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The impact of central bank intervention on exchange-rate forecast heterogeneity

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  • Beine, Michel
  • Benassy-Quere, Agnes
  • MacDonald, Ronald

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Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

Volume (Year): 21 (2007)
Issue (Month): 1 (March)
Pages: 38-63

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Handle: RePEc:eee:jjieco:v:21:y:2007:i:1:p:38-63

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Web page: http://www.elsevier.com/locate/inca/622903

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References

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  1. Fatum, Rasmus & Hutchison, Michael M., 2003. "Effectiveness of Official Daily Foreign Exchange Market Intervention Operations in Japan," Santa Cruz Department of Economics, Working Paper Series qt3rg5p5j2, Department of Economics, UC Santa Cruz.
  2. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series, CESifo Group Munich 251, CESifo Group Munich.
  3. Bonser-Neal, Catherine & Tanner, Glenn, 1996. "Central bank intervention and the volatility of foreign exchange rates: evidence from the options market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(6), pages 853-878, December.
  4. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 161-190, February.
  5. Frenkel, Michael & Stadtmann, Georg & Pierdzioch, Christian, 2001. "The interventions of the European Central Bank: Effects, effectiveness, and policy implications," Research Notes, Deutsche Bank Research 01-2, Deutsche Bank Research.
  6. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, Elsevier, vol. 59(1), pages 25-45, January.
  7. Benassy-Quere, A. & Larribeau, S. & MacDonald, R., 1999. "Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. 99-02, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
  8. Hung, Juann H, 1997. "Intervention strategies and exchange rate volatility: a noise trading perspective," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(5), pages 779-793, September.
  9. Takatoshi Ito, 1988. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
  10. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 10(3-4), pages 407-421, December.
  11. Sarno, Lucio & Taylor, Mark P, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 2690, C.E.P.R. Discussion Papers.
  12. Galati, Gabriele & Melick, William & Micu, Marian, 2005. "Foreign exchange market intervention and expectations: The yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(6), pages 982-1011, October.
  13. Stephen Morris & Hyun Song Shin, 2002. "Social Value of Public Information," American Economic Review, American Economic Association, American Economic Association, vol. 92(5), pages 1521-1534, December.
  14. Michel Beine & Christelle Lecourt, 2004. "Reported and secret interventions in the foreign exchange market," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/10427, ULB -- Universite Libre de Bruxelles.
  15. Michel Beine & Sébastien Laurent & Christelle Lecourt, 2003. "Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/10437, ULB -- Universite Libre de Bruxelles.
  16. Paul Weller & Christopher Neely, 1999. "Technical Analysis and Central Bank Intervention," Working Papers, Warwick Business School, Finance Group wp99-04, Warwick Business School, Finance Group.
  17. Martin D. D. Evans, 2002. "FX Trading and Exchange Rate Dynamics," Journal of Finance, American Finance Association, American Finance Association, vol. 57(6), pages 2405-2447, December.
  18. 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, Elsevier, vol. 13(2), pages 113-136, April.
  19. Vitale, Paolo, 1999. "Sterilised central bank intervention in the foreign exchange market," Journal of International Economics, Elsevier, Elsevier, vol. 49(2), pages 245-267, December.
  20. Elliott, Graham & ITO, TAKATOSHI, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt5wm0q8mz, Department of Economics, UC San Diego.
  21. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers, University of Connecticut, Department of Economics 2008-02, University of Connecticut, Department of Economics.
  22. Chionis, Dionysios & MacDonald, Ronald, 1997. "Some tests of market microstructure hypotheses in the foreign exchange market," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 7(3), pages 203-229, October.
  23. Camille Cornand & Frank Heinemann, 2008. "Optimal Degree of Public Information Dissemination," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 118(528), pages 718-742, 04.
  24. Michael Frenkel & Christian Pierdzioch & Georg Stadtmann, 2002. "The Accuracy of Press Reports Regarding the Foreign Exchange Interventions of the Bank of Japan," Kiel Working Papers, Kiel Institute for the World Economy 1108, Kiel Institute for the World Economy.
  25. Lars E.O. Svensson, 2005. "Social Value of Public Information: Morris and Shin (2002) Is Actually Pro Transparency, Not Con," NBER Working Papers 11537, National Bureau of Economic Research, Inc.
  26. Paul De Grauwe & Marianna Grimaldi, 2003. "Intervention in the Foreign Exchange Market in a Model with Noise Traders," Working Papers, Hong Kong Institute for Monetary Research 162003, Hong Kong Institute for Monetary Research.
  27. Mark D. Flood, 1991. "Microstructure theory and the foreign exchange market," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 52-70.
  28. Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 51(4), pages 621-51, October.
  29. Michel Beine, 2003. "Volatility expectations and asymmetric effects of direct interventions in the FX market," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles 2013/10439, ULB -- Universite Libre de Bruxelles.
  30. Beine, Michel, 2004. "Conditional covariances and direct central bank interventions in the foreign exchange markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1385-1411, June.
  31. Kenneth A. Froot & Jeffrey A. Frankel, 1989. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
  32. Christopher J. Neely, 2001. "The practice of central bank intervention: looking under the hood," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue May, pages 1-10.
  33. Richard K. Lyons, 2006. "The Microstructure Approach to Exchange Rates," MIT Press Books, The MIT Press, The MIT Press, edition 1, volume 1, number 026262205x, December.
  34. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers, CEPII research center 1999-14, CEPII research center.
  35. Popper, Helen & Montgomery, John D., 2001. "Information sharing and central bank intervention in the foreign exchange market," Journal of International Economics, Elsevier, Elsevier, vol. 55(2), pages 295-316, December.
  36. Naranjo, Andy & Nimalendran, M, 2000. "Government Intervention and Adverse Selection Costs in Foreign Exchange Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 13(2), pages 453-77.
  37. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 16(6), pages 909-919, December.
  38. MacDonald, Ronald, 1992. "Exchange Rate Survey Data: A Disaggregated G-7 Perspective," The Manchester School of Economic & Social Studies, University of Manchester, University of Manchester, vol. 60(0), pages 47-62, Supplemen.
  39. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(5), pages 665-685, October.
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