Directional accuracy tests of Chinese renminbi forecasts

Yoichi Tsuchiya, Satoshi Suehara

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)397-406
Number of pages10
JournalJournal of Chinese Economic and Business Studies
Volume13
Issue number4
DOIs
Publication statusPublished - 2015 Oct 2
Externally publishedYes

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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