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The effects of FX-interventions on forecasters disagreement: A mixed data sampling view
Institution:1. School of Economics and Management, Shanxi University, Taiyuan, China;2. Department of Economics, Pusan National University, Busan, Republic of Korea;1. School of Business, Chengdu University of Technology, Chengdu 610059, China;2. School of Economics and Statistics, Guangzhou University, Guangzhou 510006, China;1. Graduate Program in Economics, Federal University of Santa Catarina, 88049-970 Florianopolis S.C., Brazil;2. Department of Economics, Federal University of Santa Catarina, 88049-970 Florianopolis S.C., Brazil;3. Department of Statistics, University of Brasilia, 70910-900 Brasilia, D.F., Brazil;4. Graduate Program in Business Administration, University of Brasilia, 70910-900 Brasilia D.F., Brazil;5. Graduate Program in Economics, Federal University of Espirito Santo, 29075-910 Vitoria E.S., Brazil
Abstract:We analyse the heterogeneity of exchange rate forecasts by a panel of professional forecasters. Adopting the view that forecasters’ economic behaviour is such that they constantly collect, process and analyse relevant information when producing forecasts, we apply a Mixed-Data Sampling (MIDAS) regression approach. This enables us to explore the roles played by key drivers for which available data are at different frequencies from forecast disagreement. Examining the Colombian peso/U.S. dollar exchange rate, we find that central bank intervention is most effective in reducing heterogeneity in the very short-run, and when conducted against a background of high exchange rate volatility.
Keywords:Exchange rates  Forecast disagreement  Survey data
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