Discussion paper

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

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.

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Citation

Fischer, A (2004), ‘DP4359 Reuters News Reports versus Official Interventions: The Inaccuracy of Reuters Reports for Swiss Interventions‘, CEPR Discussion Paper No. 4359. CEPR Press, Paris & London. https://cepr.org/publications/dp4359