Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
965076 | Journal of the Japanese and International Economies | 2007 | 26 Pages |
Abstract
We investigate the impact of official foreign exchange intervention on forecast heterogeneity, on the basis of 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 heterogeneity increases as a result of foreign exchange intervention. In the case of the DEM-EUR/USD market this increase is due to unexpected intervention, while for the JPY/USD it is due to expected intervention. Our results also emphasise the role of rumours, especially for the JPY/USD. In sum, official interventions are shown to move market opinions, albeit differently across the two markets. J. Japanese Int. Economies 21 (1) (2007) 38-63.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Michel Beine, Agnès Bénassy-Quéré, Ronald MacDonald,