美元匯率是否為預測油價走勢之關鍵因素？

Does U.S. Exchange Rate Matters in Oil Price Forecast?

由於大部分之文獻皆主張油價變化會導致匯率波動，進而影響全面性的經濟體系。然而，油價與匯率的互動關係尚未研究出完整的結論，換句話說，匯率是否影響油價依然尚未定論。有鑑於油價與匯率皆為重要的總體經濟指標，因此本研究主要著重在探討油價與美元名目有效匯率兩者之間的關係。藉由向量自我回歸模型（VAR model）執行必要的樣本外預測程序（Out-of-sample forecasting）與DM統計量檢定，實證結果指出美元名目有效匯率不論在短期預測（逐季預測）或是在長期預測（逐年預測）下，皆是良好的預測指標。

Most of the previous researches confirm that the oil price shock result in exchange rate fluctuation and further affect the overall economic system. However, it is inconclusive that exchange rate would also derives the movement of oil price. Due to the importance of oil price and exchange rate, the main purpose of this thesis is to disentangle the relationship between two time series: oil price and U.S. dollar nominal effective exchange rate (NEER). By employing the VAR model to access out-ofsample (OOS) forecasting and DM statistics, the empirical results indicated that under one-step-ahead and four-step-ahead condition, the U.S. NEER index is a good factor to predict oil price.