臺灣博碩士論文加值系統

本研究針對未預料到的總體經濟指標與匯率變化進行探討，認為未預料到的經濟指標可能造成匯率波動，並希望藉由實證分析的結果，做為預測與投資交易的參考。
研究資料以美國與歐元區的每日經濟指標為樣本，將其分成五大類：「生產」、「消費」、「通膨」、「勞動市場」及「經濟成長」。另因非農指標是相當具有影響力的一個重要指標，特別獨立出來分析探討。本文以隨機漫步模型為基礎，與加入經濟指標的未拋補利率平價假說相比較，檢定樣本外預測績效。
整體而言，多數加入指標的模型無法證明其並無法顯著影響匯率，與一般市場反應略有差異，主因可能為指標間相互影響、指標的影響發生在前後期上，或受到央行政策、總統發表講話…等等，皆有可能導致研究結果與預期不符。

This study discuss unanticipated macroeconomic indicators and fluctuations of foreign exchange rate. We believe that the fluctuations are impacted by unexpected news. The purpose of this paper is as a reference for forecasting and investment transactions by empirical result.
This research data is based on the daily economic indicators of the United States and the Euro zone. We divided them into five categories: "production", "consumption", "inflation", "labor market" and "economic growth". The other is that the non-agricultural indicators are quite influential, so we especially for discussion. The model is based on the random walk, and compared with the uncovered interest rate parity model added economic indicators to verify the out-of-sample predictive performance.
In this paper, most of the models are not relatively ineffective than random walk model. The results of the study is inconsistent with expectations may be the mutual influence of indicators, the impact of indicators occurs in the period before and after, the national policies and president's speeches, etc.

第一章 緒論 1
第一節 研究背景 1
第二節 研究動機與目的 2
第二章 文獻探討 4
第一節 未預期總體經濟指標對匯率走勢之相關文獻 4
第二節 匯率預測之相關文獻 5
第三章 研究方法 6
第一節 樣本及資料來源 6
第二節 單根檢定 8
第三節 主成分分析 9
第四節 模型建立 9
第五節 匯率預測模型假設 10
第六節 匯率預測模型績效評估 11
第四章 實證結果與分析 12
第一節 資料特性 12
第二節 單根檢定結果 14
第三節 預測模型準確度結果 18
第五章 結論與建議 26
第一節 結論 26
第二節 未來研究方向 27
參考文獻 28

一、中文部分：
吳景梅(2003)，《我國匯率與總體經濟指標關係之實證研究》，世新大學經濟學研究所
連伯瑋(2007)，《歐元匯率與總體經濟指標關係之實證研究》，國立臺灣大學財務金融學研究所
陳旭昇（2007），時間序列分析－總體經濟與財務金融之應用，初版，台北市，東華書局
楊奕農（2005），時間序列分析：經濟與財務上之應用，初版，台北市，雙葉書廊
鄧俊明（2011），《台灣地區股價指數、利率、匯率與消費者物價指數相關性之研究》，世新大學經濟學研究所

二、英文部分：
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Mark, N. C., 1995, “Exchange rates and fundamentals: Evidence on long-horizon predictability”, The American Economic Review, 201-218.
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