Title :
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
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;
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
DOI :
10.1109/ICMSE.2007.4422083
