ツチヤ　ヨウイチ   TSUCHIYA YOICHI   土屋　陽一    所属   明治大学  商学部    職種   専任教授
言語種別	英語
発行・発表の年月	2016/09
形態種別	学術雑誌
査読	査読あり
標題	Asymmetric loss and rationality of Chinese renminbi forecasts: An implication for the trade between China and the US
執筆形態	単著
掲載誌名	Journal of International Financial Markets Institutions & Money
掲載区分	国外
出版社・発行元	ELSEVIER SCIENCE BV
巻・号・頁	44,pp.116-127
著者・共著者	Yoichi Tsuchiya
概要	This study examines the asymmetry of the loss function in Chinese renminbi exchange rate forecasts and tests the rationality of the forecasts, assuming a possibly asymmetric loss function. The results indicate that the majority of forecasters have asymmetric loss adverse to US dollar appreciation and the direction of asymmetry is associated with institutional bases, in particular, those in the US. It is consistent with the facts that RMB is often said to be undervalued and there are political conflicts between China and its largest trade partner, the US. This study also finds evidence of rationality under an asymmetric loss function. It implies that those forecasters efficiently use the information in key exchange rate indicators. (C) 2016 Elsevier B.V. All rights reserved.
DOI	10.1016/j.intfin.2016.05.001
ISSN	1042-4431