The Effects of Japanese Interventions on FX-Forecast Heterogeneity

Stefan Reitz (), Georg Stadtmann and Mark P. Taylor ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper investigates the determinants of forecast heterogeneity in the Yen-US dollar market using a panel data set from Consensus Economics. Regardless of the particular model specification and consideration of control variables we find that exchange rate misalignments increase forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation heterogeneity.

Keywords: Exchange rates; forecast heterogeneity; survey data (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-for
Date: 2009-06-05
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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:15603

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