Reuters News Reports Versus Official Interventions: The Inaccuracy of Reuters Reports for Swiss Interventions

28 Pages Posted: 28 May 2004

See all articles by Andreas M. Fischer

Andreas M. Fischer

Swiss National Bank; Centre for Economic Policy Research (CEPR)

Date Written: April 2004

Abstract

Reuters news reports have become an accepted tool for empirical studies analysing informational asymmetries in FX markets. This Paper tests the accuracy of the Reuters announcements against Swiss interventions. The evidence finds that the Reuters announcements are not tightly clustered just after the first intervention transaction as is commonly assumed in empirical studies. The variance of the prediction error is measured in hours and not in minutes. A further assumption that the Reuters announcement always follows after the first intervention transaction is found to be violated. These and other empirical results question the accuracy of Reuters reports for Swiss interventions.

Keywords: Central bank interventions, intra-daily data, reuters news reports

JEL Classification: F31, F33

Suggested Citation

Fischer, Andreas M., Reuters News Reports Versus Official Interventions: The Inaccuracy of Reuters Reports for Swiss Interventions (April 2004). Available at SSRN: https://ssrn.com/abstract=552761

Andreas M. Fischer (Contact Author)

Swiss National Bank ( email )

Borsenstrasse 15
CH-8022 Zurich
Switzerland
+41 1 631 3294 (Phone)
+41 1 631 3901 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

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