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N° 2002-04 |
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| April |
| The Impact of Central Bank Intervention
on Exchange-Rate Forecast Heterogeneity |
Michel Beine
Agnès Bénassy-Quéré
Estelle Dauchy
Ronald MacDonald |
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| We investigate the impact of central bank
intervention in the foreign exchange market on forecast heterogeneity. Market
heterogeneity is based on a sample of forecasts made by a large number of commercial
banks over two distinct periods for the DEM (or EUR) and the JPY against the USD.
We show that, in general, forecast heterogeneity increases as a result of interventions,
whether the interventions are unexpected (DEM-EUR) or expected (JPY). Our results
also emphasise the role of rumours, especially in the YEN-USD market. In sum,
official interventions are shown to move market opinions, albeit differently across
the two markets. |
Abstract |
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| Central Bank Intervention; Foreign Exchange
Markets; Survey Expectations; Market Micro-Structure |
Keywords |
| F31, C42 |
JEL classification |
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