The Accuracy of Reports of Foreign Exchange Intervention / Michael W. Klein.

Format:

Book

Author/Creator:

Klein, Michael W.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w4165.

NBER working paper series no. w4165

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1992.

Summary:

Daily foreign exchange operations by the Federal Reserve are not revealed to the public contemporaneously or, up until recently, even years after the fact. With the recent release of daily intervention data it is now possible to gauge the accuracy of the market's perceptions of the Fed's foreign exchange intervention. In this paper we look at both qualitative and quantitative evidence on the accuracy of press reports of foreign exchange intervention by the Federal Reserve between the beginning of January 1985 and the end of December 1989. The evidence shows that the likelihood of intervention being reported given that it actually occurred was 72 percent and that the likelihood of intervention actually occurring given that it was reported was 88 percent. Interventions which were reported by the newspaper were larger on average than those which were not reported and this difference is statistically significant. Multinomial logit analysis also demonstrates that the likelihood of intervention being reported increased with the size of the intervention.

Notes:

Print version record

September 1992.