本研究主要探討符不符合未拋補利率平價說，是否會影響匯率預測的能力，研究  國家以中國一帶一路政策的沿線國家，資料期間則是採用1997年1月至2017年12月的月資料，共252筆資料，預測未來一個月、三個月、六個月以及十二個月的匯率走勢。在九個研究國家中符合未拋補利率平價說的國家有以色列、巴基斯坦、俄羅斯、印度尼西亞以及烏克蘭；不符合未拋補利率平價說的國家有馬來西亞、菲律賓、新加坡以及台灣。而匯率預測能力方面，預測能力最好的國家是菲律賓再來是以色列，其餘國家皆不如隨機漫步。

	   根據本文研究結果，就本研究的資料與期間無法判定未拋補利率平價說是否會影響匯率預測的能力。

This study mainly investigates whether the exchange rate fulfill the UIRP analysis will affect the ability of exchange rate forecasting. Our target countries are those who follow China's “One Belt and One Road” policy. The data we implemented is monthly data, from 1997 M1 to 2017 M12. We forecasted for the preceding four forecasting horizons (1,3,6,12). Countries that meet the UIRP are Israel, Pakistan, Russia, Indonesia, and Ukraine; countries that do not meets UIRP are Malaysia, the Philippines, Singapore, and Taiwan. In terms of exchange rate forecasting ability. The best performers in predicting exchange rate are the country of Philippines and Israel, and the rest of the countries are not perform better than random walks.

According to our study, It cannot tell whether fulfilling the UIRP would affect the performance of predicting ability.

目錄
第一章緒論	1
第一節研究動機與目的	1
第二節研究方法與架構	2
第二章文獻回顧	4
第一節未拋補利率平價說	4
第二節泰勒法則	6
第三節TVP模型	7
第三章資料與方法	9
第二節未拋補利率平價說	16
第三節泰勒法則	17
第四節貝氏TVP 模型	19
第五節HP 濾波法(Hodrick–Prescott filter)	21
第四章實證結果	23
第一節未拋補利率平價說檢定結果	23
第二節匯率預測能力之檢定結果	26
第三節本章結論	31
第五章結論	36
參考文獻	37
中文部分	37
英文部分	37



表目錄
表 一 未拋補利率平價說結果	25
表 二 延後一個月結果	32
表 三 延後三個月結果	32
表 四 延後六個月結果	33
表 五 延後十二個月結果	34

圖目錄
圖3-1以色列新謝克爾(ILS)匯率走勢圖	10
圖3-2馬來西亞令吉(MYR)匯率走勢圖	11
圖3-3俄羅斯盧布(RUB)匯率走勢圖	11
圖3-4菲律賓披索(PHP)匯率走勢圖	12
圖3-5新加坡元(SGD)匯率走勢圖	13
圖3-6巴基斯坦盧比(PKR)匯率走勢圖	13
圖3-7台幣(TWD)匯率走勢圖	14
圖3-8烏克蘭格里夫納(UAH)匯率走勢圖	14
圖3-9印尼盧比(IDR)匯率走勢圖	15

參考文獻
中文部分

張豐榮，1993，「台灣地區無拋補利率平價說之研究」，台灣大學財務金融學研究所碩士論文。

李國銘，2007，「未拋補利率平價說與風險溢酬—GARCH-M及GARCH-X模型之應用」，國立中央大學產業經濟研究所論文。

英文部分

Backus, D. K. and Kehoe, P. J. (1992). “International evidence on the historical properties of business cycles,” American Economic Review 82, 864–888

Bekaert, G. and Hodrick, B. (1993). “On Biases in the Measurement of Foreign Exchange Risk Premiums,” Journal of International Money and Finance 12, 115-138. 

Byrne, J. P., Korobilis, D. and Ribeiro, P. J. (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.

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

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

Cumby, R. E. and Obstfeld, M. (1981), “A Note on Exchange Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis,” Journal of Finance June, 697-703.

Engel, C. M. and Hamilton, J. D. (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 West, K. D. (2005), “Exchange Rate and Fundamentals,” Journal of Political Economy 113, 485-517.

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

Fernandez, A. and Rzhevskyy, N. D. (2007). “Measuring the Taylor rule's performance,” Economic Letter, Federal Reserve Bank of Dallas vol. 2(jun).

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

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

Ito T. (1988), “Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,” The Review of Economics and Statistics 70(2), 296-305.

Jaratin, L. and Mori, K. (2011), “Empirical Testing on Uncovered Interest Rate Parity in Malaysia,” Journal of Applied Finance & Banking vol.1, no.2, 2011, 95-114

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

Molodtsova, T. and Papell, D. H. (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 Swamy, P. A. V. B. (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 Watson, M. W. (1998), “Median Unbiased Estimation of Coefficient
Variance in a Time-Varying Parameter Model, ”Journal of the American
Statistical Association 93(441), 349-358.

Taylor, M. P. (1987), “Risk Premia and Foreign Exchange: A Multiple Time Series Approach to Testing Uncovered Interest-Rate Parity,” Weltwirtsch Aftliches Archiv 123, 579-590.

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.

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.

Zarnowitz, V. and Ozyildirim, A. (2008), “Time series decomposition and measurement of business cycles, trend and growth cycles”, NBER Working Paper No.W8736.