Renminbi Exchange Rate Forecasting
DOWNLOAD
Download Renminbi Exchange Rate Forecasting PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Renminbi Exchange Rate Forecasting book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Renminbi Exchange Rate Forecasting
DOWNLOAD
Author : Yunjie Wei
language : en
Publisher: Routledge
Release Date : 2021-05-10
Renminbi Exchange Rate Forecasting written by Yunjie Wei and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-10 with Business & Economics categories.
With the internationalization of Renminbi (RMB), the gradual liberalization of China's capital account and the recent reform of the RMB pricing mechanism, the RMB exchange rate has been volatile. This book examines how we can forecast exchange rate reliably. It explains how we can do so through a new methodology for exchange rate forecasting. The book also analyzes the dynamic relationship between exchange rate and the exchange rate data decomposition and integration, the domestic economic situation, the international economic situation and the public’s expectations and how these interactions would affect the exchange rate. The book also explains why this comprehensive integrated approach is the best model for optimizing accuracy in exchange rate forecasting.
Chinese Currency Exchange Rates Analysis
DOWNLOAD
Author : Jiangze Du
language : en
Publisher: Routledge
Release Date : 2017-09-05
Chinese Currency Exchange Rates Analysis written by Jiangze Du and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-05 with Business & Economics categories.
This book provides an overview of Chinese RMB exchange markets and its risk management strategies. The view that RMB is playing an increasingly international role has been widely accepted by practitioners as well as scholars worldwide. Moreover, the Chinese government is opening the control of RMB exchange market step by step. However, some related topics are under heated debate, such as how to manage and warn of the currency crisis, what the trend of RMB exchange rate in the future is, and how to hedge the exchange risk in the process of RMB internationalization. In this book, we will give distinct answers to the above questions.
Can Offshore Markets Beat Random Walk An Evaluation Of The Out Of Sample Rmb Exchange Rate Predictability
DOWNLOAD
Author : Sichong Chen
language : en
Publisher:
Release Date : 2016
Can Offshore Markets Beat Random Walk An Evaluation Of The Out Of Sample Rmb Exchange Rate Predictability written by Sichong Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
This study evaluates the in-sample and out-of-sample RMB exchange rate forecasting with a predictor of CNH-CNY pricing differential. Despite significant evidence of in-sample fit of conditional models at short horizons, we find that RMB exchange rate forecasts based on CNH-CNY spreads do not work well out-of-sample. While the poor performance in predicting CNH is mainly driven by the PBC announcement on improving quotation of the central parity of RMB in Aug. 11, 2015, the out-of-sample performance of CNY predictions was consistently worse than its unconditional counterpart before 2015. However, we show that predictive regressions using CNH-CNY spreads can beat random walk even in the CNY market, as long as we remove trend from the CNH-CNY spread. Finally, we discuss policy implications of our forecasting results for pricing power and capital restrictions.
Predicting Exchange Rates In Asia
DOWNLOAD
Author : Frederik Kunze
language : en
Publisher:
Release Date : 2017
Predicting Exchange Rates In Asia written by Frederik Kunze and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing tests for unbiasedness and efficiency. All investigated forecasts are irrational in the sense that the predictions are biased. However, these results are inconsistent with an alternative measure of rationality based on methods of applied time series analysis. Investigating the order of integration of the time series and using cointegration analysis, empirical evidence supports the conclusion that the majority of forecasts are rational. Regarding forerunning properties of the predictions, the results are less convincing, with shorter term forecasts for the tightly managed USD/CNY FX regime being one exception. As one important evaluation result, it can be concluded, that the currency regime matters for the quality of exchange rate forecasts.
Handbook Of Exchange Rates
DOWNLOAD
Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
The Information Content In The Offshore Renminbi Foreign Exchange Option Market
DOWNLOAD
Author : Michael Funke
language : en
Publisher:
Release Date : 2018
The Information Content In The Offshore Renminbi Foreign Exchange Option Market written by Michael Funke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
In line with the deepening of the derivative foreign-exchange market in Hong Kong, we recover risk-neutral probability densities for future US dollar/offshore renminbi exchange rates as implied by exchange rate option prices. The risk-neutral densities (RND) approach is shown to be useful in analyzing market sentiment and risk aversion in the renminbi market. We include a forecasting exercise that confirms market participants were able to forecast the shape of the actual densities correctly for short horizons, even if their exact location could not be determined.
Rmb Exchange Rate The Past Current And Future
DOWNLOAD
Author : Yin-wong Cheung
language : en
Publisher: World Scientific
Release Date : 2016-11-22
Rmb Exchange Rate The Past Current And Future written by Yin-wong Cheung and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-11-22 with Business & Economics categories.
Over the past two decades, China's robust economic performance has propelled it to the world stage. At the same time, the world has increasingly scrutinized China's economic policies and activities. One of the hotly contested issues is China's foreign exchange rate policy. China's current reform and modernization policies to convert its centrally planned economy towards a market-driven one could hardly draw on experiences of other countries.This book provides a succinct and up-to-date account of China's exchange rate policy including the currency undervaluation debate and the internationalization of its currency. It begins with a brief history of the modern China's foreign exchange rate policy. In particular, it highlights the three Chinese policy characteristics; namely, independence, controllability and practicability, and graduality. This prologue helps to interpret China's policy on its currency, the renminbi (RMB); including its recent initiatives to promote the international use of its currency.The book covers the basic theoretical and empirical issues that are relevant for determining the equilibrium value of the RMB exchange rate and, hence, its degree of misalignment. Then it evaluates the controversy surrounding the RMB valuation debate, and highlights the sensitivity of empirical estimates of the degree of misalignment to alternative presumptions.The book also examines the timely issues related to China's recent efforts in promoting the use of its currency in the global financial market. After describing the background of China's recent efforts to internationalize the RMB, the book a) discusses the main promotional policies, including the recent Qianhai project and Shanghai Free Trade Zone initiative, b) evaluates the current status of the offshore RMB market, the level of international use of the RMB and the admission to the SDR basket, and c) assesses the future prospects of the RMB to be a global currency.
Currency Forecasting
DOWNLOAD
Author : Michael Roy Rosenberg
language : en
Publisher:
Release Date : 1996
Currency Forecasting written by Michael Roy Rosenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co
Exchange Rate Forecasting Techniques Survey Data And Implications For The Foreign Exchange Market
DOWNLOAD
Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 1990-05-01
Exchange Rate Forecasting Techniques Survey Data And Implications For The Foreign Exchange Market written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-05-01 with Business & Economics categories.
This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
Adaptive Multivariable Monetary Model With Application In Forecasting The Rmb Exchange Rates
DOWNLOAD
Author : Xinjue Li
language : zh-CN
Publisher:
Release Date : 2018
Adaptive Multivariable Monetary Model With Application In Forecasting The Rmb Exchange Rates written by Xinjue Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
English Abstract: To develop an outstanding Renminbi exchange rates forecasting model based on the background of Renminbi internationalization and the increased two-way volatility becomes much more important. By developing an adaptive multivariable monetary model, we do the out-of-sample forecasting for the Renminbi exchange rates after 01/2011 and compare the forecasting accuracy with the other 6 different widely used competitive models. We find that the forecasting ability of a parameter model depends not only on whether it is correctly specified but also on the efficiency of whether it can detect the structure changes and using the effective observations to estimate the parameters. Our developed model can manage of capturing the parameters' time-varying properties and significantly outperform the Random Walk, Purchasing Power Parity model, Flexible Price Monetary Model, Interest Rate Parity Model, Taylor Rule Model, and the Taylor Rule Differential Model in the middle and the long run (3- to 24- months ahead). In this paper, we have developed an adaptive multiple monetary regression model which can not only detect the structure changes automatically at every time point but can also detect the parameter homogenous subintervals and identify the longest homogeneous subintervals which are used as the best subinterval to estimate the parameters.