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Directional accuracy tests of Chinese renminbi forecasts

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  • Yoichi Tsuchiya
  • Satoshi Suehara

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.

Suggested Citation

  • Yoichi Tsuchiya & Satoshi Suehara, 2015. "Directional accuracy tests of Chinese renminbi forecasts," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 13(4), pages 397-406, November.
    • Handle: RePEc:taf:jocebs:v:13:y:2015:i:4:p:397-406
    DOI: 10.1080/14765284.2015.1106755
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    Cited by:

    1. Baghestani, Hamid & Toledo, Hugo, 2017. "Do analysts' forecasts of term spread differential help predict directional change in exchange rates?," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 62-69.
    2. Frederik Kunze, 2020. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 313-333, March.
    3. Kunze, Frederik, 2017. "Predicting exchange rates in Asia: New insights on the accuracy of survey forecasts," University of Göttingen Working Papers in Economics 326, University of Goettingen, Department of Economics.

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