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

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  • Christian Pierdzioch

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.

Suggested Citation

  • Christian Pierdzioch, 2016. "Using ROC techniques to measure the effectiveness of foreign exchange market interventions," Applied Economics Letters, Taylor & Francis Journals, vol. 23(6), pages 389-393, April.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:6:p:389-393
    DOI: 10.1080/13504851.2015.1076143
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    Cited by:

    1. Tim Meyer, 2019. "On the Directional Accuracy of United States Housing Starts Forecasts: Evidence from Survey Data," The Journal of Real Estate Finance and Economics, Springer, vol. 58(3), pages 457-488, April.
    2. McCarthy, Patrick, 2024. "Predicting trips to health care facilities: A binary logit and receiver operating characteristics (ROC) approach," Research in Transportation Economics, Elsevier, vol. 103(C).

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