隨著金融市場之自由化、國際貿易的盛行以及外匯市場的日益繁榮，使得投資人能在外匯市場中從事投機、避險與套利等行為。
因此，外匯市場效率性的課題廣受學者的探討與分析，也是國際金融上的一個重要的課題。依據簡單效率市場假說，
如果遠期外匯市場為效率市場，遠期匯率與未來即期匯率之間必定存在著長期關係。
故本文先利用線性共整合分析法探討遠期外匯市場中，遠期匯率與即期匯率之間是否存在長期均衡關係，
並檢驗其簡單效率市場假說是否成立，
再進一步利用非線性門檻共整合方法探討，變數間是否存在門檻效果以及在達成長期均衡過程中的調整行為。
實證結果顯示，變數間皆存在門檻效果且在達成長期均衡過程中確實有不ㄧ致的調整行為。

With the liberalization of financial market,
the prevalence of international trade and the prosperity of
foreign exchange markets ,investors could hedge,speculate or
interest arbitrage in markets. Therefore, market efficiency is
worthy of investigation and analysis on the international finance
extensively. According to simple market efficiency hypothesis,
there would be a long-run relationship between spot exchange rate
and forward exchange rate if the foreign exchange market is
efficient. Under the circumstance, this study firstly tries to
examine whether there is a long-run relationship or not between
spot exchange rate and forward exchange rate by Linear
Cointegration Theory. At the same time, the study tests Simple
Market Efficiency Hypothesis is correct or not in practice.
Next,in a non-linear threshold cointegrational way, it looks into
whether there is an apparent threshold effect or not among
variables, and the adjusting behavior in the long-run equilibrium
process. The result of the study proves that there are an
apparent threshold effect and inconsistent behaviors in the
long-run equilibrium process.

目錄
1 緒論 1
1.1 研究動機..................................1
1.2 研究目的..................................2
1.3 研究內容與架構............................3

2 理論模型與相關文獻回顧 4
2.1 理論模型..................................4
2.2 國外文獻回顧..............................6
2.3 國內文獻回顧.............................12

3 研究方法 18
3.1單根檢定..................................18
3.1.1 Dickey-Fuller檢定(DF檢定)...........19
3.1.2 Augmented Dickey-Fuller檢定(ADF檢定)20
3.1.3 Phillips-Perron檢定(PP檢定).........22
3.2傳統共整合檢定............................23
3.2.1 Engle and Granger兩階段估計法.......25
3.2.2 Johansen最大概似估計法..............26
3.3門檻共整合檢定............................30
3.3.1 線性向量誤差修正模型................30
3.3.2 單門檻兩區域向量誤差修正模型........31

4 實證結果分析 34
4.1資料來源與處理............................34
4.2單根檢定結果..............................34
4.3共整合檢定結果............................37
4.4門檻共整合檢定結果........................41

5 結論 50

附錄 52

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