匯率預測之趨勢與研究方向

Abstract

隨著國際金融自由化，企業多國化已成為近年一重要的趨勢，其中，匯率風險管理乃成為多國籍企業成敗之關鍵，近年國際金融局勢動盪激烈，使匯率預測顯得更為重要，同時也更為困難，由於其重要性，來自全球各領域參與匯率預測研究的包含國際經濟學家，統計學家，預測學家，決策專家，市場分析師，資訊專家等等，各提出不同的方法與工具，不斷尋求更佳之預測結果，但皆各有利弊。 本研究由匯率與預測本身開始，針對各種匯率預測模式作一整體性之回顧與探討。同是亦仔細地資訊科技中整理出一套適用於匯率預測之最新技術，本研究並能出一期合式匯以預，構式之參考架構，以期能成為一具實務性又不失其普遍性之整合式匯率預測環境。

Exchange rate dynamics is one of the field that receives great attention in recent years. As breakdown of postwar international monetary system become apparent, exchange rate prediction are largely needed by multinational coporations (MNCs), forex traders, banks and even central banks. However, forecasting exchange rate has always been difficult since unseen future is always subject to unpredictable changes. Researchers in various fields such as international economics, statistics, forecasting ,decision sciences, forex trading and computer science have spent much time in the issue to obtain a better forecasting result; however, each of the available models has its advantages and drawbacks. This thesis is a survey of methodologies being applied to predict exchange rate movements. In the context, a collection of currently available methods are reviewed and discussed. In addition. this research proposes an integrated exchange rate forecasting model as an 'operational' decision-support environment designated to present key information in way most effectively aiding the decision making process.