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題名 美日匯率與總體經濟指標之動態研究
Dynamic Relationship Between USD/JPY Exchange Rate and Macroeconomic Indicators
作者 沈暐哲
Shen, Wei-Tse
貢獻者 郭維裕
沈暐哲
Shen, Wei-Tse
關鍵詞 匯率
總體經濟
美元
日圓
exchange rate
macroeconomics
US dollar
Japanese yen
日期 2025
上傳時間 4-Aug-2025 13:28:42 (UTC+8)
摘要 本研究旨在探討總體經濟變數對美元兌日圓（USD/JPY）匯率之長短期影響，特別關注通膨、利率、景氣指標等總體面因素如何形塑匯率動態。在全球貨幣政策持續轉變與國際資金流動日益劇烈的背景下，理解匯率與總經變數之互動，對政策決定、交易決策、避險策略均具重大意涵。本文以2015年至2024年間美日兩國之月資料為樣本，採用自我迴歸分配滯後模型（ARDL），分析匯率與總體變數之動態關係。實證結果顯示，美國核心通膨上升與美元升值具顯著正向關聯，反映市場更關注通膨引發的政策預期效應；美國製造業PMI則與美元呈現負向關聯，可能源於市場資金再平衡行為。美日十年期公債殖利率對匯率亦呈現顯著影響，顯示資金流向與政策訊號解讀扮演關鍵角色。整體而言，ARDL模型證實美日總體經濟變數與匯率間存在穩定長期均衡關係，本研究亦透過誤差修正模型驗證匯率具備短期調整機制與即時反應能力，顯示其可作為總體變數變動下之市場觀測與政策判讀依據。本文補足既有文獻對USD/JPY匯率之長短期結構分析之不足，並提供政策與市場實務有用之參考。
This study aims to examine the short- and long-term effects of macroeconomic variables on the USD/JPY exchange rate, with a particular focus on how macroeconomic fundamentals—such as inflation, interest rates, and business cycle indicators—shape exchange rate dynamics. Against the backdrop of ongoing shifts in global monetary policy and increasingly volatile international capital flows, understanding the interaction between exchange rates and macroeconomic variables is of critical importance for policy formulation, trading decisions, and hedging strategies. Using monthly data from the United States and Japan from 2015 to 2024, this study employs the ARDL model to analyze the dynamic relationship between exchange rates and key macroeconomic indicators. The empirical results show that higher U.S. core inflation is significantly associated with USD appreciation, reflecting market expectations of future monetary tightening. Meanwhile, the U.S. manufacturing PMI exhibits a negative relationship with the USD, potentially due to market rebalancing behavior. The 10-year government bond yields of both the U.S. and Japan also exert significant influence on the exchange rate, indicating that capital flows and policy signals play a key role. Overall, the ARDL model confirms a stable long-term equilibrium relationship between macroeconomic variables and the USD/JPY exchange rate. This study further constructs an ECM to validate the short-term adjustment mechanism and the exchange rate’s responsiveness to real-time data, underscoring its usefulness as a market indicator for interpreting macroeconomic shifts and policy signals. By addressing gaps in existing literature regarding the short- and long-term structure of the USD/JPY exchange rate, this study provides valuable insights for both policymakers and market practitioners.
參考文獻 Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475–485. Fleming, J. M. (1962). Domestic financial policies under fixed and under floating exchange rates. IMF Staff Papers, 9(3), 369–379. Obstfeld, M. (2001). International macroeconomics: Beyond the Mundell-Fleming model (Mundell-Fleming Lecture). IMF Staff Papers, 47(Special Issue), 1–39 Gagnon, J. E., & Chaboud, A. P. (2007). What can the data tell us about carry trades in Japanese yen? (International Finance Discussion Papers No. 899). Board of Governors of the Federal Reserve System Colavecchio, R. (2008). The carry trade and the adjustment of the Japanese yen: Evidence from a Markov-switching vector autoregression model (Discussion Paper No. 862). German Institute for Economic Research (DIW Berlin) Ohno, K. (1990). Estimating yen/dollar and mark/dollar purchasing power parities. IMF Staff Papers, 37(3), 507–530 Sarno, L., & Taylor, M. P. (2002). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49(1), 65–105 Komiya, T. (n.d.). Empirical study on the currency exchange market: Determinants on the exchange rate of the U.S. dollars and the Japanese yen by the regression analysis. Kanaflex Corporation Chinn, M. D., & Meredith, G. (2004). Monetary policy and long-horizon uncovered interest parity. IMF Staff Papers, 51(3), 409–430 Czech, K. (2012). Niezabezpieczony parytet stóp procentowych na rynku jena japońskiego [Uncovered interest rate parity in the Japanese yen market]. Oeconomia Copernicana, 3, 71–82 Olmo, J., & Pilbeam, K. (2009). Uncovered interest parity: Are empirical rejections of it valid? Journal of Economic Integration, 24(2), 369–384 Bloch, A. (2020). Understanding the FX carry trade: An empirical study (Master’s thesis). Copenhagen Business School Ogunk, G. (2016). Carry trade strategies with factor augmented macro fundamentals: A dynamic Markov-switching factor model. The International Journal of Business and Finance Research, 10(3), 11–28 Tarı, R., & Gözen, M. Ç. (2018). Portfolio balance approach to exchange rate determination: Testing a model by applying bilateral data of Turkey and United States. Ege Akademik Bakış / Ege Academic Review, 18(3), 327–336 Ali, F. M., Spagnolo, F., & Spagnolo, N. (2017). Portfolio flows and the US dollar–yen exchange rate. Empirical Economics, 52, 179–189 Hausman, J. K., & Wieland, J. F. (2014). Abenomics: Preliminary analysis and outlook. Unpublished manuscript, University of Michigan and University of California, San Diego Tian, X., & Zhu, Z. (2023). The impact study of yield curve control on the yen exchange rate and Japanese inflation. In Proceedings of the 2nd International Conference on Financial Technology and Business Analytics (pp. 106–113) Ikkatai, K., Kawamoto, T., & Sakura, K. (2024). Japan’s unconventional monetary policy and the exchange rate dynamics (Bank of Japan Working Paper Series No. 24-E-23). Bank of Japan Liang, C. (2022). Analysis of USDJPY price fluctuations – Based on the huge fluctuations in the first fall of 2022. BCP Business & Management, 29, 252–258 Kasuya, M., & Takagawa, I. (2023). Model uncertainty of real exchange rate forecast over mid-term horizons (Working Paper No. 01-23). Bank of Japan, Research and Statistics Department Sakiyama, Y. (2023). Exchange rate analysis between the U.S. dollar and the Japanese yen (Bachelor’s thesis, Uppsala University) Chinn, M. D., & Moore, M. J. (2008). Private information and a macro model of exchange rates: Evidence from a novel data set (NBER Working Paper No. 14175). National Bureau of Economic Research Darvas, Z., & Schepp, Z. (2020). Forecasting exchange rates of major currencies with long maturity forward rates (Bruegel Working Paper No. 03/2020). Bruegel Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.
描述 碩士
國立政治大學
國際金融碩士學位學程
112ZB1028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112ZB1028
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 沈暐哲zh_TW
dc.contributor.author (Authors) Shen, Wei-Tseen_US
dc.creator (作者) 沈暐哲zh_TW
dc.creator (作者) Shen, Wei-Tseen_US
dc.date (日期) 2025en_US
dc.date.accessioned 4-Aug-2025 13:28:42 (UTC+8)-
dc.date.available 4-Aug-2025 13:28:42 (UTC+8)-
dc.date.issued (上傳時間) 4-Aug-2025 13:28:42 (UTC+8)-
dc.identifier (Other Identifiers) G0112ZB1028en_US
dc.identifier.uri (URI) https://ah.lib.nccu.edu.tw/item?item_id=177940-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際金融碩士學位學程zh_TW
dc.description (描述) 112ZB1028zh_TW
dc.description.abstract (摘要) 本研究旨在探討總體經濟變數對美元兌日圓（USD/JPY）匯率之長短期影響，特別關注通膨、利率、景氣指標等總體面因素如何形塑匯率動態。在全球貨幣政策持續轉變與國際資金流動日益劇烈的背景下，理解匯率與總經變數之互動，對政策決定、交易決策、避險策略均具重大意涵。本文以2015年至2024年間美日兩國之月資料為樣本，採用自我迴歸分配滯後模型（ARDL），分析匯率與總體變數之動態關係。實證結果顯示，美國核心通膨上升與美元升值具顯著正向關聯，反映市場更關注通膨引發的政策預期效應；美國製造業PMI則與美元呈現負向關聯，可能源於市場資金再平衡行為。美日十年期公債殖利率對匯率亦呈現顯著影響，顯示資金流向與政策訊號解讀扮演關鍵角色。整體而言，ARDL模型證實美日總體經濟變數與匯率間存在穩定長期均衡關係，本研究亦透過誤差修正模型驗證匯率具備短期調整機制與即時反應能力，顯示其可作為總體變數變動下之市場觀測與政策判讀依據。本文補足既有文獻對USD/JPY匯率之長短期結構分析之不足，並提供政策與市場實務有用之參考。zh_TW
dc.description.abstract (摘要) This study aims to examine the short- and long-term effects of macroeconomic variables on the USD/JPY exchange rate, with a particular focus on how macroeconomic fundamentals—such as inflation, interest rates, and business cycle indicators—shape exchange rate dynamics. Against the backdrop of ongoing shifts in global monetary policy and increasingly volatile international capital flows, understanding the interaction between exchange rates and macroeconomic variables is of critical importance for policy formulation, trading decisions, and hedging strategies. Using monthly data from the United States and Japan from 2015 to 2024, this study employs the ARDL model to analyze the dynamic relationship between exchange rates and key macroeconomic indicators. The empirical results show that higher U.S. core inflation is significantly associated with USD appreciation, reflecting market expectations of future monetary tightening. Meanwhile, the U.S. manufacturing PMI exhibits a negative relationship with the USD, potentially due to market rebalancing behavior. The 10-year government bond yields of both the U.S. and Japan also exert significant influence on the exchange rate, indicating that capital flows and policy signals play a key role. Overall, the ARDL model confirms a stable long-term equilibrium relationship between macroeconomic variables and the USD/JPY exchange rate. This study further constructs an ECM to validate the short-term adjustment mechanism and the exchange rate’s responsiveness to real-time data, underscoring its usefulness as a market indicator for interpreting macroeconomic shifts and policy signals. By addressing gaps in existing literature regarding the short- and long-term structure of the USD/JPY exchange rate, this study provides valuable insights for both policymakers and market practitioners.en_US
dc.description.tableofcontents 第一章 緒論 1 第一節 研究動機與目的 1 第二節 研究架構 4 第二章 文獻回顧 6 第一節 理論基礎與經典模型 6 第二節 日本匯率制度及貨幣政策的演進 11 第三節 過去研究回顧、現有研究不足與本研究定位 14 第三章 研究方法與資料說明 16 第一節 研究方法 16 第二節 資料說明 20 第四章 實證結果與分析 28 第五章 結論與建議 35 第一節 研究結論 35 第二節 研究建議 36 參考文獻 38zh_TW
dc.format.extent 1231741 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112ZB1028en_US
dc.subject (關鍵詞) 匯率zh_TW
dc.subject (關鍵詞) 總體經濟zh_TW
dc.subject (關鍵詞) 美元zh_TW
dc.subject (關鍵詞) 日圓zh_TW
dc.subject (關鍵詞) exchange rateen_US
dc.subject (關鍵詞) macroeconomicsen_US
dc.subject (關鍵詞) US dollaren_US
dc.subject (關鍵詞) Japanese yenen_US
dc.title (題名) 美日匯率與總體經濟指標之動態研究zh_TW
dc.title (題名) Dynamic Relationship Between USD/JPY Exchange Rate and Macroeconomic Indicatorsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Mundell, R. A. (1963). Capital mobility and stabilization policy under fixed and flexible exchange rates. Canadian Journal of Economics and Political Science, 29(4), 475–485. Fleming, J. M. (1962). Domestic financial policies under fixed and under floating exchange rates. IMF Staff Papers, 9(3), 369–379. Obstfeld, M. (2001). International macroeconomics: Beyond the Mundell-Fleming model (Mundell-Fleming Lecture). IMF Staff Papers, 47(Special Issue), 1–39 Gagnon, J. E., & Chaboud, A. P. (2007). What can the data tell us about carry trades in Japanese yen? (International Finance Discussion Papers No. 899). Board of Governors of the Federal Reserve System Colavecchio, R. (2008). The carry trade and the adjustment of the Japanese yen: Evidence from a Markov-switching vector autoregression model (Discussion Paper No. 862). German Institute for Economic Research (DIW Berlin) Ohno, K. (1990). Estimating yen/dollar and mark/dollar purchasing power parities. IMF Staff Papers, 37(3), 507–530 Sarno, L., & Taylor, M. P. (2002). Purchasing power parity and the real exchange rate. IMF Staff Papers, 49(1), 65–105 Komiya, T. (n.d.). Empirical study on the currency exchange market: Determinants on the exchange rate of the U.S. dollars and the Japanese yen by the regression analysis. Kanaflex Corporation Chinn, M. D., & Meredith, G. (2004). Monetary policy and long-horizon uncovered interest parity. IMF Staff Papers, 51(3), 409–430 Czech, K. (2012). Niezabezpieczony parytet stóp procentowych na rynku jena japońskiego [Uncovered interest rate parity in the Japanese yen market]. Oeconomia Copernicana, 3, 71–82 Olmo, J., & Pilbeam, K. (2009). Uncovered interest parity: Are empirical rejections of it valid? Journal of Economic Integration, 24(2), 369–384 Bloch, A. (2020). Understanding the FX carry trade: An empirical study (Master’s thesis). Copenhagen Business School Ogunk, G. (2016). Carry trade strategies with factor augmented macro fundamentals: A dynamic Markov-switching factor model. The International Journal of Business and Finance Research, 10(3), 11–28 Tarı, R., & Gözen, M. Ç. (2018). Portfolio balance approach to exchange rate determination: Testing a model by applying bilateral data of Turkey and United States. Ege Akademik Bakış / Ege Academic Review, 18(3), 327–336 Ali, F. M., Spagnolo, F., & Spagnolo, N. (2017). Portfolio flows and the US dollar–yen exchange rate. Empirical Economics, 52, 179–189 Hausman, J. K., & Wieland, J. F. (2014). Abenomics: Preliminary analysis and outlook. Unpublished manuscript, University of Michigan and University of California, San Diego Tian, X., & Zhu, Z. (2023). The impact study of yield curve control on the yen exchange rate and Japanese inflation. In Proceedings of the 2nd International Conference on Financial Technology and Business Analytics (pp. 106–113) Ikkatai, K., Kawamoto, T., & Sakura, K. (2024). Japan’s unconventional monetary policy and the exchange rate dynamics (Bank of Japan Working Paper Series No. 24-E-23). Bank of Japan Liang, C. (2022). Analysis of USDJPY price fluctuations – Based on the huge fluctuations in the first fall of 2022. BCP Business & Management, 29, 252–258 Kasuya, M., & Takagawa, I. (2023). Model uncertainty of real exchange rate forecast over mid-term horizons (Working Paper No. 01-23). Bank of Japan, Research and Statistics Department Sakiyama, Y. (2023). Exchange rate analysis between the U.S. dollar and the Japanese yen (Bachelor’s thesis, Uppsala University) Chinn, M. D., & Moore, M. J. (2008). Private information and a macro model of exchange rates: Evidence from a novel data set (NBER Working Paper No. 14175). National Bureau of Economic Research Darvas, Z., & Schepp, Z. (2020). Forecasting exchange rates of major currencies with long maturity forward rates (Bruegel Working Paper No. 03/2020). Bruegel Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289–326.zh_TW