隨著金融自由化及經濟全球化程度加深，國際間貿易與資本往來頻繁造成匯率波動幅度較過去大，又因匯率變動對國家貿易與經濟的影響力不容忽視，而被視為對外競爭力指標的實質匯率之重要性日漸提升，再者為了解實質匯率是否具分段波動行為且考量突發性或非預期事件的發生對匯率走勢造成之影響，本文主要利用可描述時間數列因狀態不同而變化的馬可夫狀態轉換模型進行研究，以了解不同國家實質匯率高低波動狀態移轉情況及探討影響實質匯率變動的因素。
此外對於目前國際化社會而言如何精確捕捉匯率走勢相信是不可忽視的課題，而在過去匯率研究中貨幣模型扮演相當重要的角色，因此進一步比較本文研究提出之匯率模型與由Frankel Jerry(1979)提出的實質利差模型(real interest differential monetary) 以知何者較能精確地預測實質匯率波動。
本文以2010年國際清算銀行(BIS)統計全球外匯市場交易額前十大貨幣中之日元、英鎊、澳幣、加幣與紐幣兌換美元之實質匯率為樣本並考量外匯存底、貿易餘額…等基本面因素所造成的影響進一步進行研究，實證結果發現基本面因素對匯率狀態轉換而言相當重要，而日元、英鎊、澳幣、加幣與紐幣實質匯率波動狀態皆具高度持續性且在高低波動狀態下各因素對實質匯率影響的方向、大小亦會有所不同，又相較於過去之貨幣模型，本文所提出的模型對日元、英鎊、紐幣之實質匯率能提供較佳的預測能力。

With financial liberalization and economic globalization, international trade and capital transactions result in larger exchange rate fluctuations than in the past. Besides, it can’t be ignored that the change of exchange rate influences the economics and real exchange rate which be regarded as the indicator of external competitiveness becomes more important than before, so my paper aims to know not only whether there is stochastic segmented trend in their fluctuation but also the factors which are closely related to regime switches.
As we all know that it is significant to forecast the volatility of exchange rate in the global society. A number of previous studies discussed the relationship between exchange rate and fundamentals under the monetary models, however many people found that these models are handicapped in out-of sample forecasting. Therefore, I compare the forecasting performance of the real interest differential monetary (RID) model of Frankel (1979) with the models which I built in the paper.
By using the market share of the top ten currencies in 2010 which is published by Bank for International Settlements (BIS) and the fundamentals. The empirical results indicate that fundamentals do not only matter for real exchange rate, but are also related to the switches between the regimes. Besides, the real exchange rates are highly persistent in each regime and the effect of fundamentals is different in different countries. At last, my result suggest that the models which I built in the paper provide better forecast in the yen, pound sterling and New Zealand dollar than the RID model.

論文審定書 i
摘 要 ii
Abstract iii
圖 次 vi
表 次 vii
第一章　緒論 1
第一節　研究動機與目的 1
第二節　研究流程與架構 2
第二章　文獻探討 3
第一節　定義實質匯率 3
第二節 實質匯率之實證回顧 4
第三節　研究變數 5
第四節　實證方法 7
第五節　狀態轉換之研究 8
第三章　模型建立 10
第一節　馬可夫轉換模型(Markov Switching Model) 10
第二節 檢定 12
第四章 資料說明與檢定 13
第一節　資料說明 13
第二節 敘述統計 14
第三節 單根檢定 17
第四節 逐步迴歸 22
第五章 實證結果 24
第一節 模型比較 24
第二節 各國估計結果 25
第三節　Wald檢定結果 36
第四節　估計結果之比較 37
第五節　實質匯率之預測 40
第六章　結論與建議 43
參考文獻 44

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