DP4359 Reuters News Reports versus Official Interventions: The Inaccuracy of Reuters Reports for Swiss Interventions

Author(s): Andreas M Fischer
Publication Date: April 2004
Keyword(s): central bank interventions, intra-daily data, reuters news reports
JEL(s): F31, F33
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=4359

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.