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.

中文翻译：

---

一带一路汇率指数的多尺度特征与综合预测研究

自``一带一路''倡议实施以来，已经取得了巨大进展并取得了丰硕成果。但是，“一带一路”沿线国家之间的汇率风险不容忽视。在本文中，我们提出了一个B＆R汇率指数以评估沿B＆R的国家的货币风险，并使用EMD算法研究了B＆R汇率指数和有效人民币汇率指数的多尺度特征。然后，我们提出了一种综合预测方法。我们采用EMD算法和灰色关联分析法将B＆R汇率指数和有效人民币汇率指数分解并重构为三个具有不同波动性特征的小节。原始序列的集成模型的预测结果等于趋势项的自回归综合移动平均模型和市场波动项以及噪声项的长期短期记忆模型的总和。我们的预测结果表明，与纯方法相比，我们提出的综合预测模型的性能要好得多。最后提出了一些建议，以帮助相关企业有效规避和管理交易风险。