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第五章 結論與未來研究方向
在本篇研究中，我們使用考慮了未預料到訊息的匯率模型檢定歐元兌美元外 匯市場的效率性。並且，為了研究訊息在金融海嘯發生前後所扮演的角色，我們 將資料分為兩期 : (1) 2004/6/1 至 2007/6/30； (2) 2007/12/18 至 2008/12/18，資料 頻率為日資料。有別於之前文獻中使用的訊息不完整且可能不為真實的訊息，我 們考慮了所有美國及歐盟定期公布的相關經濟數據與指標，並定義未預料到訊息 為數據真實質與預期值之間的差距。
實證結果指出，在金融海嘯發生前的期間，考慮了未預料到訊息衝擊的模型 是接受市場效率性假說的。雖然此一結果在金融海嘯發生後並不成立，但我們發 現，未預料到訊息的衝擊，確實會影響外匯市場效率性檢定的結果。之前文獻上 常常作出外匯市場非效率的結論，部分原因極有可能是因為模型並未放入正確的 未預料到訊息所導致，是以，著眼於市場效率性與訊息的相關研究時，都不應該 忽略未預料到訊息所造成的影響。
另外，我們發現，不論在金融海嘯發生前後，美國的訊息都有舉足輕重的地 位；相反的，市場似乎傾向於忽略歐盟數據，此一結果在金融海嘯發生後更為明 顯。其原因可能是來自於歐盟區數據編制的特性，使得其出乎意料外的訊息發生 的機率遠比美國訊息低。但一定程度上也說明了美國與歐盟訊息對匯率的影響是 不對稱的，且影響程度與方向會隨時間而改變。
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最後，我們必須承認，由於各個訊息的重要性並無統一的認定，訊息對匯率 的影響，帶有相當程度的主觀看法，改變各別訊息的重要性或分組編製方式，有 可能改變檢定結果。另外，央行訊息理論上為影響匯率最重要的因素，其訊息影 響最直接但也最複雜，從利率決議、央行行長談話、國會聽證會等等，皆有重要 影響，但苦於訊息難以量化，本研究中，我們只考慮了利率決議的部分，這可能 是未來可以改善的方向。
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