This study evaluates the in-sample and out-of-sample RMB exchange rate forecasting with a predictor of CNH-CNY pricing differential. Despite significant evidence of in-sample fit of conditional models at short horizons, we find that RMB exchange rate forecasts based on CNH-CNY spreads do not...

We combine the standard Campbell and Shiller (1988) present-value model with the classical user cost of housing model to decompose the rental yield into three components: expected future rent growth, cost of capital and risk premium of owning versus renting. We then apply a quarterly dataset of...