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; Terry Boulter

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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

机译：央行讲话的信息内容会影响汇率水平吗？加拿大和澳大利亚中央银行通讯的比较研究

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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.

机译：传统上，当汇率偏离均衡或波动过度时，中央银行对货币市场进行直接干预，而有关间接干预影响的文献很少。我们通过检查澳大利亚和加拿大的中央银行口头交流来检查间接干预是否对汇率水平产生影响。我们发现有证据表明加拿大银行（BOC）的讲话降低了平均汇率收益，但没有降低澳大利亚储备银行（RBA）的讲话。我们的结果表明，国家之间的社会经济相似性不能保证间接干预的相似影响。

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来源
《International Journal of Productivity and Quality Management》 |2018年第1期|1850005.1-1850005.27|共27页
作者
Becksndale Masawi; Sukanto Bhattacharya; Terry Boulter;
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作者单位

Torrens University Australia Melbourne, Australia;

Deakin University Geelong, Australia;

RMIT University Melbourne, Australia;

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原文格式 PDF
正文语种 eng
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关键词
Central bank speeches; event study; high frequency data; non-parametric tests; indirect intervention;

机译：央行讲话;事件研究;高频数据非参数测试;间接干预;

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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

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