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The Effects of Japanese Interventions on FX-Forecast Heterogeneity

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Author Info
Reitz, Stefan
Stadtmann, Georg
Taylor, Mark P.

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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.

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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15603.

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Date of creation: 05 Jun 2009
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Handle: RePEc:pra:mprapa:15603

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Related research
Keywords: Exchange rates; forecast heterogeneity; survey data;

Find related papers by JEL classification:
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
F31 - International Economics - - International Finance - - - Foreign Exchange

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References listed on IDEAS
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  1. Reitz, Stefan & Taylor, Mark P., 2008. "The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis," European Economic Review, Elsevier, vol. 52(1), pages 55-76, January. [Downloadable!] (restricted)
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  2. Takatoshi Ito, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  3. Ito, Takatoshi & Yabu, Tomoyoshi, 2007. "What prompts Japan to intervene in the Forex market? A new approach to a reaction function," Journal of International Money and Finance, Elsevier, vol. 26(2), pages 193-212, March. [Downloadable!] (restricted)
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  4. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October. [Downloadable!] (restricted)
  5. Benassy-Quere, Agnes & Larribeau, Sophie & MacDonald, Ronald, 2003. "Models of exchange rate expectations: how much heterogeneity?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 113-136, April. [Downloadable!] (restricted)
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