Massive progress and fruitful results have been achieved since the implementation of the Belt and Road Initiative (B&R). However, the risk of exchange rate between countries along the Belt and Road cannot be ignored. In this paper, we propose a B&R exchange rate index to evaluate the currency risk of countries along the B&R, along with a research on the multiscale features of the B&R exchange rate index and the effective RMB exchange rate index using the EMD algorithm. Then, we propose an integrated forecasting approach. We adopt the EMD algorithm and the Grey Relational Analysis to decompose and reconstruct the B&R exchange rate index and the effective RMB exchange rate index into three subsections with different volatility characteristics. The prediction outcome of the integrated model for the original series equals a sum of the Auto-regressive Integrated Moving Average model for trend term and the Long Short-Term Memory model for market fluctuation term as well as noise term. The results of our prediction demonstrate a much better performance of our proposed integrated forecasting model than pure methods. Lastly, several suggestions are put forward to help relevant enterprises effectively avoid and manage the exchange risks. K E Y W O R D S belt and road exchange rate index, EMD algorithm, integrated forecasting model, multiscale features 1 INTRODUCTION According to BELT AND ROAD PORTAL 1 , as of April 2019, China has signed 173 cooperation documents with 125 countries along the Belt and Road (B&R), expanding the scope from the Asia-Europe region originally to Africa, Latin America, South Pacific, Western Europe and other countries gradually. Besides, from 2013 to 2018, The total trade volume between China and regions along the route has exceeded 6 trillion U.S. dollars, according to the National Development and Reform Commission. In terms of the Ministry of commerce, 15.64 billion dollars has been invested by Chinese enterprises in non-financial direct investments in 56 countries along the B&R, up 8.9% year on year, taking up 13% of the total amount of investment over the same period; 7721 foreign contractual projects along the B&R have been newly signed, with a total value of 125.78 billion dollars; the total turnover was up to 89.33 billion dollars with a growth of 4.4% over the same period in 2017, which accounted for 52.8% of the total amount in 2018. However, the exchange rate fluctuations of currencies around the "Belt and Road" area are usually higher than that of mainstream currencies such as the U.S. dollar and the Euro. One reason is that the exchange rate systems of these countries are mainly soft pegged and floating, especially in Europe and Africa, which makes these countries' currencies more sensitive to the impact of uncertain market factors. Another reason is that the economic development in countries and regions along the B&R varies greatly, making the country risk relatively high. 1 https://eng.yidaiyilu.gov.cn/
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