کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964379 | 930517 | 2006 | 22 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986–2003 Is foreign exchange intervention by central banks bad news for debt markets?: A case of Reserve Bank of Australia's interventions 1986–2003](/preview/png/964379.png)
We investigate the effects of the Reserve Bank of Australia's foreign exchange interventions on the USD/AUD market and 90-day and 10-year interest rate futures markets for the period July 1986–December 2003. Using recently released revised and updated intervention data, we investigate contemporaneous and disaggregated intervention influences and find significant evidence for (i) intervention effectiveness in moderating the contemporaneous exchange rate movements especially if interventions were cumulative and large, (ii) exchange rate volatility reducing effect with a day's lag, (iii) undesirable interest rate movements following interventions in some periods compromising monetary policy effectiveness, and (iv) a volatility reducing effect of cumulative interventions in the 90-day rate, and a volatility increasing effect of large interventions in both the 90-day and 10-year rate futures. These findings are a unique and significant contribution to the prevailing literature as they demonstrate that the RBA's interventions matter not only for the foreign exchange market but also for the debt markets.
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 5, December 2006, Pages 446–467