在2008年的金融危機後，許多國家為了維持國內經濟水準，開始使用降低利率的方式刺激國內資金流通，甚至希望藉此影響國內匯率，藉而提升國際貿易上的競爭力，但一直降低利率的結果，讓「負利率」出現在市場上。雖然未拋補平價理論在過去許多的研究是不成立，但由於負利率的出現，代表現今的利率結構跟以往相比已有不同的面貌。因此我們使用金融模型Vasicek model加上未拋補平價理論來預測匯率。在本文中，我們使用隔夜倫敦拆放利率來做為建構利率期限結構的初始利率。為了能更敏感地捕捉市場的變化，我們以每天估計一組新參數的方式來達到此目的。
在預測匯率方面，其結果發現，1日後歐元對美元的預測值與實際值在統計上是無差異的；利差方面的未拋補平價理論是不成立的，但與以往文獻不同的是，多數模型的利差與匯率報酬率間為正相關。
除了探討未拋補平價理論是否成立，我們亦用均方根誤差（Root Mean Square Error, RMSE），平均絕對誤差(Mean Absolute Error, MAE)與平均誤差百分比(Mean Absolute Percentage Error, MAPE)三項指標衡量績效來衡量預測值與遠期匯率的預測績效，結果發現，雖然日元對歐元的預測結果在利率平價立論上是不成立的，但在上述的衡量績效上是優於遠期匯率的。

After the 2008 global financial crisis, many central banks lowered their interest rates to maintain the economy and stimulate domestic liquidity. They even hopes to use this method to influence domestic exchange rates so as to enhance the competitiveness in international trade. However, as a result of consistently lower interest rates, "negative interest rates" appear in the market. Uncovered interest rate parity doesn’t hold in the past studies but due to the appearance of negative interest rates, it represents that current interest rate structure has a different appearance than before. Therefore, we use Vasicek model and uncovered interest rate parity to predict the exchange rate. In this paper, we use the overnight LIBOR as the initial interest rate for constructing the term structure of the interest rate. And in order to capture market changes more sensitively, we achieve this goal by estimating daily parameters.
The results of forecasting exchange rate show that there is no statistical difference between the 1-day predicted USD to EUR value and the actual one. Unfortunately, uncovered interest rate parity about the theoretical spread and actual spread doesn’t hold. But most of coefficient are positive and not excessively large. This result is different from previous research whose coefficient is negative.
In addition to discussing whether the uncovered interest rate parity holds, we also use the RMSE, the MAE and the MAPE to judge predictive power between estimated value and forward exchange rate. The result shows that the predict power of estimated EUR to JPY exchange rate is better than forward exchange rate.

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