相對於資本市場對於一國之經濟，外匯市場已日趨重要。在過去，已有許多研究，從總經面來觀察匯率的波動，筆者試著跳脫總經面而從投資者對風險的承受度角度去看外匯匯率的波動。因為在實務上，我們發現一個有趣的現象，就是當匯率波動度變大時，資產價格往往是下跌的。也就是當市場匯率波動度升高時，投資者傾向於保守，只尋求報酬較低但相對較安全之標的物。本研究從亞洲13個幣別分別對匯市、股市、利率、商品與信用等市場的風險波動度來做分析，以期能達到協助匯率預測的目標。本研究主要以14個風險變數來做分析，假設每個變數與匯率波動度之間存在的正負關係，最後再以迴歸係數是否顯著，來驗證我們的假設是否成立。 文中之資料除新興市場債券指數來自JP Morgan銀行外，其餘皆取自路透社及彭博社之歷史資料庫。 本研究發現，可以綜合出三點:(一)在亞洲貨幣中，投資人認為澳洲幣與紐西蘭幣相對於美元，是屬於高風險資產。(二)其它的亞洲貨幣，呈現相反的態勢，投資人普遍認為本國貨幣相對美元是安全性資產，當風險貼水增加時，投資人傾向持有本國貨幣。這種情形尤以台灣和日本為甚。(三) 本文一共蒐集五種波動度來衡量投資人心中風險貼水的變化，實證發現以美國S&P 500的波動度指數標VIX最具全面性的效果。 / To a nation’s economy, foreign exchange market has gained its importance over time in comparison to the capital market. There are already many studies that look at foreign exchange rate movement from a macroeconomic standpoint in the past. The author here is trying to leave macroeconomic behind and look at foreign exchange rate movement from investors’ risk aversion level point of view. The interesting phenomenon we found in the realistic setting is that when exchange rate volatility increases, the asset price usually decreases. In another word, when market exchange rate volatility increases, investors tend to be more conservative and seek investment targets with lower risks and lower returns. This study analyzes 13 Asian currencies in relation to the volatility of foreign exchange market, stock market, interest rate, commodity market and credit market in hope to be able to forecast foreign exchange rates. This study uses 14 risk variables for its analysis. We assume each risk variable has a positive or negative relationship with foreign exchange rate volatility then we run multiple regression analysis to check the relevance of each variable and to validate our assumptions. All data came from Reuters and Bloomberg historic database, with the exception of Developing Market Bond Index which was obtained from JP Morgan Bank. The result of this study can be summarized as 3 findings: 1. Investors believe that when comparing with USD dollar, AUD and NZD are the risk assets. 2. Except AUD and NZD, investors think rest of the Asia currencies are risk assets. When risk premium increasing; the investors would like to have local currencies instead of USD. 3. The study uses 5 different volatilities from different markets to test the risk appetite from investors. It turns out the US stock market VIX index has most obviously link with Asia Currency.