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1 * (1) ; (2) 70% 25% ; F831 A % (1) 1990 (2) ( ) ; ; * ( ) /

2 ( (3) 2009) (70% ) ; ; ; (2007) ; ; (2005) ; (2010) ; (2009) MacDonald & Taylor ; (1989) Ito (1990) Chinn et al. (1994) (2009) Verschoor et al. (2002) ; Frankel & Froot ( ) (1990) Takagi (1991) Allan & Taylor (1990) Ito (1990) Mac Donald & Marsh (1996) Bénassy-Quéré et al. (2003) Frenkel et al. (2009) (2009) NDF (2009) (2005) ; (2005) ; (2010) 48 /

3 ( h h= ); I t t NDF ; s t+h t+h ; (2009) 2. E it (s t+h )-s t =b(s * t-s t )b>0i=1 Nt=1 T (2) ; s * t-s t ; b b>0 s * t>s t (1)? (2) 3.??? (3)? E it (s t+h )-s t =d(s t -s t-1 )d>0i=1 Nt=1 T (3)? (4) s t-1 t-1 ; s t - s t-1 ; d? () E it (s t+h )-E it-h (s t )=(1+f)[(s t -E it-h (s t )]1+f>0 i=1 Nt=1 T (4) s t t ; s * t d>0 4. E it-h (s t ) i t-h t 1. ; s t -E it-h (s t ) t-h ; (1+f) 1+f>0 s t >E it-h (s t ) ; 1+f 1 E it (s t+h )=E it (s t+h I t )=s t+h (1) () E it (s t+h ) i t t+h /

4 X i ;Λ 赞 i ; Λ 赞 * Λ 赞 i i σ 2 i s 2 i Swamy x 2 F Be nassy-que re et al. (2003) (CEIC) ( (Bloomberg) ) ( E it (s t+h )-s t =α i +X it β i +u it i=1 Nt=1 T (5) 2010 ) α i β i ζ v i Λ i =(α i β i ) =ζ+v i i Ev i =0;E(X it ν j )=0E(v i u j )=0;Eν i ν j = λιi=j ; 0i j 2 ΙT i=j E(u i u j )= σ i 0i j bootstrap Swamy ald & Marsh (1996) MacDon- 5 Swamy (Swamy 1970) H 0 Λ i =Λ Swamy=Σ n i=1 (Λ 赞 -Λ 赞 *) X X (Λ 赞 -Λ 赞 *)/s 2 i i i i i i i (6) 62.16% 27.03% ( 1) ( 4 ) ~ ~ (UniCredit) (Lehman Brothers) (CFC Seymour) (Dresdner) (Bank of New York) (Nomura International) (Standard Bank) 7 50 /

5 1 JB *** *** *** *** *** Jarque-Bera 1% ; Jarque-Bera ( ( 1 20 ) ) ; /

6 () F ( ) E it (s t+h ) () s t+h 0 σ 2 υ it s t+h -s t F H 0 a=0 b=1 E it (s t+h )-s t =a+b(s t+h -s t )+ν it (7) ν it ~i.i.d (0 σ 2 ) E it-h (s t )-s t a -0.04*** (z=-19.51) A *** (z=-4.00) 3 6 b (z=0.06) B 0.12*** (z=12.54) a -0.07*** (z=-28.36) A -0.03*** (z=13.27) F H 0 A=B= (P=0.000) P= (0.0000) s t-h -s t a=0 b=1 Fiess & ( ) E it (s t+h )-s t+h =A+B(Z t -s t )+u it (8) Z t (σ Δet /σ ΔRt )(ΔR t ) ω t = (9) E it-h (s t ) s t-h f t-h (s t ) (σ Δet /σ ΔRt )(ΔR t )+Δe t A Δe t ΔR t B 2 A *** (z=-10.5) (p=0.0000) 105. (p=0.0000) B -0.71*** (z=-27.3) 2 1. Shankar (2009) σ Δet σ ΔRt A -0.01*** (z=-6.02) F H 0 A=B= (P=0.000) (P=0.000) b 0.56*** (z=13.15) B *** (z=-7.31) B -0.74*** (z=-40.7) *** ** 1%5% 52 /

7 Δe t =0 ω t =1 ; ; ω t int t int t = ω t -1 (10) int t =0 int t ; Be nassy-que re et al. (2003) & Vigfussion (1997) ( 2000; 2004) (2010) (m-m*) (y-y*) (i-i*) (p-p*) S ( ) S t =α+β 1 (1m t -1m * )+β 軍 1(y t 2 t -y* )+β 軍 (i 3 t -i* )+ t ; ; (2010) * + -? l (2010)? β + 4 (p t -p* t )+ε t (11) CPI M CEIC ADF CEIC I (1) Johansen /

S t =10.08-2.19 (lm t -lm * t)-0.211 (y t -y * t) (-9.39****) (-1.44**) 3. (b 1 ) 40.54%~56.75% Be nassy- -0.13 (i t -i * t)+0.

8 S t = (lm t -lm * t) (y t -y * t) (-9.39****) (-1.44**) 3. (b 1 ) 40.54%~56.75% Be nassy (i t -i * t)+0.02 (p t -p * t) (12) E it (s t+h )-s t =a ih +b 1 ih(s * t-s t )+b 2 ih[(s * t-s * t-1)-(s t - (-9.17***) (3.20***) s t-1 )]c ih int t +u ith (13) Hausman 0 p 1 H-P bootstrap Swamy ; (2009) 2007 Que re et al. (2003) (2) (13) 100 p ( ) ( ) 3 ( b 1 ) 13.5%~32.43% ( 25% ) b /

9 *** b 1 (z=5.43) 0.94*** b 2 (z=6.06) c -0.03*** (z=-13.51) 0.13*** (z=5.66) 1.02*** (z=5.90) -0.05*** (z=-15.03) 0.23*** (z=8.55) 1.09*** (z=4.87) -0.07*** (z=-14.38) 0.22*** (z=7.81) 0.69*** (z=3.12) -0.08*** (z=-21.41) b b b b c c Swamy H 0 Λ i =Λ (P=0.6519) 1.06 (P=0.6466) (P= ) (p= ) *** 1% 1% Swamy Swamy p Swamy 200 p 0 () 3 6 (3) (14) s t-3 s t-6 s t-9 3 ( 3 ) 6 9 E it (s t+h )-s t =a ih +d 1 ih(s t -s t-3 )+d 2 ih(s t-3 -s t-6 )+d 3 ih 3 (s t-6 -s t-9 )+g ih int t +u ith (14) 4 d 1 d 2 d 3 ( 3 ) 4 15% d 1 d 2 d 3 Be nassy-que re et al. (2003) 3 6 (d 1 d 2 ) 86%70% 6 9 (d 3 ) 30% () /

10 *** d 1 (z=12.14) 0.68*** d 2 (z=12.09) d 3 (z=-6.67) g (z=0.16) Swamy H 0 Λ i =Λ (P=0.0000) d d d d d d g 5.41 g *** (z=14.30) 0.93*** (z=9.02) -0.34*** (z=-2.33) -0.12*** (z=-4.19) (P=0.0002) *** (z=24.98) 1.13*** (z=19.62) -0.50*** (z=-9.83) -0.02*** (z=-5.61) (P=0.0001) *** (z=24.71) 1.21*** (z=12.23) -0.52*** (z=-7.11) *** (z=-5.30) (P=0.0005) *** 1% 1% f ** (z=-6.13) f f Swamy H 0 Λ i =Λ (P=0.2744) *** (z=14.38) (P=0.0000) *** (z=8.81) (P=0.0000) *** (z=10.15) (P=0.0000) *** ** 1%5% 5% (4) E it (s t+h )-s t =a ih +f i [(s t -E it-h (s t ))]+u ith (15) 24.3% 3 ; 50% Swamy ; ; 56 /

11 1. (1) 1 ; (2) 70% ; 2. 70% 3 50% 3. ; 25% % Bénassy-Quéré et al. (2003) % 84.2% 70.6% ( ) Be nassy-que re et al. (2003) 1 /

12 [1]. / [J] (6) 64~76. [2]. [J] (12) 91~98. [3].? (1994~2008) [J] (11) 55~65. [4]. FDI [J] (7) 15~22. [5]. [J] (8) 49~67. [6]. [J] (3) 102~107. [7]. [J] (7) 66~75. [8]. [J] (4) 13~21. [9]. [J] (5) 27~41. [10]. [J] (2) 116~124. [11]. [J] (9) 10~18. [12]. [J] (7) 23~29. [13] Allen H. and Taylor M. P. Chartist Noise and Fundamentals in the London Foreign Exchange Market [J]. The Economic Journal (400) 49~59. [14] Benassy ~Quere A. Larribeau S. and MacDonald R. Models of Exchange Rate Expectations How much Heterogeneity [J]. Journal of International Financial Markets Institutions and Money 2003 (13) 113~136. [15] Chinn M. and Frankel J.A.Patterns in Exchange Rate Forecasts for Twenty~five Currencies [J]. Journal of Money Credit and Banking (4) 759~768. [ 16] Fiess and Shankar. Determinants of Exchange Rate Regime Switching [J]. Journal of International Money and Finance (1) 68~98. [17] Frankel J. A. and Froot K. A. Chartists Fundamentalists and Trading in the Foreign Exchange Market [J]. American Economic Review (2) 181~185. [18] Frenkel. M. Rülkea. J. C. and Stadtmannb. G. Two Currencies One Model? Evidence from the Wall Street Journal Forecast Poll[J]. Journal of International Financial Markets Institutions and Money 2009 (19) 588~596. [ 19] Ito T. Foreign Exchange Rate Expectations Micro Survey Data [J]. American Economic Review (3) 434~449. [20] MacDonald R. and Marsh I. W. Currency Forecasters are Heterogeneous Confirmation and Consequences [J]. Journal of International Money and Finance (5) 665~685. [21] MacDonald R.and Taylor M. P. Foreign Exchange Market Efficiency and Cointegration Some Evidence from the Recent Float[J]. Economics Letters (1) 63~68. [22] Mundlak Y. On the Pooling of Time Series and Cross Section Data [J]. Econometrica (1) 69~85. [23] Verschoor W. F. C. and Wolff C.C.P.Scandinavian Exchange Rate Expectations [J]. Applied Economics Letters (2) 111~116. [24] Vigfussion R. Switching between Chartists and Fundamentalists A Markov Regime Switching Approach [J]. International Journal of Finance & Economics (4) 291~305. [25] Swamy P. A. Efficient Inference in a Random Coefficient Regression Model [J]. Econometrica (2) 311~323. [ 26] Takagi S. Exchange Rate Expectations A Survey of Survey Studies [R]. IMF Staff Papers ( 1) 156~183. Abstract Continuous appreciation expectation of RMB currency causes challenge to China s exchange rate mechanism reform and financial stability. In this paper we use the survey data from well-known international financial institutions to analyze the characteristics of RMB exchange rate expectation and obtain two major findings ( 1) financial institutions expectation towards exchange rate is irrational; (2) their exchange rate expectation is heterogeneous in that more than 70% of financial institutions forecast exchange rate movements based on its past trend while an average of 25% of financial institutions revert to macro fundamental; what s more their degrees of attention differ when facing the same information. The above findings provide new reference to understand the characteristics of RMB exchange rate expectation and thus to conduct exchange rate mechanism reforms. Keywords Exchange Rate Expectations; Irrationality; Heterogeneity 58 /

Girton Roper (1977),,,,,, ( ),,,,,,, ( Exchange Market Pressure) 30 EMP, EMP EMP,Girton Roper (1977), ,,, Kim(1985) ,,, T

Girton Roper (1977),,,,,, ( ),,,,,,, ( Exchange Market Pressure) 30 EMP, EMP EMP,Girton Roper (1977), ,,, Kim(1985) ,,, T : : : 3 : 1994 1 2008 1,,,,,,, : 1994,,, 1994 1 1, 1 8172, 1997 7, 1 8130, 418 % 2005 7 21, 1 8111, 2 % 2005,,2007, 1 713046, 2006 619 %, 2005, 1313 %,2007, 0141 %, 310,,?,?,?, Girton Roper (1977) ( EMP),