{
  "title": "Foreign Exchange Intervention and the Australian Dollar: Has it Mattered?",
  "publication": "IMF Working Papers, May 1, 2003",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/foreign-exchange-intervention-and-the-australian-dollar-has-it-mattered-16515",
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  "summary": "Since the Australian dollar was floated in December 1983, the Australian central bank (Reserve Bank of Australia) has actively intervened in the foreign exchange market.",
  "sections": [
    {
      "heading": "Overview and scope",
      "content": "- Authors: Hong Liang, Paul Cashin, Hali J Edison\n- Publication date: May 1, 2003\n- Data period analyzed: January 1984 to December 2001\n- Context: Australian dollar floated in December 1983; Reserve Bank of Australia (RBA) has actively intervened in the foreign exchange market since then.\n- Methods summarized: event study to evaluate direct effect on exchange rate level; volatility analysis using GARCH modeling and first-differenced exchange rate series."
    },
    {
      "heading": "Key findings on exchange rate level",
      "content": "- Over the period 1997-2001, the RBA \"has had some success in its intervention operations, by moderating the depreciating tendency of the Australian dollar.\"\n- Overall effect of RBA intervention on the level of the Australian dollar exchange rate: \"quite modest.\""
    },
    {
      "heading": "Key findings on exchange rate volatility",
      "content": "- Intervention operations tend to be associated with an increase in exchange rate volatility.\n- Interpretation: official intervention \"may have added to market uncertainty.\"\n- Overall effect of RBA intervention on volatility: \"quite modest.\""
    },
    {
      "heading": "Methods and evidence",
      "content": "- Data: daily exchange rate and official intervention data from January 1984 to December 2001.\n- Analytical approaches:\n  - Event study to measure direct, short-run effects of intervention on the exchange rate level.\n  - GARCH model and volatility analysis to assess the effects of intervention policies on exchange rate volatility over the floating rate period.\n- Exchange rate series: use of first-differenced exchange rate series is noted among keywords."
    },
    {
      "heading": "Subjects and thematic keywords",
      "content": "- Subjects: Currencies, Currency markets, Exchange rate adjustments, Exchange rates, Financial markets, Foreign exchange, Foreign exchange intervention, Money\n- Keywords: capturing RBA, central bank intervention, Currencies, Currency markets, exchange rate, Exchange rate adjustments, exchange rate data, exchange rate movement, exchange rate volatility, Exchange rates, first-differenced exchange rate series, Foreign exchange intervention, GARCH model, GARCH modeling, intervention episode, RBA intervention, RBA's intervention action, WP\n\n---\n\n Content in this bundle\n\n- Foreign Exchange Intervention and the Australian Dollar: Has It Mattered? - WP/03/99\n  - Foreign Exchange Intervention and the Australian Dollar: Has It Mattered? - WP/03/99 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Foreign Exchange Intervention and the Australian Dollar: Has It Mattered? - WP/03/99 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/foreign-exchange-intervention-and-the-australian-dollar-has-it-mattered-16515"
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    "Authors: Hong Liang, Paul Cashin, Hali J Edison",
    "Published: May 1, 2003",
    "Series: IMF Working Papers",
    "Authors: Hong Liang, Paul Cashin, Hali J Edison",
    "Publication date: May 1, 2003",
    "Data period analyzed: January 1984 to December 2001",
    "Context: Australian dollar floated in December 1983; Reserve Bank of Australia (RBA) has actively intervened in the foreign exchange market since then.",
    "Methods summarized: event study to evaluate direct effect on exchange rate level; volatility analysis using GARCH modeling and first-differenced exchange rate series.",
    "Over the period 1997-2001, the RBA \"has had some success in its intervention operations, by moderating the depreciating tendency of the Australian dollar.\"",
    "Overall effect of RBA intervention on the level of the Australian dollar exchange rate: \"quite modest.\"",
    "Intervention operations tend to be associated with an increase in exchange rate volatility.",
    "Interpretation: official intervention \"may have added to market uncertainty.\"",
    "Overall effect of RBA intervention on volatility: \"quite modest.\"",
    "Data: daily exchange rate and official intervention data from January 1984 to December 2001.",
    "Analytical approaches:",
    "Exchange rate series: use of first-differenced exchange rate series is noted among keywords.",
    "Subjects: Currencies, Currency markets, Exchange rate adjustments, Exchange rates, Financial markets, Foreign exchange, Foreign exchange intervention, Money",
    "Keywords: capturing RBA, central bank intervention, Currencies, Currency markets, exchange rate, Exchange rate adjustments, exchange rate data, exchange rate movement, exchange rate volatility, Exchange rates, first-differenced exchange rate series, Foreign exchange intervention, GARCH model, GARCH modeling, intervention episode, RBA intervention, RBA's intervention action, WP",
    "**Foreign Exchange Intervention and the Australian Dollar: Has It Mattered? - WP/03/99**"
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