本研究旨在探討美元兌英鎊匯率 (GBP/USD) 與美國標準普爾500股價指數 (Standard & Poor's 500, S&P 500) 之間的關聯性及預測能力。本文利用樣本外Granger因果關係檢定 (Out-of-Sample Granger Causality) 來評估匯率對股價指數的預測效果，以及反向使用股價指數預測匯率的情況。研究期間為1871年1月至2023年12月的月資料。為了提高模型的準確性，本研究選用消費者物價指數 (Consumer Price Index, CPI) 和10年期公債利率作為控制變數。最後，本研究進行了多種穩健性檢定，證實了研究結果在不同檢定方法，以及不同樣本分割比例下的一致性。
研究結果顯示，匯率變數對股價指數的預測能力和股價指數對匯率的反向預測能力，在中期預測中有所提升，但在統計上並未達到顯著性，特別是在短期預測中的影響有限。這一不顯著的結果表明，美元兌英鎊匯率和S&P 500指數之間不存在樣本外Granger因果關係，其變動更可能受到其他總體經濟因素影響。

This thesis aims to explore the dynamic relationship between the GBP/USD exchange rate and the U.S. Standard & Poor’s 500 (S&P 500) stock index over an extended historical period from January 1871 to December 2023. Given the increasing integration of global financial markets and the importance of understanding the interaction between foreign exchange rates and equity markets, this research investigates both the predictive power of exchange rates on stock prices and the reverse causality using out-of-sample Granger causality tests. The study employs monthly data and includes critical macroeconomic control variables such as the Consumer Price Index (CPI) and the 10-year Treasury bond yield to enhance the robustness of the analysis. The findings reveal that while some medium-term forecasts indicate slight predictive improvements, these results are statistically insignificant, especially in short-term forecasts. The lack of significant causality between the GBP/USD exchange rate and the S&P 500 index suggests that other macroeconomic factors, such as global trade balances, interest rate differentials, and international capital flows, may play a more decisive role in influencing these financial indicators. This study contributes to the literature by providing a long-term perspective on the relationship between exchange rates and stock indices, highlighting the complexities and limitations of using exchange rates as predictors for stock market performance.

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