On the Inadequacy of Newswire Reports for Empirical Research on Foreign Exchange Interventions
AbstractNewswire reports have become an accepted tool for empirical studies analyzing informational asymmetries in FX markets. This paper tests the accuracy of such reports for Swiss interventions in the foreign exchange market. The evidence finds that the time stamp of the reports does not always lie near the recorded time of the first intervention trade as is commonly assumed in market microstructure studies. The standard deviation of the time difference is measured in hours and not in minutes. These and other regression results question the accuracy of newswire reports for Swiss interventions.
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Bibliographic InfoPaper provided by Swiss National Bank in its series Working Papers with number 2005-02.
Length: 29 pages
Date of creation: 2005
Date of revision:
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More information through EDIRC
Central Bank Interventions; Intra-Daily Data; Newswire Reports;
Other versions of this item:
- 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.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
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