Nonlinear Analysis of RMB/USD Exchange Rate after the Exchange Rate Reform in 2005

Author

Li Zhe ; Xiao-feng, Hui ; Jing-mei, MA

Author_Institution

Harbin Inst. of Technol., Harbin

fYear

2007

fDate

20-22 Aug. 2007

Firstpage

1674

Lastpage

1679

Abstract

The nonlinear local technique is used to test the nonlinearity of RMB/USD exchange rate after the exchange rate reform in 2005, and three models are used to forecast RMB/USD exchange rate. After the exchange rate reform, the exchange rate of RMB/USD is more fluctuant than before, which makes the forecast of the RMB/USD exchange rate more and more important in the research area and in practice. In order to test the nonlinearity of the exchange rate, the surrogate data methods are put forward and the results indicate that RMB/USD exchange rate has nonlinear predictability. The forecast performances of the three models on the RMB/USD exchange rate show that the nonlinear one order weighted local method is more precise than the ARIMA model and ANN models.

Keywords

exchange rates; exchange rate; nonlinear local technique; order weighted local method; surrogate data methods; Artificial neural networks; Conference management; Economic forecasting; Engineering management; Exchange rates; Fluctuations; Predictive models; Space technology; Technology management; Testing; RMB/USD exchange rate; nonlinear predictability; nonlinear test; surrogate data;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering, 2007. ICMSE 2007. International Conference on

Conference_Location

Harbin

Print_ISBN

978-7-88358-080-5

Electronic_ISBN

978-7-88358-080-5

Type

conf

DOI

10.1109/ICMSE.2007.4422083

Filename

4422083