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

Mark J. Holmes; Ana María Iregui; Jesús Otero

doi:10.1016/j.najef.2021.101511

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 journal › Research Article › peer-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 language	English (US)
Article number	101511
Journal	North American Journal of Economics and Finance
Volume	58
DOIs	https://doi.org/10.1016/j.najef.2021.101511
State	Published - Nov 2021

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

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10.1016/j.najef.2021.101511

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title = "The effects of FX-interventions on forecasters disagreement: A mixed data sampling view",

abstract = "We analyse the heterogeneity of exchange rate forecasts by a panel of professional forecasters. Adopting the view that forecasters{\textquoteright} 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.",

author = "Holmes, {Mark J.} and Iregui, {Ana Mar{\'i}a} and Jes{\'u}s Otero",

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year = "2021",

month = nov,

doi = "10.1016/j.najef.2021.101511",

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AU - Iregui, Ana María

AU - Otero, Jesús

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N2 - 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.

AB - 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.

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JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

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ER -

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

Abstract

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