在這篇文章中，我們從市場整合性的層面提出了一個簡單且新穎的方法來檢驗兩個在全球經濟下相當有趣的問題：（i） 匯率的預測，和（ii） 匯率風險如何對經濟或全球事件作反應。我們利用一個新提出的測量市場整合性變數來建構我們聚焦在市場連結性與匯率變動的結構性關連性的預測模型。實證結果顯示(i)我們的預測方法在我們觀測的時間裡，特別在2008年金融危機、歐債危機後世界各國的寬鬆政策以及2014年的石油危機，得到比傳統隨機漫步模型得到的結果還要小的預測誤差。（ii)我們提出的新的變數在預測匯率變動有著非常強的預測能力。（iii）貨幣避險的角色（如美元和日圓）會隨著不同時間點發生的世界而有所變動。

In this paper, a simple, but novel forecasting procedure is proposed to examine two intriguing issues in international economics from the market integration prospective:(i) the prediction of exchange rates, and (ii) the pricing of exchange rate risk in response to the macroeconomics activities or global events. This forecasting procedure, focusing on the structural linkage between the market integration and connectedness and exchange rates, includes a new indicator to measure market integration and connectedness and two recent developed estimations for the spurious and imbalanced regressions. Empirical results indicate that (i) our procedure outperforms the conventional random walk model in terms of forecasts of exchange rates, even the sample observations cover crises (2008 subprime crisis , European debt crisis and oil crash) and international monetary policy change (Quantitative easing policy, QE) period; (ii) the predictive ability of this new indicator is powerful on exchange rates; (iii) the changing roles of hedging currencies vary with different economics activities or significant global events, especially for the US dollar, Japanese Yen.

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