National Natural Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71771030, 71671018, 11301041]
机构署名：
本校为第一且通讯机构
院系归属：
数学与统计学院
摘要：
The purpose of this paper is to analyze whether the fluctuations of RMB/USD exchange rate can predict the Chinese industry return volatilities during post-financial crisis period. Our in-sample results show there is significant Granger causality from RMB/USD exchange rate fluctuations to China's industry return volatilities. The out-of-sample results also indicate the RMB/USD exchange rate fluctuations extracts significantly useful information from the predictors. Further analysis about the energy industry shows that simple linear regression is sufficient for capturing predictive relationships...
