The development of Taiwan's economy, as being an island in the Asian Pacific, heavily depends on international trade. And hence the profit margin of import/export traders is seriously impacted by foreign currency exchange rates. Fixed or stable exchange rate will definitely reduce the business risk of international traders. Historical Data demonstrates that NTD rapidly appreciated from 40:1 to 25:1 against USD since the Central Bank adopted the floating exchange rate policy in 1987. The exchange rate of USD tended to stay stable after the market became more and more mature. However, as the result of the financial crises originated from Southeast Asia, the exchange rate varied violently during that period and import/export traders suffered heavy losses. The purpose of this research is to present a US exchange rate forecasting model in integrating neural networks and regression analysis. Regression analysis is first used to extract important variables that may influence the US exchange rate. The obtained variables are then used as the input variables in building the neural network model. To demonstrate the effectiveness of our proposed method, the weekly USD exchange rate series from July 1997 to February 1999 was evaluated using the designed neural network model. Analytic results demonstrate that the proposed method outperforms the traditional regression, ARIMA and neural network models.