Nomura USD/CNY Central Parity Prediction Model: Target Forecast 6.7129
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Nomura's USD/CNY central parity prediction model generates a target fixing forecast of 6.7129. The note is built around three exhibits that document how the forecast is constructed and how it has performed. The first chart ranks the top four weighted overnight contributions to the change in the forecast, excluding the counter-cyclical factor, isolating the market inputs that moved the model's expected fixing most on the latest session. The second chart tracks recent model error, likewise excluding counter-cyclical factor adjustments, showing the gap between predicted and actual central parity fixings and serving as a check on model reliability. The third chart plots daily changes in the USD/CNY central parity itself, providing the raw series against which the model's forecasts and errors are measured. Together, the exhibits let readers trace the predicted fixing, the drivers behind its movement, and the model's recent accuracy, all computed excluding the counter-cyclical factor.
Key exhibits
Exhibit 1
Exhibit 2
Exhibit 3
