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The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity

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  • M. Beine
  • A. Bénassy-Quéré
  • E. Dauchy
  • R. MacDonald

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Bibliographic Info

Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 2002-22.

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Date of creation: 2002
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Handle: RePEc:ema:worpap:2002-22

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References

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  1. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo Group Munich.
  2. 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 1108, Kiel Institute for the World Economy.
  3. Rasmus Fatum & Michael Hutchison, 2002. "Effectiveness of official daily foreign exchange market intervention operations in Japan," Pacific Basin Working Paper Series, Federal Reserve Bank of San Francisco 2003-01, Federal Reserve Bank of San Francisco.
  4. Cornand, Camille & Heinemann, Frank, 2006. "Optimal Degree of Public Information Dissemination," Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University 158, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich.
  5. 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.
  6. 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.
  7. Kathryn M. Dominguez, 1999. "The Market Microstructure of Central Bank Intervention," NBER Working Papers 7337, National Bureau of Economic Research, Inc.
  8. Michel Beine & Sébastien Laurent & Christelle Lecourt, 2003. "Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis," ULB Institutional Repository 2013/10437, ULB -- Universite Libre de Bruxelles.
  9. 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.
  10. 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.
  11. Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, American Economic Association, vol. 80(3), pages 434-49, June.
  12. 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.
  13. Michel Beine, 2003. "Volatility expectations and asymmetric effects of direct interventions in the FX market," ULB Institutional Repository 2013/10439, ULB -- Universite Libre de Bruxelles.
  14. 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.
  15. Michel Beine, 2004. "Conditional covariance and direct Central Bank intervention in the foreign exchange markets," ULB Institutional Repository 2013/10431, ULB -- Universite Libre de Bruxelles.
  16. Graham Elliott & Takatoshi Ito, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University a347, Institute of Economic Research, Hitotsubashi University.
  17. Agnès Bénassy-Quéré & Sophie Larribeau & Ronald MacDonald, 1999. "Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data," Working Papers 1999-03, CEPII research center.
  18. Michel Beine & Christelle Lecourt, 2004. "Reported and secret interventions in the foreign exchange market," ULB Institutional Repository 2013/10427, ULB -- Universite Libre de Bruxelles.
  19. Michel Beine & Agnès Bénassy-Quéré & Christelle Lecourt, 1999. "The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations," Working Papers 1999-14, CEPII research center.
  20. Martin D. D. Evans, 2001. "FX Trading and Exchange Rate Dynamics," NBER Working Papers 8116, National Bureau of Economic Research, Inc.
  21. 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.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
  31. 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.
  32. 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.
  33. 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.
  34. 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.
  35. 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.
  36. 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.
  37. 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.
  38. 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.
  39. Frenkel, Michael & Stadtmann, Georg & Pierdzioch, Christian, 2001. "The interventions of the European Central Bank: Effects, effectiveness, and policy implications," Research Notes 01-2, Deutsche Bank Research.
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