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.

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