Directional accuracy tests of Chinese renminbi forecasts

Yoichi Tsuchiya; Satoshi Suehara

doi:10.1080/14765284.2015.1106755

Directional accuracy tests of Chinese renminbi forecasts

Yoichi Tsuchiya, Satoshi Suehara

Research output: Contribution to journal › Article › peer-review

3 Citations (Scopus)

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
Pages (from-to)	397-406
Number of pages	10
Journal	Journal of Chinese Economic and Business Studies
Volume	13
Issue number	4
DOIs	https://doi.org/10.1080/14765284.2015.1106755
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)

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