造成外匯市場匯率變動的因素很多，為能掌握外匯市場匯率的趨勢與變化，須隨時關注各種可能影響的因素。過去文獻上有學者採用匯率日資料或月資料來探討美國及歐洲地區兩大經濟體之未預期總體經濟資訊對單一或少數特定貨幣匯率的影響。本研究以未預期美國總體經濟指標資訊為主軸，為避免受其他國家在其他時段公布之經濟數據影響，嘗試採用紐約外匯市場交易時間之日資料及月資料，探討該未預期資訊對多種貨幣匯率的影響。最後，以均方誤差及平均絕對誤差進行迴歸模型預測。實證結果顯示，部分未預期美國總體經濟指標資訊對於匯率短期或中長期變動存在顯著影響，其中消費者物價指數月率、工業生產月率、非農就業人數變化或核心零售銷售月率等指標，對短期及中長期的加拿大幣、紐西蘭幣、澳幣、瑞士法郎或日幣等匯率變動皆存在顯著影響。

There are many factors that cause the exchange rate to change in the foreign exchange market, to be able to grasp the trend and changes of exchange rate in the foreign exchange market, we must always pay attention to various factors which might affect the rate. In the past, scholars have used daily or monthly exchange rate data to explore the impact of unanticipated macroeconomic information on the exchange rate of a single or a few specific currencies in the two largest economic systems, the United States and Europe. This study, based on the unanticipated information on the macroeconomic indicators of the United States, tries to use the daily monthly data on the trading time of the New York foreign exchange market to explore the impact of the unanticipated information on the exchange rates of multiple currencies, in order to avoid being affected by the macroeconomic indicators published by other countries at other times. Last but not least, the regression model is predicted by mean squared error and mean absolute deviation error. The empirical results indicate that some of the unanticipated information on the macroeconomic indicators of the United States has a significant impact on the short-term or medium and long-term changes in the exchange rate, among which, the monthly rate of the consumer price index, the monthly rate of industrial production, change in non-farm payrolls or the annual rate of core retail sales, etc., have a significant impact on the short-term, medium and long-term exchange rate changes, such as the the Canadian dollar, New Zealand dollar, the Australian dollar and, Swiss franc or the Japanese dollar.

1. 前言 1
2. 文獻回顧 2
3. 研究方法 4
3.1 研究方法 4
3.2 樣本的選擇與資料來源 4
3.3 實證模型 6
4. 實證結果 7
4.1. 單根檢定 7
4.2. 迴歸分析 9
5. 結論與未來研究 19
參考文獻 21

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