The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity

Michel Beine, Agnès Bénassy-Quéré (), Estelle Dauchy and Ronald MacDonald ()

Working Papers from CEPII research center

Abstract: 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.

Keywords: Central Bank Intervention; Foreign Exchange Markets; Survey Expectations; Market Micro-Structure (search for similar items in EconPapers)
JEL-codes: F31 C42 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-fin and nep-ifn
Date: 2002-04
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Related works:
Working Paper: The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity (2002)
Journal Article: The impact of central bank intervention on exchange-rate forecast heterogeneity (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:cii:cepidt:2002-04

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