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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. ISSN 0165-1765
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Official URL: http://dx.doi.org/10.1016/j.econlet.2010.04.007
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 |
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| Journal or Publication Title: | Economics Letters | ||||
| Publisher: | Elsevier BV | ||||
| ISSN: | 0165-1765 | ||||
| Official Date: | July 2010 | ||||
| Dates: |
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| Volume: | Vol.108 | ||||
| Number: | No.1 | ||||
| Number of Pages: | 3 | ||||
| Page Range: | pp. 62-64 | ||||
| Identification Number: | 10.1016/j.econlet.2010.04.007 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/5619 |
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