Abstract
This study investigates the directional accuracy of Chinese renminbi exchange rate forecasts by professional forecasters. The forecast with a horizon of one year is useful, whereas the forecasts with forecast horizons of one and three months are not useful in predicting the direction of the exchange rate change. The results for the long-term forecasts suggest that forecasters believe that the government maintains its foreign exchange rate policy of renminbi appreciation. In contrast, short-term forecasts show consistent evidence of exchange rate unpredictability.
Original language | English |
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Pages (from-to) | 397-406 |
Number of pages | 10 |
Journal | Journal of Chinese Economic and Business Studies |
Volume | 13 |
Issue number | 4 |
DOIs | |
Publication status | Published - 2015 Oct 2 |
Externally published | Yes |
Keywords
- emerging markets
- long-run exchange rate
- managed float
- market-timing tests
- renminbi forecast
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)