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The Effects of Japanese Interventions on FX-Forecast Heterogeneity

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Keywords
  • D84 - Expectations
  • Speculations
  • F31 - Foreign Exchange

Abstract

This paper investigates the determinants of forecast heterogeneity in the Yen-US dollar market using a panel data set from Consensus Economics. Regardless of the particular model specification and consideration of control variables we find that exchange rate misalignments increase forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation heterogeneity.

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