本篇研究主要的目的是探討台灣貨幣市場商業本票利率的非線性動態調整行為,並應用平滑轉換誤差修正模型來描述台灣商業本票利率非線性的部分。而在考慮多個利率變數時,體系內不只存在一個共積關係,因此本文使用Granger, Yau and Francis (2003)的失衡指數當作非線性誤差修正模型的轉換變數。實證結果發現: 首先,台灣貨幣市場短期利率呈現非線性調整,其中30天期及90天期商業本票利率呈現logistic型態之轉換行為,而360天期商業本票利率呈現exponential型態之轉換行為。而本文加入的農曆年節、政治紛爭及與金融危機、活期儲蓄存款準備率、匯率、重貼率等五個外生變數中,其中,農曆年節民間資金需求增加會影響30天期短期利率調整,政治紛爭與金融危機則會影響90天期利率調整,而180天期利率因期限較長,不受其他外生變數所影響。最後,實證結果顯示,預期理論成立在台灣的利率期限結構。 The purpose of this paper is to investigate the term structure of interest rates in Taiwan. A nonlinear smooth transition error correction model is specified and estimated with a disequilibrium index as a proxy for the transition variable. The results show that the yield spread, which the represents the long-run equilibrium relationship among interest rates, is stable with nonlinear adjustment. The evidences suggest that the LSTECM model is best for characterizing the behaviors of the 1-month and the 3-month interest rates, and the ESTECM model is best for the 6-month interest rate. Among the exogenous variables, the lunar new year affects 1-month interest rate adjustment, the political dispute and financial crisis affects 3-month interest rate adjustment. The empirical results show that the expectations hypothesis holds in the term structure of interest rates in Taiwan.