現有匯率實證文獻發現,組合各匯率模型預測表現有其優越性。本文欲深入探討為何組合預測會有效? 而其有效資訊為何並如何運用該信息?本文利用 Liu and Kuo (2013)的計量架構回答上述問題。我們理論分析發現最佳權重構造由偏誤類與變異類參數組成。在實證上,我們蒐集英鎊、日幣、瑞士法郎與美元相關匯率和經濟數據,運用隨機漫步、遠匯溢酬、貨幣學派與結合所有模型之混合模型,進行分析後發現:(1)各匯率預測模型在不同時點具有不同的有效信息,組合各模型預測可透過權重降
低模型預測風險。(2)遠匯溢酬偏誤在金融市場波動時,影響匯率預測大。透過組合
預測權重調節,可有效降低市場波動時產生的估計偏誤,使預測更佳。

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