RMB Exchange Rate Prediction based on EMD-LSTM Model

Cuitong Hu ()
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Cuitong Hu: University of Glasgow, Adam Smith Business School

A chapter in Proceedings of the 2024 4th International Conference on Enterprise Management and Economic Development (ICEMED 2024), 2024, pp 326-336 from Springer

Abstract: Abstract With the promotion of internationalization and marketization of RMB, it is of great importance and urgency to improve the prediction performance of RMB exchange rate. On the basis of EMD-LSTM model, this paper focus on USD/CNY exchange rate prediction, systematically integrating short-term influencing factors including Crude Oil, Gold, Interest Spread, VIX and EPU. The results showed that Empirical Mode Decomposition (EMD) can greatly improve prediction accuracy. Besides, the integration of EPU and VIX can make the model perform better, indicating that policy uncertainty and market fear sentiment both have obvious influence on USD/CNY fluctuation. These findings can help enrich the researches of exchange rate prediction and have important referencing meaning for related policy-making in China.

Keywords: RMB exchange rate; Prediction; EMD-LSTM (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-506-5_36

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DOI: 10.2991/978-94-6463-506-5_36

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