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Indexed by:会议论文

Date of Publication:2018-01-01

Included Journals:CPCI-SSH

Page Number:373-378

Key Words:Exchange Rate Expectations; Bounded Rationality; Forecast Performance

Abstract: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.