印永翔Ying, Yung-Hsiang楊珺惠Yang, Chun-Hui2019-09-032021-06-222019-09-032016http://etds.lib.ntnu.edu.tw/cgi-bin/gs32/gsweb.cgi?o=dstdcdr&s=id=%22G0103590190%22.&%22.id.&http://rportal.lib.ntnu.edu.tw:80/handle/20.500.12235/94860本論文以日本匯率為樣本，以ARIMA模型描寫日圓匯率短期波動的現象。因布林敦森林體系於1973年瓦解之後，日圓步入浮動匯率年代，變動相當劇烈。匯率預測模型如貨幣模型，資產模型，與ARIMA皆是在不同假設與情境下，經濟學界所提出的模型。因為二戰後日圓匯率屢逢政策面或國際因素等影響，例如80年代的廣場協定，安倍首相的安倍三箭政策，日圓匯率波動並不完全可以以貨幣模型或資產模型，來描繪其變動情形。故本論文採取ARIMA描述其短期變動，各種估計模型中，以AR(1) MA(8,11) 模型為最佳的估計結果。We adopted ARIMA model to describe the short-run fluctuations of Japanese yen. Due to the collapse of Bretton Woods System, Japanese yen has experienced high volatility since 1973. Based on different assumptions and circumstances, forecast models of exchange rate such as monetary, asset and ARIMA model had been proposed. Because of international and institutional factors, the fluctuations of Japanese yen are subject more than fundamental factors per se. Therefore, we adopted ARIMA model to describe the short-run fluctuation of Japanese yen, AR(1)MA(8,11) is best model among all choices based on scrutinized evaluations.匯率時間序列自我廻歸整合移動平均模型Exchange RateTime SeriesARIMA model