On the inadequacy of newswire reports for empirical research on foreign exchange interventions
Newswire 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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Volume (Year): 25 (2006)
Issue (Month): 8 (December)
Pages: 1226-1240
| Handle: | RePEc:eee:jimfin:v:25:y:2006:i:8:p:1226-1240 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/inca/30443
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