匯率預測之探討-外溢效果理論之應用

Abstract

近年來國際金融體系變遷日益快速，且國際金融事務對一國經濟及企業經營也有相當的影響，故在動態環境中企業經營的不可確定因素也將日益增加，然而在許多不可確定性因素之下，企業如何掌握這些不可抗拒的因素，並加以規避該因素所帶來的風險，其端賴企業對這些不確定因素之預測能力。 一跨國企業在國際經營上所面對的最大不確定因素即為「匯率」變動。然而一國匯率所受到影響的因素眾多，尤其是在布列顛森林協議（Bretton Woods Agreement）瓦解後，西方各國普遍實行浮動匯率制度，此舉使得匯率的影響因素更為複雜，也使得預測匯率更為困難，故國內外許多研究文獻中便出現以各種模型為基礎或以考量各種總體變數之匯率預測模型，其主要是為了使預測結果更為正確、精準。 由於台灣為一海島型國家，且屬於淺碟型的經濟型態。在天然資源缺乏的情況下，經濟發展端賴進出口貿易，而進出口貿易之風險便與國際匯率緊緊相扣。也因為如此，國際上的任何政治或經濟波動便使得台灣股匯市產生一相當程度之波動。然而自採行浮動匯率後，學術、實務界莫不致力於匯率預測之方法與模型，而截至目前為止仍未有令人滿意之預測績效。由此本文決定嘗試國內研究所未曾嘗試的新方法，即利用歐洲、亞洲代表貨幣之波動情形來預測新台幣之波動情形。因此本研究除了期望將研究新台幣匯率之議題延伸至另一個思考方向外，亦藉由本研究發展出有助於匯率理論對新台幣之解釋。

With the fast development of the international financial system, the international activities such as foreign exchange SWAP have a strong influence on a country’s economy and its company’s operation. The uncertain factors have increased in the variable financial environment. From this point of view, controlling those uncertain elements and avoiding risk have been dependant on predicting ability of a firm. The biggest challenge of operating an international firm is “dealing with exchange rate volatility”. However, there are many factors that have been affected the “exchange rate “, especially after the broken-down of the Bretton Woods Agreement. Most western countries have implemented floating exchange rate system. It makes the effects of exchange rate fluctuation more complicated. It also makes it difficult to predict the exchange rate. There were many researches based on Time series forecasting models. The objectives of these models are to predict the exchange rate fluctuation more exactly and correctly. Taiwan is an island country. Taiwan belongs to a type of economic model which is called “qian-die model”. It means lots of individual investors play a vital role in the market. Lacking natural resources, Taiwan depends on trading business. The risks that associated with trading business have a close relationship with exchange rate fluctuation. Furthermore, the stock market in Taiwan is deeply affected by international political and economic activities. Therefore, many researches have devoted time and resources to figure a way out through forecasting the trends of exchange rate since assessing the floating exchange rate policies. However, they have not found any ways yet to forecast the exchange rate more exactly. This dissertation will attempt to create a new thinking which will draw on and utilize European and Asian currencies to forecast the exchange rate trends of the New Taiwanese dollars. Finally, this research also tries to develop a new definition of NT exchange rate theory.