International Conference on Eurasian Economies
17-18 September 2013 – St. Petersburg, RUSSIA
Paper detail
Paper ID : 595
Status : Paper published
Language : English
Topic : Finance and Financial Crises
Presenter: Dr. Ferry Syarifuddin
Session : 6A Finance II
Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia
Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia
- Dr. Ferry Syarifuddin (Bank Indonesia, Indonesia)
Abstract
In this paper we study the effect of central bank intervention within a heterogeneous expectations exchange rate model. The empirical evidence is conducted by applying a Markov switching approach to daily AUD/USD exchange rate, intervention data of the Reserve Bank of Australia from 2006 to 2012. Our results are supporting both chartists and fundamentalist regimes. It is shown that the two regimes are persistent. However, Reserve Bank of Australia efforts to exert a stabilizing effect of foreign exhange interventions, the result is inconclusive.
JEL codes: F31, C32, E58
Syarifuddin, Ferry (2013). "Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia" in Proceedings of International Conference of Eurasian Economies 2013, pp.162-171, St. Petersburg, RUSSIA.
DOI: https://doi.org/10.36880/C04.00595
