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The effects of Japanese interventions on FX-forecast heterogeneity

  • Reitz, Stefan
  • Stadtmann, Georg
  • Taylor, Mark P.

We investigate the determinants of forecast heterogeneity in the JPY/USD market using panel data from Consensus Economics. We find that past exchange-rate volatility increases forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation heterogeneity.

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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 108 (2010)
Issue (Month): 1 (July)
Pages: 62-64

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Handle: RePEc:eee:ecolet:v:108:y:2010:i:1:p:62-64
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  17. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
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