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Exchange rates, interest rates and current account news: some evidence from Australia

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  • Karfakis, Costas
  • Kim, Suk-Joong

Abstract

This paper investigates the Australian current account announcement effects on exchange rates and interest rates for the period July 1985 to December 1992. The results indicate that the Australian dollar depreciates and interest rate rise as a result of an announcement of larger than expected current account deficit, which is consistent with the portfolio balance effect. In addition, significant structural breaks are found and the analysis shows that after December 1989 the current news affect neither exchange rates nor interest rates.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 14 (1995)
Issue (Month): 4 (August)
Pages: 575-595

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Handle: RePEc:eee:jimfin:v:14:y:1995:i:4:p:575-595

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Web page: http://www.elsevier.com/locate/inca/30443

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Cited by:
  1. Catherine S. F. Ho & M. Ariff, 2008. "The Role of Non-Parity Fundamentals in Exchange Rate Determination: Australia and the Asia Pacific Region," CARF F-Series CARF-F-125, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  2. Kim, Suk-Joong & Sheen, Jeffrey, 2001. "Minute-by-minute dynamics of the Australian bond futures market in response to new macroeconomic information," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 117-137, April.
  3. Ali Kutan & Tansu Aksoy, 2003. "Public Information Arrival and the Fisher Effect in Emerging Markets: Evidence from Stock and Bond Markets in Turkey," Journal of Financial Services Research, Springer, vol. 23(3), pages 225-239, June.
  4. Pearce, Douglas K. & Solakoglu, M. Nihat, 2007. "Macroeconomic news and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(4), pages 307-325, October.
  5. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
  6. Christopher J. Neely & S. Rubun Dey, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 417-464.
  7. Terry Boulter & Celeste Ping Fern Tan, 2000. "The Short Run Impact of Scheduled Macroeconomic Announcements on the Australian Dollar during 1998," School of Economics and Finance Discussion Papers and Working Papers Series 082, School of Economics and Finance, Queensland University of Technology.
  8. Stefan Krause, 2004. "The Impact of News in the Dollar/Deutschmark Exchange Rate: Evidence from the 1990s," Emory Economics 0422, Department of Economics, Emory University (Atlanta).
  9. Michael Graham & Jussi Nikkinen & Petri Sahlström, 2003. "Relative importance of scheduled macroeconomic news for stock market investors," Journal of Economics and Finance, Springer, vol. 27(2), pages 153-165, June.

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