Directional accuracy tests of Chinese renminbi forecasts |
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Authors: | Yoichi Tsuchiya Satoshi Suehara |
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Institution: | 1. School of Management, Tokyo University of Science, Saitama, Japanytsuchiya@rs.tus.ac.jp;3. Graduate School of International Corporation Studies, Kyorin University, Hachioji-shi, Japan |
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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. |
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Keywords: | renminbi forecast long-run exchange rate emerging markets managed float market-timing tests |
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