本研究探討Quanto 隱含風險溢酬（QRP）與外匯選擇權隱含資訊對匯率變動之預測能力，並檢驗QRP是否會被外匯選擇權波動曲面資訊吸收。以八種主要貨幣為樣本，本研究針對6個月、9個月、12個月與24個月預測期限進行面板迴歸分析，並納入利差（IRD）、QRP、平價隱含波動率（ATM）、風險逆轉（RR）與蝶式價差（BF）等變數。實證結果顯示，利差之預測能力並不穩定，QRP 在基準模型中於6個月、9個月與24個月期限下具有較明顯之解釋力；外匯選擇權變數中，ATM主要於6個月期限下具有補充效果，RR則於9個月期限下較穩健，BF之獨立預測效果較不穩定。完整模型結果顯示，QRP與外匯選擇權資訊存在部分重疊，但24個月期限下QRP在控制ATM、RR與BF後仍維持顯著。進一步採用同步時間區塊拔靴法後，主要結論更趨保守但未被推翻，表示匯率可預測性可能同時來自外匯選擇權市場對短中期風險之定價，以及Quanto所揭露之較長期跨資產風險補償。

This study examines the predictive power of the Quanto-implied risk premium (QRP) and FX option-implied information for future exchange rate changes, and tests whether QRP is subsumed by information embedded in the FX option volatility surface. Using a sample of eight major currencies, this study conducts panel regression analyses for forecast horizons of 6, 9, 12, and 24 months. The empirical models incorporate the interest rate differential (IRD), QRP, at-the-money implied volatility (ATM), risk reversal (RR), and butterfly spread (BF). The empirical results show that the predictive power of IRD is unstable. In the baseline model, QRP exhibits more pronounced explanatory power at the 6-month, 9-month, and 24-month horizons. Among the FX option variables, ATM mainly provides complementary information at the 6-month horizon, RR shows more robust predictive power at the 9-month horizon, while the independent predictive effect of BF is less stable. The results from the full model indicate partial overlap between QRP and FX option information; however, QRP remains significant at the 24-month horizon even after controlling for ATM, RR, and BF. Further analysis using synchronized time-block bootstrap methods yields more conservative conclusions but does not overturn the main findings. Overall, the results suggest that exchange rate predictability may stem from both FX option market pricing of short- to medium-term risks and the longer-term cross-asset risk compensation revealed by Quanto.

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