摘要
本研究探討南非總體經濟數據以及南非股票市場與美國股票市場之相對報酬等變數對南非幣匯率漲跌之關係。採用 Augmented Dickey–Fuller (以下簡稱ADF) 單根檢定方法檢測出各個變數的樣本資料是否存在單根，為確認變數是穩定的定態時間序列。運用逐步迴歸模型 (stepwise regression) 分析出數個變數對於南非兌美元匯率是否存在關連性。迴歸模型依自行評估之總體經濟數據進行篩選與南非兌美元匯率進行相關性實證檢定，經由變數排列組合配置於模型，重複試驗檢測後，最終挑選 6 個變數為模型最適組合，此 6 個變數具有解釋能力，並顯著相關。研究所採用之變數，期間為 2000 年 2 月至 2020 年 3 月的月資料，共 230 筆觀察值。最終研究顯示，消費者物價指數、外匯存底、進口量、黃金價格、南非與美國十年期公債殖利率利差以及南非與美國股市之相對報酬對南非兌美元匯率最具有解釋能力，且具有相關性。無論投資人在已持有南非幣，爾或未來欲進行南非幣投資時，皆可使用上述變數作為衡量南非匯率之參考依據。

Abstract
This study explores the relationship between the volatility of the South African rand exchange rate and variables such as the overall economic data of South Africa as well as the relative returns of the South African stock market and the US stock market. The unit root test method - Augmented Dickey-Fuller test (hereinafter referred to as “ADF”) - was adopted to detect whether there is a unit root in the sample data of each variable, so as to confirm that the variable is a stable stationary time series. A stepwise regression model was used to analyze whether there was a relationship between these variables and the exchange rate volatility of South African rand against the US dollar. The regression model is screened based on self-assessed overall economic data and empirically tested for the correlation between the exchange rate volatility of the South African rand against the US dollar. By configuring the permutation and combination via variables in the model, six variables were finally selected as the optimal combination of the model after repeated tests. These six variables had explanatory power and were significantly correlated. The study used data from February 2000 to March 2020, with a total of 230 observations. The final results show that the annual growth rate of consumer price index, the annual growth rate of foreign exchange reserves, the annual growth rate of imports, the price of gold, the interest rate spread of the 10-year Treasury bond between South Africa and the United States, and the relative returns of the South African stock market and the US stock market had the most explanatory power and were the most relevant to the exchange rate volatility of South African rand against the US dollar. Investors can use the above variables as a reference basis for measuring the exchange rate of the South African rand when they already hold South African rand or want to make an investment in South African rand in the future.

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