English, Article, Journal or magazine article edition: The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity Michel Beine; Agnes Benassy-Quere; Estelle Dauchy; ...

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Bookmark: http://trove.nla.gov.au/version/159726
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity
Author
  • Michel Beine
  • Agnes Benassy-Quere
  • Estelle Dauchy
  • Ronald MacDonald
Physical Description
  • preprint
Notes
  • We investigate the impact of central bank intervention in the foreign exchange market on forecast heterogeneity. Market heterogeneity is based on a sample of forecasts made by a large number of commercial banks over two distinct periods for the DEM (or EUR) and the JPY against the USD. We show that, in general, forecast heterogeneity increases as a result of interventions, whether the interventions are unexpected (DEM-EUR) or expected (JPY). Our results also emphasise the role of rumours, especially in the YEN-USD market. In sum, official interventions are shown to move market opinions, albeit differently across the two markets.
  • Central Bank Intervention; Foreign Exchange Markets; Survey Expectations; Market Micro-Structure
  • RePEc:cii:cepidt:2002-04
Language
  • English
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