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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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  • Becksndale Masawi

    (Torrens University Australia, Melbourne, Australia)

  • Sukanto Bhattacharya

    (Deakin University, Geelong, Australia)

  • Terry Boulter

    (RMIT University, Melbourne, Australia)

Abstract

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.

Suggested Citation

  • Becksndale Masawi & Sukanto Bhattacharya & Terry Boulter, 2018. "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," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-27, March.
    • Handle: RePEc:wsi:rpbfmp:v:21:y:2018:i:01:n:s0219091518500054
    DOI: 10.1142/S0219091518500054
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    2. Amrendra Pandey & Jagadish Shettigar & Amarnath Bose, 2021. "Evaluation of the Inflation Forecasting Process of the Reserve Bank of India: A Text Analysis Approach," SAGE Open, , vol. 11(3), pages 21582440211, July.

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