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Reuters News Reports versus Official Interventions: The Inaccuracy of Reuters Reports for Swiss Interventions

  • Fischer, Andreas M

Reuters news reports have become an accepted tool for empirical studies analysing informational asymmetries in FX markets. This Paper tests the accuracy of the Reuters announcements against Swiss interventions. The evidence finds that the Reuters announcements are not tightly clustered just after the first intervention transaction as is commonly assumed in empirical studies. The variance of the prediction error is measured in hours and not in minutes. A further assumption that the Reuters announcement always follows after the first intervention transaction is found to be violated. These and other empirical results question the accuracy of Reuters reports for Swiss interventions.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 4359.

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Date of creation: Apr 2004
Date of revision:
Handle: RePEc:cpr:ceprdp:4359
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  1. Richard Payne, 2001. "A Transaction Level Study of the Effects of Central Bank Intervention on Exchange Rates," FMG Discussion Papers dp355, Financial Markets Group.
  2. Fischer, Andreas M., 2003. "Measurement error and the profitability of interventions: a closer look at SNB transactions data," Economics Letters, Elsevier, vol. 81(1), pages 137-142, October.
  3. Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
  4. Dominguez, Kathryn M. E., 2003. "The market microstructure of central bank intervention," Journal of International Economics, Elsevier, vol. 59(1), pages 25-45, January.
  5. repec:rus:hseeco:21608 is not listed on IDEAS
  6. Kathryn M. E. Dominguez, 2003. "When Do Central Bank Interventions Influence Intra-Daily and Longer-Term Exchange Rate Movements?," Working Papers 506, Research Seminar in International Economics, University of Michigan.
  7. Peiers, Bettina, 1997. " Informed Traders, Intervention, and Price Leadership: A Deeper View of the Microstructure of the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 52(4), pages 1589-1614, September.
  8. Philippe Jorion, 1996. "Risk and Turnover in the Foreign Exchange Market," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 19-40 National Bureau of Economic Research, Inc.
  9. Sapp, Stephen G., 2002. "Price Leadership in the Spot Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(03), pages 425-448, September.
  10. Michael W. Klein, 1992. "The Accuracy of Reports of Foreign Exchange Intervention," NBER Working Papers 4165, National Bureau of Economic Research, Inc.
  11. Michael Melvin & Bettina Peiers, 1998. "Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence," Atlantic Economic Journal, International Atlantic Economic Society, vol. 26(1), pages 44-53, March.
  12. Fischer, Andreas M & Zurlinden, Mathias, 1999. "Exchange Rate Effects of Central Bank Interventions: An Analysis of Transaction Prices," Economic Journal, Royal Economic Society, vol. 109(458), pages 662-76, October.
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