本文係研究新台幣兌美元即期匯率與遠期匯率間的非線性動態調整行為，其中，遠期匯率包括10天期、30天期、60天期、90天期及180天期等五種。經單根檢定得知，所有序列資料需經過一次差分後為定態，均為I(1)序列，且除180天期遠期匯率外，即期匯率與各天期之遠期匯率間皆存在一個共積關係，經配適線性誤差修正模型與非線性檢定後，得知即期匯率與各天期之遠期匯率間應存在非線性關係，表示新台幣兌美元即期匯率與遠期匯率間存在非線性誤差修正調整之現象。 實證結果發現， 在共積關係中，所有遠期匯率皆為弱外生變數，表示10天期、30天期、60天期及90天期的遠期匯率在經濟體系失衡時並不作任何調整。經檢定發現即期匯率與各天期遠期匯率間皆以當期之誤差修正項進行轉換，而所有遠期匯率影響即期匯率的調整行為皆為非線性模型中的logistic型態，即LSTECM模型，表示由下區間(lower regime)轉換至上區間(upper regime)的調整行為是平滑(smooth)的，而非直接跳躍(jump)的。各模型的轉換速度( )都很小，表示從一個區間(regime)到另一個區間(regime)的轉換速度很緩慢。而門檻值(K)方面，即期匯率與各天期遠期匯率間的門檻值皆為接近零的負數，且越遠天期的遠期匯率其門檻值有越來越小的現象。 Recent research has increasingly suggested that exchange rates may be characterized by non-linear behaviors. The purpose of this paper is to investigate the exchange rates in Taiwan. The exchange rates include spot and forward exchange rates, and furthermore the forward rates include 10-days、30-days、60-days、90-days、180-days. We examined whether a series of spot and forward exchange rates exhibit non-linear smooth transition error correcting dynamic behaviors. The results show that all series of spot and forward exchange rates except 180-days have cointegrating relationship which is predicted by the Expectation Hypothesis. We consider error-correction term as a transition variable for non-linear error correction models. This paper finds that the smooth transition error correction model (STECM) may be appropriate to analyzing the series of spot and forward exchange rates. The evidence propose that the LSTECM model is the best for all series of spot and forward exchange rates, which means the adjustment behaviors from lower regime to upper regime is smooth not jump.
