The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity
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
In order to set up a list of libraries that you have access to,
you must first login
or sign up.
Then set up a personal list of libraries from your profile page by
clicking on your user name at the top right of any screen.