Foreign exchange market intervention in two small open economies: The Canadian and Australian experience

Journal of International Money and Finance

Volumn 22, Issue 3, 2003, Pages 393-416

  Rogers, J M ^a   Siklos, P L ^b  

^a KPMG   (Netherlands)

^b WILFRID LAURIER UNIVERSITY   (Canada)

Author keywords

Foreign exchange intervention; Implied volatility; Kurtosis

Indexed keywords

EID: 0037565218     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(03)00014-7     Document Type: Article

References (43)

1. Amano, R.A., Wirjanto, T.S., 1994. A further analysis of exchange rate targeting in Canada, Bank of Canada Working Paper, February, 94-2.
2. Alkeminders G.J. Eijffinger S.C.W. Daily Bundesbank and Federal Reserve intervention-are they reaction to changes in the level and volatility of the DM/$ rate? Empirical Economics 19 1994 111-130
3. Alkeminders G.J. Eijffinger S.C.W. A friction model of daily Bundesbank and federal reserve intervention Journal of Banking and Finance 20 1996 1365-1380
4. Almeida A. Goodhart C.A.E. Does the adoption of inflation targets affect central bank behaviour? Banca Nazionale del Lavero Quarterly Review March 1998 19-107
5. Baillie R.T. Osterberg W.P. Why do central banks intervene? Journal of International Money and Finance 16 6 1997 909-919
6. Bank of Canada, 1999. Monetary Policy Report, November.
7. Beattie, N., Fillion, J.-F., 1999. An intraday analysis of the effectiveness of foreign exchange interventions, Bank of Canada Working Paper 99-4 (February).
8. Bonser-Neal C. Does central bank intervention stabilize foreign exchange rates? Federal Reserve Bank of Kansas City Economic Review, 1st Quarter 81 1 1996 43 -57
9. Bonser-Neal C. Tanner G. Central bank intervention and the volatility of foreign exchange rates: evidence from the option markets Journal of International Money and Finance 15 December 1996 853-877
10. Campbell, F., Lewis, E., 1998. What moves yields in Australia? Reserve Bank of Australia Research Discussion Paper 9808 (July).
11. Campbell J.Y. Lo A.W. MacKinlay A.C. The Econometrics of Financial Markets 1997 Princeton University Press Princeton, NJ
12. Côté, A., 1994. Exchange rate volatility and trade: a survey. Bank of Canada Working Paper 94-5.
13. Den Haan W. Spear S. Volatility clustering in real interest rates: theory and evidence Journal of Monetary Economics 41 3 1998 444-461
14. EDominguez K.M. Central bank intervention and exchange rate volatility Journal of International Money and Finance 17 February 1998 161-198
15. Dominguez, K., Frankel, J., 1993. Does Foreign Exchange Intervention Work? Institute for International Economics, Washington, D.C.
16. Edison, H., 1993. The effectiveness of central bank intervention: A survey of the post-1992 literature. Special Papers in International Economics, No. 18, Princeton University, Princeton, NJ.
17. Fatum, R., Hutchison, M., 1999. Is sterilized foreign exchange intervention effective at all? An event study approach, unpublished, UC Santa Cruz, February.
18. Hull J.C. Introduction to Futures and Options Markets second ed 1995 Prentice Hall NJ
19. Hung J. Intervention strategies and exchange rate volatility: a noise trading perspective Journal of International Money and Finance 16 5 1997 779-793
20. Kim S.-J. Kortian T. Sheen J. Central bank intervention and exchange rate volatility-Australian evidence Journal of International Financial Markets, Institutions and Money 10 Sept-Dec 2000 381-405
21. Kim S.-J. Sheen J. The Determinants of Foreign Exchange Intervention by Central Banks: Evidence from Australia Journal of International Money and Finance 21 5 2002 619-649
22. Leahy, M.P., Thomas, C.P., 1996. The Sovereignty Option: The Quebec Referendum and Market Views on the Canadian Dollar. Board of Governor of the Federal Reserve System, International Finance Discussion Papers #555.
23. ELevin A. McManus D.J. Watt D.G. The information content of Canadian dollar futures options Information in Financial Asset Prices, Proceings of a conference held at the Bank of Canada, May 1998 1998 229-275 Bank of Canada Ottawa
24. EMartinez G.A. Extracting market views from option prices The Journal of Futures Markets 18 1 1998 1-34
25. McManus D. The Information Content of Interest Rate Futures Options, Working Paper 1999 Bank of Canada
26. Melick W.R. Thomas C.P. Confidence intervals and constant maturity series for probability measures extracted from option prices Information in Financial Asset Prices, Proceings of a conference held at the Bank of Canada, May 1998 1998 293-320 Bank of Canada Ottawa
27. Melick, W., 1999. Results of the estimation of implied PDFs from a common data set. In: Estimating and Interpreting PDFs, A Workshop held at the BIS, June 14.
28. Melick W.R. Thomas C.P. Recovering an asset's implied PDF from option prices: an application to crude oil during the gulf crisis Journal of Financial and Quantitative Analysis 32 1 1996 91-115
29. Mills T.C. The Econometric Modelling of Financial Time Series 1999 Cambridge University Press Cambridge
30. Murray, J., 1999. Why Canada Needs a Flexible Exchange Rate, Bank of Canada Working Paper 99-12, July.
31. Murray, J., van Norden, S., Vigfusson, R., 1996. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined? Technical Report No. 76, Bank of Canada, Ottawa.
32. Murray, J., Zelmer, M., McManus, D., 1997. The effect of intervention on Canadian dollar volatility. Exchange Rates and Monetary Policy, Proceedings of a conference held at the Bank of Canada, October 1996. Bank of Canada, Ottawa, pp. 311-361.
33. Murray, J., Zelmer, M., Williamson, S., 1990. Measuring the Profitability and Effectiveness of Foreign Exchange Market Intervention: Some Canadian Evidence, Technical Report No. 53, March, Bank of Canada, Ottawa.
34. Phillips L. Pippenger J. Stabilization of the Canadian dollar: 1975-1986 Canadian Journal of Economics 26 2 1993 1589-1614
35. Rankin, B., 1998. The exchange rate and the reserve bank's role in the foreign exchange market, available at www.rba.gov.au/publ/puachhtml.
36. Sarno L. Taylor M.P. Official intervention in the foreign exchange market: is it effective and, if so, how does it work? Journal of Economic Literature 39 September 2001 839-868
37. Siklos P.L. Is the MCI a useful signal of monetary policy conditions? An empirical investigation International Finance 3 November 2000 413-438
38. Siklos P.L. Inflation target design: changing inflation performance and persistence in industrial countries Review of the Federal Reserve Bank of St. Louis 81 March/April 1999 47-58
39. Stevens G.R. Pitfalls in the use of monetary conditions indexes Reserve Bank of Australia Bulletin August 1998 34-43
40. Taylor, J.B., 2000. Using Monetary Policy Rules in Emerging Market Economies. Working Paper, Stanford University, December.
41. Weymark D. Estimating exchange rate market pressure and the degree of exchange rate market intervention for Canada Journal of International Economics 39 1995 273-295
42. Weymark D. Measuring the degree of exchange market intervention is a small open economy Journal of International Money and Finance 16 1 1997 55-79
43. Zelmer, M., 1997. Strategies versus tactics for monetary policy operations. Canadian Treasurer, (February/March).