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

页码：373 / 378

页数：6

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