本文旨在利用泰勒法則基礎模型，搭配貝氏TVP模型進行匯率預測，本研究使用之資料期間為1997年1月至2016年12月，共120筆月資料，針對10個國家的匯率，分別預測其一個月、一季、半年與一年之後的走勢，實證結果在10個國家中，有6個國家的匯率可以利用泰勒法則基礎模型預測。

    若以台灣的實證結果來看，泰勒法則基礎模型可以預測國內1個月後之匯率，而3、6、12個月後的預測結果並不理想。

    本研究有兩項主要發現：(1)亞洲的開發中國家(如：馬來西亞、菲律賓)，其匯率走勢亦可使用泰勒法則基礎模型進行預測；(2)本文在設定模型時將預期通貨膨脹率納入考量，在模型中以延後1期之通貨膨脹率進行匯率預測，但實證結果發現其效果並不顯著。

This paper forecasts exchange rate using Taylor rule fundamentals model with time-varying parameters model estimated by Bayesian method. The data of this paper consists of monthly exchange rate from 1997M1 to 2016M12, on up to 10 countries relative to the U.S. dollar, respectively, forecasts in four forecasting horizons (1,3,6,12). This paper finds strong evidence of exchange rate predictability with Taylor rule fundamentals model for 6 out of 10 countries.

    There are two findings in this study: (1) Asian developing countries (e.g., Malaysia and Philippines) whose exchange rate can also be predicted by using the Taylor rule fundamentals model; (2) In this paper, consider expected inflation rate is an important factor when the government makes monetary policy. Therefore, this paper replaces inflation rate with expected inflation rate. However, the empirical results found that the effect is not significant.

目錄	I
表目錄	II
圖目錄	III
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
第三節	研究方法與架構 8
第二章	文獻回顧	9
第一節	常見的預測方法及計量模型	9
第二節	泰勒法則基礎模型的相關文獻 11
第三節	TVP模型的相關文獻 13
第三章	資料與方法 14
第一節	泰勒法則及未拋補利率平價說 14
第二節	泰勒法則基礎模型 16
第三節	貝氏TVP模型 18
第四節	HP濾波法 21
第五節	資料說明 23
第四章	實證結果 30
第一節	預測能力之檢定方法 30
第二節	匯率預測結果 34
第五章	結論 42
參考文獻 43

表目錄
表1-1 進出口總額排名 5
表1-2 總出口排名 6
表1-3 總進口排名 7
表2-1 常用於預測匯率之計量模型 11
表3-1 變數設定與說明 24
表3-2 研究國家之貨幣及代碼 24
表4-1 模型(一)之實證結果 36
表4-2 模型(二)之實證結果 37
表4-3 模型(三)之實證結果 38
表4-4 模型(四)之實證結果 39
表4-5 模型(五)之實證結果 40
表4-6 模型(六)之實證結果 41

圖目錄
圖1-1 臺灣進出口總額走勢圖 4
圖1-2 臺灣外貿依存度走勢圖 4
圖3-1 臺灣工業生產指數之長期趨勢及循環波動 22
圖3-2 台幣走勢圖 25
圖3-3 日元走勢圖 25
圖3-4 韓元走勢圖 26
圖3-5 新加坡元走勢圖 26
圖3-6 馬來西亞令吉走勢圖 27
圖3-7 菲律賓披索走勢圖 27
圖3-8 英鎊走勢圖 28
圖3-9 俄羅斯盧布走勢圖 28
圖3-10 加幣走勢圖 29
圖3-11 墨西哥披索走勢圖 29

Alquist, R. and M. D. Chinn (2008), "Conventional and Unconventional Approaches to Exchange Rate Modelling and Assessment, " International Journal of Finance and Economics 13, 2-13.

Byrne, J. P., D. Korobilis and P. J. Ribeiro (2016), "Exchange rate predictability in a changing world," Journal of International Money and Finance 62(C), 1-24.

Canova, F. (1993), "Modelling and Forecasting Exchange Rates with a Bayesian Time-Varying Coefficient Model, "Journal of Economic Dynamics and Control 17(1/2), 233-261.
	
Cheung, Y. W., M. D. Chinn and A. G. Pascual (2005), "Empirical Exchange Rate Models of the Nineties： Are Any Fit to Survive?, " Journal of International Money and Finance 24, 1150-1175.

Chinn, M. D. and R. Meese (1995), "Banking on Currency Forecasts： Is Change in Money Predictable?, " Journal of International Economics 38 (1-2), 161-178.

Clarida, R., J. Gali and M. Gertler (1998), "Monetary Rules in Practice： Some International Evidence, "European Economic Review 42, 1033-1067.

Clark, T. E. and K. D. West (2006), "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis, "Journal of Econometrics 135, 155-186.

Clark, T. E. and K. D. West (2007), "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models, "Journal of Econometrics 138, 291-311.

Della Corte, P., L. Sarno and G. Sestieri (2010), "The Predictive Information Content of External Imbalances for Exchange Rate Returns： How Much Is It Worth?," Review of Economics and Statistics, 94(1), 100-115.

Diebold, F. X. and R. S. Mariano (1995), "Comparing Predictive Accuracy, "Journal of Business and Economic Statistics 13, 253-263.

Engel, C. M. and J. D. Hamilton (1990), "Long Swings in the Exchange Rate： Are They in the Data and Do Markets Know It?, "American Economic Review 80, 689-713.

Engel, C. and K. D. West (2005), "Exchange Rate and Fundamentals, "Journal of Political Economy 113, 485-517.

Engel, C. and K. D. West (2006), "Taylor Rules and the Deutschemark-Dollar Real Exchange Rate, "Journal of Money, Credit and Banking 38, 1175-1194.

Faust, J., J. H. Rogers and J. H. Wright (2003), "Exchange Rate Forecasting： The Errors We’ve Really Made, " Journal of International Economics 60(1), 35-59.
Gourinchas, P. O. and H. Rey (2007), "International Financial Adjustment, " Journal of Political Economy 115(4), 665-703.

Groen, J. J. (1999), "Long Horizon Predictability of Exchange Rates： is it for Real?, " Empirical Economics 24, 451-469.

Hodrick, R. and E. C. Prescott (1997), "Postwar U.S. Business Cycles： An Empirical Investigation, " Journal of Money, Credit, and Banking 29(1), 1-16.

Ince, O., T. Molodtsova and D. H. Papell (2015), "Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability, " Journal of International Money and Finance 69, 22-44.

Kilian, L. (1999), "Exchange Rates and Monetary Fundamentals： What Do We Learn From Long-Horizon Regressions?, " Journal of Applied Econometrics 14(5), 491-510.

Mark, N. C. (1995), "Exchange Rates and Fundamentals： Evidence on Long-Horizon Predictability, " American Economic Review 85(1), 201-218.

Meese, R. A. and K. S. Rogoff (1983a), "Empirical Exchange Rate Models of the Seventies： Do They Fit Out of Sample?, " Journal of International Economics 14(1-2), 3-24.

Meese, R. A. and K. S. Rogoff (1983b), "The Out-of-Sample Failure of Empirical Exchange Rate Models：Sampling Error or Mis-specification?, " NBER Exchange Rates and International Macroeconomics, 67-112.

Meese, R. A. and K. S. Rogoff (1988), "Was it Real? The Exchange Rate- Interest Differential Relation Over the Modern Floating Rate Period, " Journal of Finance 43, 923-948.

Molodtsova, T. and D. H. Papell (2009), "Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals, " Journal of International Economics, 77(2), 167-180.

Molodtsova, T. and D. H. Papell (2013), "Taylor Rule Exchange Rate Forecasting during the Financial Crisis,"	NBER International Seminar on Macroeconomics, 9(1), 55-97.

Rossi, B. (2013), "Exchange Rate Predictability," Journal of Economic Literature, 51(4), 1063-1119.

Schinasi, G. J. and P. A. V. B. Swamy (1989), "The Out-of-Sample Forecasting Performance of Exchange Rate Models When Coefficients Are Allowed to Change," Journal of International Money and Finance 8(3), 375-390.
	
Stock, J. H. and M. W. Watson (1998), "Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model, "Journal of the American Statistical Association 93(441), 349-358.

Taylor, J. B. (1993), "Discretion Versus Policy Rules in Practice, " Carnegie Rochester Conference Series on Public Policy 39, 195-214.

Theil, H. (1966), Applied Economic Forecasting, North Holland.

West, K. D. (1996), "Asymptotic Inference about Predictive Ability, "Econometrica 64,1067-1084.

Wolff, C. P. (1987), "Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models, " Journal of Business and Economic Statistics 5(1), 87-97.

Wright, J. (2008), "Bayesian Model Averaging and Exchange Rate Forecasting, " Journal of Econometrics 146, 329-341.