School of Business and Management Department of Economics 174 Market Expectations and RMB Exchange Rate Policies Supervisor: LU Yang / ECON Student: CHIU Kam Wan / MAEC PAN Xilei / ECOF ZHOU Shihong / ECOF Course: UROP 1100, Fall UROP 1100, Fall UROP 1100, Fall We aim to investigate the efficiency of different kinds of forecasting methods and how they react to the policy change such as CPRS in different terms. We replicated the previous work and made some corrections. Continuing the research, we determined the best decay rate for exponentially decayed weight CPRS to better analyse the forecaster's reaction to policy change. We used a unit root test to prove that the actual exchange rate follows a random walk, which is consistent with the forecasting method in the previous study. Forward rate might be a better forecasting compared to the poll data used previously considering MSE. Market Expectations and RMB Exchange Rate Policies Supervisor: LU Yang / ECON Student: CHIU Kam Wan / MAEC PAN Xilei / ECOF TANG Yuqian / ECOF ZHOU Shihong / ECOF Course: UROP 2100, Spring UROP 2100, Spring UROP 3100, Spring UROP 2100, Spring We aim to investigate different aspects of market expectations of the USDCNY exchange rate and how they react to information such as economic data and policy reforms. We used the survey data from Bloomberg and USDCNY option prices to describe the market expectations, representing perspectives from different societal parties. We found big revision dates in which the forecasting changes significantly under different bars. We extracted the common revision dates on which we observed significant revisions in both the options market and survey entities’ forecasts. We also analyzed the correlation between market’s common revision and political news. We found that FOMC meetings and CPRS show an association with the market expectation changes, while the release of other US and CN economic data shows no significant correlation.
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