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

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  • Holmes, Mark J.
  • Iregui, Ana María
  • Otero, Jesús

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.

Suggested Citation

  • Holmes, Mark J. & Iregui, Ana María & Otero, Jesús, 2021. "The effects of FX-interventions on forecasters disagreement: A mixed data sampling view," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    • Handle: RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001285
    DOI: 10.1016/j.najef.2021.101511
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    More about this item

    Keywords

    Exchange rates; Forecast disagreement; Survey data;
    All these keywords.

    JEL classification:

    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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