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The effects of Japanese interventions on FX-forecast heterogeneity

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Reitz, Stefan, Stadtmann, Georg and Taylor, Mark P. (2010) The effects of Japanese interventions on FX-forecast heterogeneity. Economics Letters, Vol.108 (No.1). pp. 62-64. doi:10.1016/j.econlet.2010.04.007

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Official URL: http://dx.doi.org/10.1016/j.econlet.2010.04.007

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Abstract

We investigate the determinants of forecast heterogeneity in the JPY/USD market using panel data from Consensus Economics. We find that past exchange-rate volatility increases forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation heterogeneity.

Item Type: Journal Article
Subjects: H Social Sciences > HC Economic History and Conditions
Divisions: Faculty of Social Sciences > Warwick Business School > Finance Group
Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Economics Letters
Publisher: Elsevier BV
ISSN: 0165-1765
Official Date: July 2010
Dates:
DateEvent
July 2010Published
Volume: Vol.108
Number: No.1
Number of Pages: 3
Page Range: pp. 62-64
DOI: 10.1016/j.econlet.2010.04.007
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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