Forecasting Chinese industry return volatilities with RMB/USD exchange rate

被引：2
|
作者：
Dai, Zhifeng [1 ,2 ]
Zhu, Huan [1 ]
Dong, Xiaodi [1 ]
机构：
[1] Changsha Univ Sci & Technol, Coll Math & Stat, Changsha 410114, Hunan, Peoples R China
[2] Changsha Univ Sci & Technol, Hunan Prov Key Lab Math Modeling & Anal Engn, Changsha, Hunan, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2020年 / 539卷
基金：
中国国家自然科学基金;
关键词：
Industry return volatility; RMB/USD exchange rate fluctuation; Prediction ability; Forecasting; STOCK-MARKET VOLATILITY; REALIZED VOLATILITY; NONLINEAR CAUSALITY; OIL; RISK; PREDICTABILITY; SPILLOVERS; PRICES; SAMPLE; TESTS;
D O I：
10.1016/j.physa.2019.122994
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The purpose of this paper is to analyze whether the fluctuations of RMB/USD exchange rate can predict the Chinese industry return volatilities during post-financial crisis period. Our in-sample results show there is significant Granger causality from RMB/USD exchange rate fluctuations to China's industry return volatilities. The out-of-sample results also indicate the RMB/USD exchange rate fluctuations extracts significantly useful information from the predictors. Further analysis about the energy industry shows that simple linear regression is sufficient for capturing predictive relationships between RMB/USD exchange rate fluctuations and energy industry volatility. (C) 2019 Elsevier B.V. All rights reserved.
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页数：11
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