The Empirical Study on Rationality and Forecast Performance of RMB Exchange Rate Expectation

摘要：

　　Based on the international financial institution survey data of RMB exchange rate expectation released by Bloomberg,this paper tests the rationality and forecast performance of the RMB exchange rate expectation.The results show that the expectations are irrational and the statistical performance of expectations is not superior to the forecast resulting from the random walk model.However,the economic performance of the financial institution RMB exchange rate expectation is far exceeding the momentum strategy,which shows the bounded rationality of the expectation.

关键词： Exchange Rate Expectations Bounded Rationality Forecast Performance

作者: Gu Yu Sun Chengzhi Liu Wenlu

作者单位: Faculty of Management and Economics,Dalian University of Technology,Dalian,China,116024 Dalian American International School Huamei Academy,Dalian,China,116600

会议类型: 国际会议

会议名称: The 10th (2018)International Conference on Financial Risk and Corporate Finance Management(第十届(2018)金融风险与公司金融国际研讨会)

会议地点: 大连

会议语种:英文

页码: 373-378

在线出版日期: 2018-07-06（万方平台首次上网日期，不代表论文的发表时间）