Semi-parametric forecasting model for USD/CNY exchange rate
CAI Zong-wu1,2,3,4, CHEN Lin-na2, FANG Ying2,3,4
1. Department of Mathematics & Statistics, University of North Carolina at Charlotte, Charlotte, NC 28223, USA; 2. Wang Yanan Institute for Studies in Economics, Xiamen University, Xiamen 361005, China; 3. China Ministry of Education (MOE Key Laboratory of Econometrics at Xiamen University, Xiamen 361005, China; 4. Fujian Key Laboratory of Statistical Science, Xiamen University, Xiamen 361005, China
Abstract:Using the daily USD/CNY exchange rate time series data from January 4th, 2006 to July 18th, 2008, this paper proposes a semi-parametric approach to model the conditional mean and conditional volatility simultaneously. A nonparametric functional-coefficient model is employed to estimate the conditional mean, and a GARCH-type model with a policy change dummy is adopted to describe the dynamics of the conditional volatility. Moreover, the corresponding policies play a significant role on both mean and volatility. Finally, a nonparametric quantile regression estimation is applied to compute prediction intervals. The empirical results demonstrate that the proposed semi-parametric model has good performance in terms of in-sample goodness of fit and out-of-sample forecasts.
[1] 卢锋、韩晓亚. 长期经济成长与实际汇率演变[J]. 经济研究, 2006, 7: 4-14. Lu F, Han X Y. Economic growth and real exchange rate changes[J]. Economic Research Journal, 2006, 7: 4-14. [2] Franses P H, Dijk van D. Nonlinear Time Series Models in Empirical Finance[M]. Cambridge: University Press, 2000. [3] Michael P, Nobay A, Peel D. Transactions costs and nonlinear adjustment in real exchange rates: An empirical investigation[J]. The Journal of Political Economy, 1997, 105: 862-879. [4] Sarantis N. Modeling non-linearities in real effective exchange rates[J]. Journal of International Money and Finance, 1999, 18: 27-45. [5] 谢赤,戴克维,刘潭秋. 基于STAR 模型的人民币实际汇率行为的描述[J]. 金融研究, 2005(5): 51-59. Xie C, Dai K W, Liu T Q. On the real exchange rate of RMB based on STAR model[J]. Journal of Financial Research, 2005(5): 51-59. [6] 刘潭秋. 人民币实际汇率的非线性特征研究 [J]. 数量经济技术经济研究, 2007(2): 11-18. Liu T Q. Study on nonlinear characteristics of RMB's real exchange rates[J]. The Journal of Quantitative & Technical Economics, 2007(2): 11-18. [7] 刘柏,赵振全. 基于STAR 模型的中国实际汇率非线性态势预测[J]. 数量经济技术经济研究, 2008(6): 3-40. Liu B, Zhao Z Q. Nonlinearity forecasting of real exchange rate in China based on STAR[J]. The Journal of Quantitative & Technical Economics, 2008(6): 3-40. [8] Diebond F X, Nason J A. Nonparametric exchange rate prediction?[J]. Journal of International Economics, 1990, 28: 315-332. [9] Gencay R. Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules[J]. Journal of International Economics, 1999, 47: 91-107. [10] Hong Y, Lee T. Inference on via generalized spectrum and nonlinear time series models[J]. The Review of Economics and Statistics, 2003, 85: 1048-1062. [11] Schuster A. On the investigation of yidden periodicities with application to a supposed 26 day period of meteorological phenomena[J]. Journal of Geophysical Research, 1898, 3: 13-41. [12] Stone C J. Consistent nonparametric regression[J]. Applied Statistics, 1977, 5: 595-635. [13] Chen R, Tsay R. Functional-coefficient autoregressive models[J]. Journal of the American Statistical Association, 1993, 88: 298-308. [14] Cai Z, Fan J, Yao Q. Functional-coefficient regression models for nonlinear time series[J]. Journal of American Statistical Association, 2000, 95: 941-956. [15] Hurvich C, Simonoff J, Tsai C. Smoothing parameter selection in nonparametric regression using an improved Akaike[J]. Journal of the Royal Statistical Society, Series B (Statistical Methodology), 1998, 60: 271-293. [16] Cai Z, Tiwari R. Application of a local linear autoregressive model to BOD time series[J]. Environmetrics, 2000, 11: 341-350. [17] Granger C, White H, Kamstra M. Interval forecasting: An analysis based upon ARCH-quantile estimators[J]. Journal of Econometrics, 1989, 40: 87-96. [18] Koenker R, Bassett G. Regression quantiles[J]. Econometrica, 1978, 46: 33-50. [19] Honda H. Nonparametric estimation of a conditional quantile for alpha-mixing processes[J]. Annals of the Institute of Statistical Mathematics, 2000, 52: 459-470. [20] Cai Z, Xu Q. Nonparametric quantile estimations for dynamic smooth coefficient models[J]. Journal of the American Statistical Association, 2008, 103: 1595-1608. [21] Fan J, Yao Q, Cai Z. Adaptive varying-coefficient linear models[J]. Journal of the Royal Statistical Society Series B, 2003, 65: 57-80.