA) in the onshore and offshore USD/AUD markets for the period of 1996–2006. We use a more accurate measure of intervention that excludes transactions with the government as well as high frequency tick-by-tick quote data on the USD/AUD exchange rate. The RBA's interventions are detected in the late Sydney onshore period, early European market, and again in the early New York market hours. Furthermore, evidence suggests that the RBA chooses those hours of higher volume, lower volatility and lower bid/ask spreads to conduct its non-intervention transactions. These results have important implications not only for institutions and corporations with a need to transact in the market, but also for hedge funds and other traders that may profit by trading against the RBA.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 21, Issue 2, April 2011, Pages 277–295
نویسندگان
, ,