探討利率變化與匯率波動之研究 -以PID 控制與自我迴歸模型比較分析

王朝廣

doi:10.6840/cycu201700131

18.208.126.232，Hello！

Close
Search Quick Search Advanced Search Publication Search	Personal Service Member Login Searching History Use Bonus Card SYMSKAN
Browse Browse by University of Graduate Thesis Browse by Pinyin of Graduate Thesis Browse by Conference Proceedings Topic Browse by Conference Proceedings Publisher Browse by Pinyin of Conference Proceedings Browse by eBook Category Browse by eBook Topic Browse by eBook Publisher
Customer Services Authorize Airiti Recommend a Journal

Search Symbol (Half-width)	Description of Search Symbols
Space	"AND" indicates the intertwining of key terms used in a search
Double Quotation Marks ("") ( " " )	Double quotation marks indicate the beginning and end of a phrase, and the search will only include terms that appear in the same order of those within the quotations. Example: "image process" ： " image process "
?	Indicates a variable letter. Entering two ? will indicate two variable letters, and so on. Example: "Appl?", search results will yield apple, apply… e , appl y … ( (often used to English word searches) )
*	Indicates an unlimited number of variable letters to follow, from 1~n. Example: Enter "appl*", search results will yield apple, apples, apply, applied, application…(often used in English word searches) e , appl es , appl y , appl ied , appl ication … ( (often used to English word searches) )
AND、OR、NOT	Boolean logic combinations of key words is a skill used to expand or refine search parameters. (1) AND (1) AND: Refines search parameters (2) OR (2) OR: Expands search parameters (3) NOT: Excludes irrelevant parameters

DOI stands for Digital Object Identifier （ D igital O bject I dentifier ） ,
and is the unique identifier for objects on the internet. It can be used to create persistent link and to cite articles.

Using DOI as a persistent link

To create a persistent link, add「http://dx.doi.org/」「 http://dx.doi.org/ 」 before a DOI.
For instance, if the DOI of an article is 10.5297/ser.1201.002 , you can link persistently to the article by entering the following link in your browser: http://dx.doi.org/ 10.5297/ser.1201.002 。
The DOI link will always direct you to the most updated article page no matter how the publisher changes the document's position, avoiding errors when engaging in important research.

Cite a document with DOI

When citing references, you should also cite the DOI if the article has one. If your citation guideline does not include DOIs, you may cite the DOI link.

DOIs allow accurate citations, improve academic contents connections, and allow users to gain better experience across different platforms. Currently, there are more than 70 million DOIs registered for academic contents. If you want to understand more about DOI, please visit airiti DOI Registration （ doi.airiti.com ）。

Data Source

College of Business > Graduate Institute of Business Administration
Social Sciences > Management

Bibliography Management Tool

Related Links

Report an Issue

Purchase Single Articles

Download PDF

探討利率變化與匯率波動之研究 -以PID 控制與自我迴歸模型比較分析

The Relationship between Interest Rate and Exchange Rate – Comparing PID Control and Autoregressive model

王朝廣 , Masters　　Advisor：胡為善　　

繁體中文 DOI： 10.6840/cycu201700131

未拋補利率平；匯率預測； AR模型； PID 模型； AR ； exchange rate forecast ； GARCH model ； PID Control ； uncovered interest rate parity

Abstract │ Reference (27) │ Altmetrics

Abstract 〈TOP〉

Parallel Abstract 〈TOP〉

There are various investment instruments and investment targets in the global financial markets, in which the monetary policies of the Central Banks of various countries should affect the capital inflows and outflows. So the investors and corporate managers must evaluate the exchange rate risk and adopt the related configurations. The emphasis of the portfolio and its exchange rate risk will be very important for investment. This study combines the interest rate theory with engineering application of the PID control system to forecast the exchange rate from December 31, 2015 to Dec, 7, 2016 and to compare the prediction result with the AR model and GARCH model.   
　The sample data includes the TEJ monthly data of the exchange rates of the United States, European Union and Japan, as well as the ten-year bond yields (from December 1995 to December 2016) and the daily data (December 31, 2015 to December 7, 2016). The RMSE and the MAE are used to analyze the forecasting power of various exchange rate models through the out-of-sample prediction errors. 
The empirical results are summarized below:
1.Regarding the US dollar index exchange rate forecasting, this study finds that the RMSE and MAE of the GARCH model outperform those of the PID model and AR model.
2.The GARCH model is also the best one on forecasting Euro. The AR model is better than the PID control model in daily data forecasting.
3.The GARCH model still performs the best in forecasting Japanese Yen, and the AR model is the second best one and the PID model performs the worst. Additionally, this investigation finds that the forecasting result of daily date is more accurate than that of the monthly data.

Reference ( 27 ) 〈TOP〉

方文碩與張倉耀 (2002). 風險貼水與外匯市場效率性. 管理評論, 21(2), 27-51.
連結：
李建慧與張珮芬 (2014). 匯率報酬預測績效模型之比較-委託單流量的探討. 商業現代化學刊, 7(4), 257-274.
連結：
林政弘 (2011). 結合整體經驗模態分解, 基因演算法與極速學習機於財務時間序列預測之研究. 臺北科技大學商業自動化與管理研究所學位論文, 1-74.
連結：
曹添旺 (2001). Mundell 命題: 資本完全移動與圖形分析. 經濟論文叢刊, 29(4), 403-410.
連結：
鄭淑芬, 李壽昇, 黃家偉與郭東義 (2011). 線性非時變系統之即時參數估測. 工程科技與教育學刊, 8(2), 330-341.
連結：

Altmetrics

〈TOP〉

E-mail ：

When an article is available to download, a notice will be sent to your mailbox address.

E-mail ：