The effects of FX-interventions on forecasters disagreement: A mixed data sampling view

Mark Holmes (), Ana Iregui and Jesus Otero

The North American Journal of Economics and Finance, 2021, vol. 58, issue C

Abstract: We analyse the heterogeneity of exchange rate forecasts by a panel of professional forecasters. Adopting the view that forecasters’ economic behaviour is such that they constantly collect, process and analyse relevant information when producing forecasts, we apply a Mixed-Data Sampling (MIDAS) regression approach. This enables us to explore the roles played by key drivers for which available data are at different frequencies from forecast disagreement. Examining the Colombian peso/U.S. dollar exchange rate, we find that central bank intervention is most effective in reducing heterogeneity in the very short-run, and when conducted against a background of high exchange rate volatility.

Keywords: Exchange rates; Forecast disagreement; Survey data (search for similar items in EconPapers)
JEL-codes: C33 D84 F31 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001285

DOI: 10.1016/j.najef.2021.101511

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