RDP 2003-04: Identifying the Efficacy of Central Bank Interventions: Evidence from Australia References

Almekinders GJ and SCW Eijffinger (1996), ‘A friction model of daily Bundesbank and Federal Reserve intervention’, Journal of Banking and Finance, 20(8), pp 1365–1380.

Andrew R and J Broadbent (1994), ‘Reserve Bank Operations in the Foreign Exchange Market: Effectiveness and Profitability’, Reserve Bank of Australia Research Discussion Paper No 9406.

Baillie RT and WP Osterberg (1997a), ‘Central bank intervention and risk in the forward market’, Journal of International Economics, 43(3/4), pp 483–497.

Baillie RT and WP Osterberg (1997b), ‘Why do central banks intervene?’, Journal of International Money and Finance, 16(6), pp 909–919.

Bhattacharya U and P Weller (1997), ‘The advantage to hiding one's hand: Speculation and central bank intervention in the foreign exchange market’, Journal of Monetary Economics, 39(2), pp 251–277.

BIS (Bank for International Settlements) (1993), Central Bank Survey of Foreign Exchange Market Activity 1992, BIS, Basle.

Bonser-Neal C and G Tanner (1996), ‘Central bank intervention and the volatility of foreign exchange rates: evidence from the options market’, Journal of International Money and Finance, 15(6), pp 853–878.

Chang Y and SJ Taylor (1998), ‘Intraday effects of foreign exchange intervention by the Bank of Japan’, Journal of International Money and Finance, 17(1), pp 191–210.

Cheung YW and CYP Wong (2000), ‘A survey of market practitioners’ views on exchange rate dynamics', Journal of International Economics, 51(2), pp 401–419.

Dominguez KM (1998), ‘Central bank intervention and exchange rate volatility’, Journal of International Money and Finance, 17(1), pp 161–190.

Dominguez KM (2003), ‘The market microstructure of central bank intervention’, Journal of International Economics, 59(1), pp 25–45.

Dominguez KM and JA Frankel (1993a), ‘Does Foreign Exchange Intervention Matter? The Portfolio Effect’, American Economic Review, 83(5), pp 1356–1369.

Dominguez KM and JA Frankel (1993b), Does Foreign Exchange Intervention Work?, Institute of International Economics, Washington DC.

Dominguez KM and JA Frankel (1993c), ‘Foreign Exchange Intervention: An Empirical Assessment’, in JA Frankel (ed), On Exchange Rates, MIT Press, Cambridge, pp 327–345.

Edison HJ (1993), The Effectiveness of Central-Bank Intervention: A Survey of the Literature after 1982, Princeton University, Studies in International Economics No 18.

Evans MDD and RK Lyons (2001), ‘Portfolio Balance, Price Impact, and Secret Intervention’, NBER Working Paper No 8356.

Fatum R and M Hutchison (1999), ‘Is Intervention a Signal of Future Monetary Policy? Evidence from the Federal Funds Futures Market’, Journal of Money, Credit and Banking, 31(1), pp 54–69.

Fischer AM and M Zurlinden (1999), ‘Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices’, The Economic Journal, 109(458), pp 662–676.

Ghosh AR (1992), ‘Is it signalling? Exchange intervention and the dollar-Deutschemark rate’, Journal of International Economics, 32(3/4), pp 201–220.

Goodhart CAE and T Hesse (1993), ‘Central bank forex intervention assessed in continuous time’, Journal of International Money and Finance, 12(4), pp 368–389.

Kaminsky GL and KK Lewis (1996), ‘Does foreign exchange intervention signal future monetary policy?’, Journal of Monetary Economics, 37(2), pp 285–312.

Kim SJ, T Kortian and JR Sheen (2000), ‘Central bank intervention and exchange rate volatility – Australian evidence’, Journal of International Financial Markets, Institutions and Money, 10(3/4), pp 381–405.

Kim SJ and J Sheen (2002), ‘The determinants of foreign exchange intervention by central banks: evidence from Australia’, Journal of International Money and Finance, 21(5), pp 619–649.

Lewis KK (1995a), ‘Are Foreign Exchange Intervention and Monetary Policy Related, and Does It Really Matter?’, Journal of Business, 68(2), pp 185–214.

Lewis KK (1995b), ‘Occasional Interventions to Target Rates’, American Economic Review, 85(4), pp 691–715.

Macfarlane I (1998), ‘Speech to Asia Pacific Forex Congress’, speech delivered at 1998 Asia Pacific Forex Congress, Sydney, 27 November, available at <http://www.rba.gov.au/Speeches/1998/sp_gov_271198.html>.

Mussa M (1981), ‘The Role of Official Intervention’, Group of Thirty Occasional Papers No 6.

Neely CJ (1998), ‘Technical Analysis and the Profitability of U.S. Foreign Exchange Intervention’, Federal Reserve Bank of St. Louis Review, 80(4), pp 3–17.

Neely CJ (2001), ‘The Practice of Central Bank Intervention: Looking under the Hood’, Federal Reserve Bank of St. Louis Review, 83(3), pp 1–10.

Peiers B (1997), ‘Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market’, Journal of Finance, 52(4), pp 1589–1614.

Rankin R (1998), ‘The Exchange Rate and the Reserve Bank's Role in the Foreign Exchange Market’, available at <http://www.rba.gov.au/PublicationsAndResearch/Education/Exchange_Rate.html>.

Rogers JM and PL Siklos (2001), ‘Foreign Exchange Market Intervention in Two Small Open Economies: The Canadian and Australian Experience’, Journal of International Money and Finance, forthcoming.

Rogoff K (1984), ‘On the Effects of Sterilized Intervention: An Analysis of Weekly Data’, Journal of Monetary Economics, 14(2), pp 133–150.

Sarno L and MP Taylor (2001), ‘Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?’, Journal of Economic Literature, 39(3), pp 839–868.

Schwartz AJ (2000), ‘The Rise and Fall of Foreign Exchange Market Intervention’, NBER Working Paper No 7751.

Vitale P (1999), ‘Sterilised central bank intervention in the foreign exchange market’, Journal of International Economics, 49(2), pp 245–267.