模型組合與新台幣匯率預測

Model Averaging and Exchange Rate Forecast of NTD/USD

郭炳伸(Biing-Shen Kuo)；藍青玉(Ching-Yu Lan)

匯率預測 ； 貨幣學派模型 ； 遠期外匯溢酬模型 ； 組合預測 ； Exchange rate forecasting ； Monetary fundamental model ； Forward premium model ； Forecasting combination

臺灣經濟預測與政策

46卷1期（2015 / 10 / 01）

75 - 111

繁體中文

匯率預測的困難，可以由截至目前尚未有任何單一模型，得以在短區間預測打敗隨機漫步模型得到印證。文獻上常用以預測匯率的模型，包括代表長期均衡的貨幣學派模型，以及源自於市場無套利條件的遠期外匯溢酬模型。本文利用Liu and Kuo（2014）的模型平均（model averaging）法，透過組合這些單一模型，對美元兌新臺幣匯率進行預測。組合模型進行預測，除了充份利用所有可得的訊息外，也免去先驗選擇單一模型可能產生的風險。在極小化預測均方誤的前提下決定各模型的最適權重後，本文採用的組合預測可以在樣本期間內，得到顯著優於前述單一模型及隨機漫步模型之表現。其大幅降低單一模型的累積預測平方誤（cumulative sum of squared forecasting error），甚可達隨機漫步模型的90%以上。這樣的預測表現，源自於資訊的充份應用，以及能依據各單一模型表現的偏誤與變異，調整與時而異的組合權重。我們的樣本期間，包含了金融風暴及美國採行量化寬鬆貨幣政策等重大經濟事件，也使得單一模型對匯率的準確預測更顯困難。本文同時發現，各單一模型偏誤與變異表現，在這些經濟事件發生時，發生明顯的轉折。這意謂在某一時間點為「最適」的單一模型，可能隨時空改變而非最適。組合預測模型也正因為能適時依據這些變化，調整各模型的權重，而能更有效結合訊息，提供較任一單一模型為佳的預測結果。

The difficulty of forming accurate exchange rate forecast has manifested itself by inabilities of some existing models, including monetary model and forward premium model, to beat a random walk. The paper adopts a different approach to the forecasting exercise that combines these existing models. The approach not only makes best use of available information, but also is free of model selection risks. The forecast performance of the combination model is found to outperform those of any single aforementioned model and a random walk in the samples. Specifically the cumulative sum of squared forecating errors of our combination model is remarkably reduced. The reductions in forecast errors can be attributed to the time-varying weights that are assinged according to the relative magnitudes of bias and variance of each considered model. Moreover, the samples span over US subprime crisis and quantitative easing, where each of the considered models finds it not easy to yield good forecast on exchange rate movements. Associated with the finding is that the corresponding bias and variance of each considered model display dramatic shifts in these recent global economic events, implying that the combination is able to extract useful information from each considered model alone to yield more accurate exchange rate predictions.

1. 吳致寧、黃惠君、汪建南、吳若瑋(2012)。再探臺灣的匯率制度。經濟論文叢刊，40，261-288。
   連結：
2. 陳旭昇、吳聰敏(2008)。臺灣匯率制度初探。經濟論文，36，147-182。
   連結：
3. 欉清全、李政峰、郭炳伸(2005)。預測績效檢定：簡單迴歸之應用。經濟論文，33，1-33。
   連結：
4. Liu, C.-A. and B.-S. Kuo (2014), “Model Averaging in Predictive Regressions,” Mimeo, Academia Sinica.
5. Backus, D. K.,Foresi, S.,Telmer, C. I.(2001).Affine Term Structure Models and Forward Premium Anomaly.Journal of Finance,51,169-204.
6. Bansal, R.,Gallant, A. R.,Hussey, R.,Tauchen, G.(1995).Nonparametric Estima-tion of Structural Models for High Frequency Currency Market Data.Journal of Econometrics,66,251-287.
7. Bates, J.,Granger, C.(1969).The Combination of Forecasts.Operational Research Quarterly,20,451-468.
8. Bekaert, G.,Hodrick, R. J.,Marshall, D.(1997).The Implications of First-Order Risk Aversion for Asset Market Risk Premiums.Journal of Monetary Economics,40,3-39.
9. Cheung, Y.-W.,Chinn, M. D.,Pascual, A. G.(2005).Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?.Journal of International Money and Finance,24,1150-1175.
10. Chinn, M. D.,Meredith, G.(2004).Monetary Policy and Long Horiaon Uncovered Interest Parity.IMF Staff Papers,51,409-430.
11. Clarida, R. H.,Sarno, L.,Taylor, M. P.,Valente, G.(2003).The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond.Journal of International Economics,60,61-83.
12. Clark, T. E.(1999).Finite-Sample Properties of Tests for Equal Forecast Accuracy.Journal of Forecasting,18,489-504.
13. Corte, P. D.,Sarno, L.,Tsiakas, I.(2009).An Economic Evaluation of Empirical Exchange Rate Models.Review of Financial Studies,22,3491-3530.
14. Danilov, D.,Magnus, J. R.(2004).Forecast Accuracy after Pretesting with an Ap-plication to the Stock Market.Journal of Forecasting,23,251-274.
15. Diebold, F. X.,Mariano, R. S.(1995).Comparing Predictive Accuracy.Journal of Business and Economic Statistics,13,253-263.
16. Elliott, G.,Gargano, A.,Timmermann, A.(2013).Complete Subset Regressions.Journal of Econometrics,177,357-373.
17. Engel, C.(1996).The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence.Journal of Empirical Finance,3,123-192.
18. Fama, E. F.(1984).Forward and Spot Exchanges.Journal of Monetary Economics,14,319-338.
19. Froot, K. A.,Thaler, R. H.(1990).Foreign Exchange.Journal of Economic Perspectives,4,179-192.
20. Granger, C.,Ramanathan, R.(1984).Improved Methods of Combining Forecasts.Journal of Forecasting,3,197-204.
21. Groen, J. J.(2000).The Monetary Exchange Rate Model as a Long-Run Phenomenon.Journal of International Economics,52,299-319.
22. Grossman, G. M.(ed),Rogoff, K.(ed)(1995).Handbook of International Economics.Amsterdam:Elsevier.
23. Hansen, B. E.(2008).Least-Squared Forecast Averaging.Journal of Econometrics,146,342-350.
24. Hansen, B. E.,Racine, J.(2012).Jackknife Model Averaging.Journal of Econometrics,167,38-46.
25. Kilian, L.,Taylor, M. P.(2003).Why Is It so Difficult to Beat the Random Walk Forecast of Exchange Rates?.Journal of International Economics,60,85-107.
26. Mark, N. C.(1995).Exchange Rate and Fundamentals: Evidence on Long-Horizon Predictability.American Economimc Review,85,201-218.
27. Mark, N. C.,Sul, D.(2001).Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel.Journal of International Economics,53,29-52.
28. Meese, R. A.,Rogoff, K.(1983).Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?.Journal of International Economics,14,3-24.
29. Min, C.-K.,Zellner, A.(1993).Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates.Journal of Econometrics,56,89-118.
30. Obstfeld, M.,Rogoff, K.(2000).The Six Major Puzzles in International Macroe-conomics: Is There a Common Cause?.NBER Macroeconomics Annual,15,339-412.
31. Raftery, A.,Madigan, D.,Hoeting, J.(1997).Bayesian Model Averaging for Linear Regression Models.Journal of the American Statistical Association,92,179-191.
32. Rapach, D. E.,Wohar, M. E.(2002).Testing the Monetary Model of Exchange Rate Determination: New Evidence from a Century of Data.Journal of International Economics,58,359-385.
33. Rossi, B.(2005).Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle.International Economic Review,46,61-92.
34. Sarno, L.,Valente, G.,Wohar, M. E.(2004).Monetary Fundamentals and Ex-change Rate Dynamics under Different Nominal Regimes.Economic Inquiry,42,179-193.
35. Wu, J.-L.,Wang, Y.-C.(2013).Fundamentals, Forecast Combinations and Nominal Exchange-Rate Predictability.International Review of Economics and Finance,25,129-145.

1. 藍青玉、葉柏宏、郭炳伸(2018)。外匯干預下的利差交易策略：台幣匯率基本面變數的經濟價值。經濟論文叢刊，46(3)，363-399。
2. (2020)。我國遠期外匯市場訊息傳遞與匯率預測實證分析。臺灣銀行季刊，71(3)，98-139。