Research On Short-Term Combined Forecasting Of RMB Exchange Rate

Based on the review of exchange rate forecasting theories and models, the paper studies on the short-term forecasting of RMB exchange rate, whose combined forecasting model is analyzed thoroughly and a series of strategies on exchange rate risk management are proposed. The main work and research are organized as follows:1. The research background and meaning of the paper is introduced systematically in accordance with emphasizing the significance of exchange rate forecasting, some research literature on exchange rate forecast are reviewed briefly, and main content and structure are introduced.2. Based on a review of the domestic and foreign documents, the paper introduce three main research methods and their current situation, including which are on the basis of exchange rate theory, on the basis of nonparametric method and on the basis of time series model, subsequently some objective appraisals are elaborated.3. Based on comprehensive consideration about the particularity of our exchange rate policy, and the characteristics of different forecasting methods, the paper establishes a combined forecasting model on the basis of GARCH model and Grey Markovian model for the non-stationary series with using arithmetic average weight method, variance reciprocal weight method and optimal weight method, then the model is applied to RMB/USD exchange rate short-term forecasting, which gives strong support to the feasibility of the study in this paper for improving precision.4. The reasons causing the RMB appreciation pressure, together with the advantages and disadvantages of it are given a detailed analysis; corresponding strategies of exchange rate risk management are proposed to the import and export enterprise, commercial bank, and foreign exchange investors.5. The results of the research are summarized in the last part, including characteristics and suitable measures, and several future research directions are released for reference.