The effects of FX-interventions on forecasters disagreement: A mixed data sampling view

Mark J. Holmes, Ana María Iregui, Jesús Otero

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish (US)
Article number101511
JournalNorth American Journal of Economics and Finance
Volume58
DOIs
StatePublished - Nov 2021

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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