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Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from microstructural analyses

Peter Andersen and Suk-Joong Kim ()

Journal of International Financial Markets, Institutions and Money, 2011, vol. 21, issue 2, 277-295

Abstract: We estimate the approximate intraday timing of interventions by the Reserve Bank of Australia (RBA) in the onshore and offshore USD/AUD markets for the period of 1996-2006. We use a more accurate measure of intervention that excludes transactions with the government as well as high frequency tick-by-tick quote data on the USD/AUD exchange rate. The RBA's interventions are detected in the late Sydney onshore period, early European market, and again in the early New York market hours. Furthermore, evidence suggests that the RBA chooses those hours of higher volume, lower volatility and lower bid/ask spreads to conduct its non-intervention transactions. These results have important implications not only for institutions and corporations with a need to transact in the market, but also for hedge funds and other traders that may profit by trading against the RBA.

Keywords: RBA; intervention; times; Intraday; volatility; Volume; Bid-ask; spread (search for similar items in EconPapers)
Date: 2011
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Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

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Handle: RePEc:eee:intfin:v:21:y:2011:i:2:p:277-295