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The inaccuracy of newspaper reports of U.S. foreign exchange intervention

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  • William P. Osterberg
  • Rebecca Wetmore Humes
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    Abstract

    A comparison of official data on U.S. foreign exchange intervention with newspaper reports, finding that the series are systematically different and implying either that intervention may not be able to signal monetary policy accurately or that not all market participants have equally accurate information about exchange market intervention.

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    File URL: http://www.clevelandfed.org/Research/Review/1993/93-q4-osterberg.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

    Volume (Year): (1993)
    Issue (Month): Q IV ()
    Pages: 25-33

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    Handle: RePEc:fip:fedcer:y:1993:i:qiv:p:25-33:n:v.29no.4

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    Related research

    Keywords: Foreign exchange - Law and legislation;

    References

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    1. Richard T. Baillie & Owen F. Humpage, 1992. "Post-Louvre intervention: did target zones stabilize the dollar?," Working Paper 9203, Federal Reserve Bank of Cleveland.
    2. Klein, Michael W., 1993. "The accuracy of reports of foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 12(6), pages 644-653, December.
    3. Graciela L. Kaminsky & Karen K. Lewis, 1996. "Does foreign exchange intervention signal future monetary policy?," Working Papers 96-7, Federal Reserve Bank of Philadelphia.
    4. Baillie, R.T. & Osterberg, W.P., 1993. "Central Bank Intervention and Risk in the Forward Premium," Papers 9109, Michigan State - Econometrics and Economic Theory.
    5. Tsutomu Watanabe, 1992. "The signaling effect of foreign exchange intervention: the case of Japan," Proceedings, Federal Reserve Bank of San Francisco, pages 258-286.
    6. Danker, Deborah & Haas, Richard & Henderson, Dale & Symansky, Steven & Tryon, Ralph, 1987. "Small empirical models of exchange market intervention: Applications to Germany, Japan, and Canada," Journal of Policy Modeling, Elsevier, vol. 9(1), pages 143-173.
    7. Owen F. Humpage, 1991. "Central-bank intervention: recent literature, continuing controversy," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 12-26.
    8. Reuven Glick & Michael Hutchison, 1993. "Monetary policy, intervention, and exchange rates in Japan," Pacific Basin Working Paper Series 93-07, Federal Reserve Bank of San Francisco.
    9. William H. Branson & Jacob A. Frenkel & Morris Goldstein, 1990. "International Policy Coordination and Exchange Rate Fluctuations," NBER Books, National Bureau of Economic Research, Inc, number bran90-1, October.
    10. Kathryn M. Dominguez, 1993. "Does Central Bank Intervention Increase the Volatility of Foreign Exchange Rates?," NBER Working Papers 4532, National Bureau of Economic Research, Inc.
    11. Tsutomu Watanabe, 1992. "The signaling effect of foreign exchange intervention: the case of Japan," Proceedings, Federal Reserve Bank of San Francisco, issue Sep.
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    Citations

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    Cited by:
    1. Rasmus Fatum & Michael M. Hutchison, 2008. "Evaluating Foreign Exchange Market Intervention: Self-selection, Counterfactuals and Average Treatment Effects," Working Papers 022008, Hong Kong Institute for Monetary Research.
    2. Almekinders, Geert J. & Eijffinger, Sylvester C. W., 1996. "A friction model of daily Bundesbank and Federal Reserve intervention," Journal of Banking & Finance, Elsevier, vol. 20(8), pages 1365-1380, September.
    3. Pasquariello, Paolo, 2007. "Informative trading or just costly noise? An analysis of Central Bank interventions," Journal of Financial Markets, Elsevier, vol. 10(2), pages 107-143, May.
    4. Fischer, Andreas M., 2006. "On the inadequacy of newswire reports for empirical research on foreign exchange interventions," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1226-1240, December.
    5. Rasmus Fatum, 2009. "Official Japanese Intervention in the JPY/USD Exchange Rate Market: Is It Effective, and through Which Channel Does It Work?," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 27(1), pages 75-98, November.
    6. Lukas Menkhoff, 2008. "High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?," CESifo Working Paper Series 2473, CESifo Group Munich.
    7. Oberlechner, Thomas & Hocking, Sam, 2004. "Information sources, news, and rumors in financial markets: Insights into the foreign exchange market," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 407-424, June.
    8. Baillie, Richard T. & Osterberg, William P., 1997. "Why do central banks intervene?," Journal of International Money and Finance, Elsevier, vol. 16(6), pages 909-919, December.
    9. Owen F. Humpage, 1996. "U.S. intervention: assessing the probability of success," Working Paper 9608, Federal Reserve Bank of Cleveland.
    10. Almekinders, G.J. & Eijffinger, S.C.W., 1994. "Accounting for Daily Bundesbank and federal reserve intervention: A friction model with a GARCH application," Discussion Paper 1994-44, Tilburg University, Center for Economic Research.
    11. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.
    12. Jorge Iván Canales Kriljenko, 2003. "Foreign Exchange Intervention in Developing and Transition Economies: Results of a Survey," IMF Working Papers 03/95, International Monetary Fund.
    13. Baillie, Richard T. & Humpage, Owen F. & Osterberg, William P., 2000. "Intervention from an information perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(3-4), pages 407-421, December.
    14. Paolo Vitale, 2007. "An assessment of some open issues in the analysis of foreign exchange intervention," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 155-170.

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