重新審視Meese-Rogoff謎團—機器學習方法在匯率預測上之應用

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題名:	重新審視Meese-Rogoff謎團—機器學習方法在匯率預測上之應用
作者:	葉冠汝;Ju, Yeh Kuan
貢獻者:	經濟學系
關鍵詞:	匯率預測;機器學習;隨機漫步;Machine learning models;Exchange rate forecasting;Random walk
日期:	2024-07-23
上傳時間:	2024-10-09 16:45:30 (UTC+8)
出版者:	國立中央大學
摘要:	本研究探討了美元兌各個主要國家的月頻率樣本外匯率變動率預測，並引入多種機器學習模型來重新檢驗Meese and Rogoff (1983)的結論–隨機漫步為短期匯率預測最好的模型是否依然正確。本文以月頻率資料為基礎，選取了多個國家和全球經濟變數，並使用了收縮模型、主成分模型、隨機森林（Random Forest）、深度神經網絡（DNN）等多種機器學習模型，對美元兌主要貨幣（包括日元、歐元、澳元、加元和英鎊）的匯率變動率進行樣本外預測，並與隨機漫步模型進行比較。實證結果顯示，在領先一期的預測中，機器學習模型普遍優於隨機漫步模型。然而隨著領先期數增加至兩期和三期，機器學習模型的預測能力下降，優勢逐漸減弱，這樣的結果部分支持了Meese and Rogoff的結論。透過變數選擇模型可以了解個別變數的重要性，大部分變數以與全球變數的交乘項的型態被挑選，顯示在預測匯率時考慮全球局勢的重要性。Clark-West檢定的結果也同樣顯示多數機器學習模型在領先一期的預測中顯著優於隨機漫步模型，但在更長期的預測中，機器學習模型的優勢逐漸減少。本研究展示了機器學習方法在經濟、金融時間序列預測中的潛力，未來可進一步探索更多變數和改進模型結構，以提升長期預測的準確性。;This study revisits the conclusions of Meese and Rogoff (1983), which suggested that the random walk model is the best for short-term exchange rate forecasting. Using monthly data and various machine learning models—including shrinkage models, principal component models, random forests, and deep neural networks (DNN)—we forecast the US dollar exchange rates against major currencies (yen, euro, Australian dollar, Canadian dollar, and British pound) and compare them with the random walk model. Empirical results show that machine learning models outperform the random walk model for one-month-ahead forecasts. However, their predictive power decreases for two and three-month-ahead forecasts, partially supporting Meese and Rogoff′s conclusions. LASSO analysis reveals that most important variables are global interactions, highlighting the significance of global factors in exchange rate predictions. The Clark-West test also confirms that most machine learning models are significantly better than the random walk model for short-term forecasts, though their advantage diminishes over longer horizons. In summary, machine learning models show significant potential for short-term exchange rate forecasting, particularly for one-month-ahead predictions. However, their accuracy declines over longer periods, not consistently outperforming the random walk model. Future research should explore additional variables and improved model structures to enhance long-term forecasting accuracy.
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