Nonlinear analysis of RMB/USD exchange rate after the exchange rate reform in 2005

被引：0

作者：

Li Zhe ^{[1
]}

Hui Xiao-feng ^{[1
]}

Ma Jing-mei ^{[2
]}

机构：

[1] Harbin Inst Technol, Sch Management, Harbin 150001, Heilongjiang, Peoples R China

[2] Harbin Univ Sci & Technol, Harbin 150080, Heilongjiang, Peoples R China

来源：

PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (14TH) VOLS 1-3 | 2007年

关键词：

RMB/USD exchange rate; nonlinear test; nonlinear predictability; surrogate data;

D O I：

10.1109/ICMSE.2007.4422083

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The nonlinear local technique is used to test the nonlinearity of RMB/USD exchange rate after the exchange rate reform in 2005, and three models are used to forecast RMB/USD exchange rate. After the exchange rate reform, the exchange rate of RMB/USD is more fluctuant than before, which makes the forecast of the RMB/USD exchange rate more and more important in the research area and in practice. In order to test the nonlinearity of the exchange rate, the surrogate data methods are put forward and the results indicate that RMB/USD exchange rate has nonlinear predictability. The forecast performances of the three models on the RMB/USD exchange rate show that the nonlinear one order weighted local method is more precise than the ARIMA model and ANN models.

引用

页码：1674 / +

页数：2

共 50 条

[1] Forecasting and Analysis of Exchange Rate of RMB to USD
Wang Dan
Xiao Chunlai
[J]. CONTEMPORARY INNOVATION AND DEVELOPMENT IN STATISTICAL SCIENCE, 2012, : 441 - 446
[2] Analysis of RMB's Real Effective Exchange Rate after the "Exchange Rate Reform"
Xing, Yusong
Wang, Aihua
[J]. PROCEEDINGS OF THE 2017 7TH INTERNATIONAL CONFERENCE ON EDUCATION, MANAGEMENT, COMPUTER AND SOCIETY (EMCS 2017), 2017, 61 : 561 - 567
[3] A Research on the Fluctuation of Exchange Rate of USD/RMB
Li Keyong
[J]. PROCEEDINGS OF THE 8TH EURO-ASIA CONFERENCE ON ENVIRONMENT AND CSR: TOURISM, MICE, HOSPITALITY MANAGEMENT AND EDUCATION SESSION, PT II, 2012, : 160 - 166
[4] The Test and Estimation of USD/RMB Exchange Rate Volatility
Zhang, Ziran
Ding, Rijia
[J]. PROCEEDINGS OF THE 2012 INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION AND PUBLIC POLICY (ICMIPP 2012), VOLS 1-6, 2012, : 2525 - 2531
[5] Nonlinearity of RMB/USD exchange rate & purchasing power parity
Lei, Qiang
Ji, Yu-Feng
Lei, Min
[J]. INTERNATIONAL JOURNAL OF NONLINEAR SCIENCES AND NUMERICAL SIMULATION, 2006, 7 (04) : 419 - 422
[6] RMB Exchange Rate Reform:Past and Future
Li Zhen
[J]. China's Foreign Trade, 2009, (03) : 19 - 19
[7] Forecasting Chinese industry return volatilities with RMB/USD exchange rate
Dai, Zhifeng
Zhu, Huan
Dong, Xiaodi
[J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2020, 539
[8] Analysis on RMB Exchange Rate Policy
Chan, Wu
[J]. 3RD INTERNATIONAL CONFERENCE ON SOCIAL SCIENCE, MANAGEMENT AND ECONOMICS (SSME 2017), 2017, : 506 - 510
[9] To Accomplish the Unaccomplished Reform:Lessons and Options of RMB Exchange Rate Reform
余永定
肖立晟
[J]. China Economist, 2017, 12 (03) : 2 - 17
[10] Using fuzzy neural networks for RMB/USD real exchange rate forecasting
惠晓峰
李喆
魏庆泉
[J]. Journal of Harbin Institute of Technology(New series), 2005, (02) : 189 - 192

← 1 2 3 4 5 →