Forecasting the USD/CNY Exchange Rate under Different Policy Regimes

Yuxuan Huang ()
Additional contact information
Yuxuan Huang: The George Washington University

No 2016-001, Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting

Abstract: The USD/CNY exchange rate exhibits very different pattern in different periods as it changes wildly from one period to another according to the economic reforms and policies. This paper compares the performance of six different forecasting models of USD/CNY exchange rate under three different forecast scenarios from 2005-2015. In particular, the paper focuses in answering the following questions. (i) Do models' forecast performance change when the marketization level changes? (ii) Which model has the best forecast when the regimes change? (iii) Can forecasting robustifications help? The forecast results show that models incorporates economic fundamentals perform better in less regulated periods when the exchange rate can oat more freely. For the forecast experiments with breaks in the forecast origin, the exchange rate CVAR model perform the best before robustifications. In most cases, the intercept-correction and doubledifference device improve the forecast performance in both dynamic forecast and one-step forecast. Different models seem to do well under different forecast scenario after applying the robust devices.

Keywords: Exchange rates; Forecasting; US Dollar; Chinese Yuan (search for similar items in EconPapers)
JEL-codes: C53 F31 F37 (search for similar items in EconPapers)
Pages: 37 pages
Date: 2016-01
New Economics Papers: this item is included in nep-for, nep-pr~ and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www2.gwu.edu/~forcpgm/2016-001.pdf First version, 2016 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gwc:wpaper:2016-001

Access Statistics for this paper

More papers in Working Papers from The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting Contact information at EDIRC.
Bibliographic data for series maintained by GW Economics Department ().