Using ROC techniques to measure the effectiveness of foreign exchange market interventions

Christian Pierdzioch

Applied Economics Letters, 2016, vol. 23, issue 6, 389-393

Abstract: Using as an example data on official Japanese interventions in the yen/dollar market, I show that techniques developed to analyse relative operating characteristic (ROC) curves can be useful to study the forecasting value and effectiveness of interventions.

Date: 2016
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DOI: 10.1080/13504851.2015.1076143

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