為了提升匯率預測能力，本論文利用 Bayesian Treed Gaussian Process 模，調整交易策略的計算方式，並在解釋變數中加入經濟指標進行匯率預測。本文研究方向分為兩大部分，第一部分是探討在國家分類標準不同的情況下，利用計算取得的交易策略進行匯率預測，匯率預測能力有沒有差異；第二部分是研究經濟指標作為解釋變數，是否有助於提升匯率預測能力。本研究之主要解釋變數為交易策略和經濟指標，並利用 Directional Accuracy、Excess Predictability、Annual Percentage Rate 和 Sharpe Ratio 四種檢驗方法衡量匯率預測能力。研究結果發現，國家分類標準不同並不影響匯率預測能力，然而經濟指標皆有助於提升匯率預測能力。本模型的預測結果優於 Random Walk 和 Random Walk with Drift，尤其在交易策略、股價和石油價格同時作為解釋變數時，其匯率預測能力最佳。

In order to improve the exchange rate forecasting ability, we use the Bayesian Treed Gaussian Process model with different methods to obtain different trading strategies, and employ some kinds of economic variables as fundamentals for exchange rate forecasting. Therefore, the aspects of our research is divided into two parts. The first part is whether there is any difference in exchange rate forecasting ability when the trading strategies obtained by the different classification standards of countries. The second part is whether economic variables as fundamentals will help increase the exchange rate forecasting ability. Directional Accuracy、Excess Predictability、 Annual Percentage Rate and Sharpe Ratio are used to measure the exchange rate forecasting ability. The paper finds that different classification standards of countries does not affect the exchange rate forecasting ability; economic variables all help to improve the exchange rate forecasting ability. We also find that t he forecasting results of the Bayesian Treed Gaussian Process model dominate those of Random Walk and Random Walk with Drift. In particular, the exchange rate forecasting ability is the best when we employ trading strategies, stock prices and oil prices as fundamentals.

目錄
中文摘要.........................................................................................................................i
Abstract.....................................................................................................................ii
第一章 緒論................................................................................................................1
第一節 研究背景................................................................................................1
第二節 研究目的................................................................................................2
第三節 研究架構................................................................................................3
第二章 文獻回顧........................................................................................................4
第三章 研究方法........................................................................................................9
第一節 資料選擇................................................................................................9
第二節 模型介紹..............................................................................................13
第三節 檢驗方法..............................................................................................17
第四章 研究結果......................................................................................................20
第一節 國家分類標準不同之匯率預測結果..................................................21
第二節 股價之匯率預測結果..........................................................................26
第三節 石油價格之匯率預測結果..................................................................29
第四節 股價與石油價格之匯率預測結果......................................................32
第五章 結論..............................................................................................................34
參考資料......................................................................................................................35
表目錄
表 1 美國主要貿易國家.........................................................................................11
表 2 國家分類標準不同之匯率預測結果.............................................................23
表 3 原文獻之匯率預測結果.................................................................................25
表 4 股價之匯率預測結果.....................................................................................28
表 5 石油價格之匯率預測結果.............................................................................31
表 6 股價和石油價格之匯率預測結果.................................................................33

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