Abstract

http://ssrn.com/abstract=1695026
 
 

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Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses


Suk-Joong Kim


University of Sydney - School of Business

Peter Kjeld Andersen


University of New South Wales (UNSW) - School of Banking and Finance

October 20, 2010

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Journal of International Financial Markets, Institutions and Money, Vol. 21, No. 2, 2011

Abstract:     
We add a new dimension to the debate of the efficacy and the timing of a central bank’s currency intervention. Utilising an enhanced proxy for intervention and high frequency tick-by-tick quote data, we estimate the approximate intraday timing of interventions by the Reserve Bank of Australia in the both the onshore and offshore USD/AUD markets for the period of 1996 to 2006. We detect interventions in the late onshore period, early European market, and again in the early New York market. We further find evidence to suggest the RBA choose 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.

Number of Pages in PDF File: 34

Keywords: RBA Intervention, Microstructure

JEL Classification: E44, G14, G15

Accepted Paper Series


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Date posted: October 21, 2010 ; Last revised: October 3, 2013

Suggested Citation

Kim, Suk-Joong and Andersen, Peter Kjeld, Intraday timing of AUD intervention by the Reserve Bank of Australia: Evidence from Microstructural Analyses (October 20, 2010). Paris December 2010 Finance Meeting EUROFIDAI - AFFI; Journal of International Financial Markets, Institutions and Money, Vol. 21, No. 2, 2011. Available at SSRN: http://ssrn.com/abstract=1695026

Contact Information

Suk-Joong Kim (Contact Author)
University of Sydney - School of Business ( email )
Sydney
Australia
+61 2 9114 0940 (Phone)
Peter Kjeld Andersen
University of New South Wales (UNSW) - School of Banking and Finance ( email )
Sydney, NSW 2052
Australia
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