Does the Information Content of Central Bank Speeches Impact on the Level of Exchange Rate? A Comparative Study of Canadian and Australian Central Bank Communications
Becksndale Masawi (),
Sukanto Bhattacharya and
Terry Boulter ()
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Becksndale Masawi: Torrens University Australia, Melbourne, Australia
Sukanto Bhattacharya: Deakin University, Geelong, Australia
Terry Boulter: RMIT University, Melbourne, Australia
Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2018, vol. 21, issue 01, 1-27
Traditionally, central banks have used direct intervention in currency markets when the exchange rate has moved away from equilibrium or when the volatility has been excessive and the literature on the effects of indirect intervention is sparse. We examine whether indirect intervention has any impact on the exchange rate levels by examining the central bank verbal communications in Australia and Canada. We find evidence that the Bank of Canada’s (BOC’s) speeches reduce the mean exchange rate returns but not the Reserve Bank of Australia’s (RBA’s) speeches. Our results show that the socio-economic similarities between countries do not guarantee a similar impact of indirect intervention.
Keywords: Central bank speeches; event study; high frequency data; non-parametric tests; indirect intervention (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:wsi:rpbfmp:v:21:y:2018:i:01:n:s0219091518500054
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