The effects of Japanese interventions on FX-forecast heterogeneity

The effects of Japanese interventions on FX-forecast heterogeneity

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 heterogenei...

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Veröffentlicht in:Economics letters 2010-07, Vol.108 (1), p.62-64
Hauptverfasser: Reitz, Stefan, Stadtmann, Georg, Taylor, Mark P.
Format: Artikel
Sprache:eng
Schlagworte:
Exchange market
Exchange rates
Exchange rates Forecast heterogeneity Survey data
Forecast heterogeneity
Foreign exchange
Japan
Survey data
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Zusammenfassung: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.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2010.04.007