The Empirical Study on Rationality and Forecast Performance of RMB Exchange Rate Expectation

被引：0
|
作者：
Gu Yu [1 ]
Sun Chengzhi [1 ]
Liu Wenlu [2 ]
机构：
[1] Dalian Univ Technol, Fac Management & Econ, Dalian 116024, Peoples R China
[2] Huamei Acad, Dalian Amer Int Sch, Dalian 116600, Peoples R China
来源：
PROCEEDINGS OF THE 10TH (2018) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT (FRCFM) | 2018年
关键词：
Exchange Rate Expectations; Bounded Rationality; Forecast Performance;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Based on the international financial institution survey data of RMB exchange rate expectation released by Bloomberg, this paper tests the rationality and forecast performance of the RMB exchange rate expectation. The results show that the expectations are irrational and the statistical performance of expectations is not superior to the forecast resulting from the random walk model. However, the economic performance of the financial institution RMB exchange rate expectation is far exceeding the momentum strategy, which shows the bounded rationality of the expectation.
引用
收藏
页码：373 / 378
页数：6
相关论文
共 50 条
  • [1] The Mechanism and Empirical Study on the Multiple Equilibria Exchange Rate of RMB
    Wang Yajie
    Chen Shengan
    [J]. PROCEEDINGS OF QUANZHOU CONFERENCE ON MANAGEMENT OF TECHNOLOGY (MOT2011), 2011, : 1 - 8
  • [2] Empirical research on RMB equilibrium exchange rate - Analysis and forecast based on multivariable VAR model
    Wang Ya-jie
    Zhao Xin
    Han Jian-guang
    [J]. PROCEEDINGS OF THE 2006 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (13TH), VOLS 1-3, 2006, : 1468 - 1474
  • [3] Empirical research on RMB equilibrium exchange rate
    Zhao, XJ
    Sunbin
    [J]. ORIENT ACADEMIC FORUM SPECIAL, 2004, : 24 - 33
  • [4] An Empirical Study on the Effect of RMB Exchange Rate on Real Estate Price
    Wang Lulu
    Wang Zhaohui
    [J]. Proceedings of 2015 International Symposium - Open Economy & Financial Engineering, 2015, : 445 - 450
  • [5] Will Sentiment of Forex News Effect Forecast of the RMB Exchange Rate?
    Cheng, Zhou
    Wang, Jixiang
    Qi, Tianmei
    Zhao, Junfeng
    Wang, Zhihong
    Guo, Yi
    Zhou, Yu
    [J]. CF '19 - PROCEEDINGS OF THE 16TH ACM INTERNATIONAL CONFERENCE ON COMPUTING FRONTIERS, 2019, : 286 - 288
  • [6] Empirical Research on RMB Exchange Rate with PPP Theory
    Zhang, Che
    [J]. PROCEEDINGS OF CHINA-CANADA INDUSTRY WORKSHOP ON ENTERPRISE RISK MANAGEMENT 2008, 2008, : 308 - 314
  • [7] Empirical Research on the Exchange Rate of RMB Regime Choice
    Zhang Yi
    Cai Lidong
    Ni Qingyang
    [J]. Proceedings of 2015 International Symposium - Open Economy & Financial Engineering, 2015, : 460 - 464
  • [8] An Empirical Study on Effects of RMB Exchange Rate to China's Imported Price
    Ye, Maosheng
    [J]. INTERNATIONAL CONFERENCE ON ENGINEERING AND BUSINESS MANAGEMENT (EBM2011), VOLS 1-6, 2011, : 1847 - 1850
  • [9] Empirical study on the influence of RMB exchange rate misalignment on China's export
    Lu Jian
    [J]. FRONTIERS OF ECONOMICS IN CHINA, 2007, 2 (02) : 224 - 236
  • [10] RMB Exchange Rate Forecast Approach Based on BP Neural Network
    Ye, Sun
    [J]. 2012 INTERNATIONAL CONFERENCE ON MEDICAL PHYSICS AND BIOMEDICAL ENGINEERING (ICMPBE2012), 2012, 33 : 287 - 293
12345