本研究以台灣加權股價指數、匯率及利率之資料為研究摽的，就1995年1月1日至2004年12月31日之10年期間，共2659筆日資料觀測值，利用非線性模型架構，研究台灣股價指數分別與匯價及利率的長短期門檻誤差修正互動關係。
  在研究方法上，採用Kapetanios et al. (2003)KSS單根檢定法以測試非線性的定態關係，並以Enders and Granger (1998)門檻自我回歸模型(TAR)及動差門檻自我回歸模型(M-TAR)進行門檻共整合檢定，並進一步利用Enders and Granger (1998)及Enders and Siklos (2001)門檻誤差修正模型(TECM)，來捕捉變數間的長短期非對稱因果關係，同時比較分析Engle and Granger (1987)傳統對稱誤差修正模型(ECM)之實證結果。
  本文實證結果發現：
(一)台灣股價指數與匯率及利率資料均屬於I(1)的時間數列。
(二)台灣股價指數與匯率以及股價指數與利率門檻共整合檢定之M-TAR模型的AIC值均小於TAR的值，故就門檻共整合檢定方法之調整機制較好的模型為M-TAR模型。依該模型檢定結果，匯率及利率分別與台灣股價指數間有不對稱門檻共整合關係。
(三)探討股價指數及匯率間長短期互動關係方面，以門檻誤差修正模型為基礎之實證結果，在短期動態關係，兩者存在顯著雙向回饋且負向互動關係。在長期關係方面，考慮門檻誤差修正之Granger因果關係，兩者均衡誤差在門檻值以上及以下時，均互有領先及落後關係。而股市與匯率市場間以非對稱方式進行價格移轉，兩者均衡關係偏離，在門檻之上與之下時，其回復均衡的調整速度有所不同。本研究另利用傳統對稱誤差修正模型，亦得出兩者間互有長短期雙向因果關係，不過其僅能描述長期均衡關係偏離時之線性調整過程，而門檻誤差修正模型則可描述均衡關係偏離程度不同時之不對稱調整情形。
(四)探討股價指數及利率間長短期互動關係方面，以門檻誤差修正模型為基礎之實證結果，在短期動態關係，股價指數對利率有顯著單向及正向影響。在長期關係方面，考慮門檻誤差修正項之Granger因果關係，兩者均衡誤差在門檻值以下時，互有領先及落後關係；均衡誤差在門檻值以上時，僅股價指數對利率有領先關係，利率對股價指數無領先關係。因此，利率商品市場與股票市場價格移轉為非對稱的，兩者均衡關係偏離，在門檻之上與之下時，回復均衡的調整速度亦有所不同。另利用線性誤差修正模型得出股價指數對利率有單向因果關係，及兩者偏離均衡關係時之線性調整過程，惟其實證結果不如門檻誤差修正模型，在門檻模型較能精確掌握股價指數與利率長期因果關係之全貌及不對稱價格調整情形。

Employing the Threshold Error-Correction Model (TECM), this study investigates the asymmetric causal relationships between stock price respectively with exchange rate and interest rate in Taiwan using the daily closing data running from 1995 to 2004.
  The results from Granger-Causality tests based on corresponding Threshold Error-Correction Model clearly point out a bidirectional causality running from the exchange rate market to the stock market and a unidirectional causality from the stock market to the interest rate market in the short run.
  Furthermore, we find asymmetric price transmissions between the stock market respectively with the exchange rate and interest rate markets in the long run. These findings ought to be made readily available to individual investors and financial institutions holding long-term investment portfolios in these three asset markets for their likely implications today.

第一章 緒論............................................... 1
  第一節 研究動機與目的................................... 1
  第二節 研究流程與步驟................................... 5
  第三節 論文架構......................................... 6
第二章 文獻回顧............................................7
  第一節 匯率與股價關聯文獻............................... 7
  第二節 利率與股價關聯文獻...............................11
  第三節 文獻彙整.........................................14
第三章 研究方法.......................................... 18
  第一節 單根檢定........................................ 18
  第二節 門檻共整合檢定.................................. 25
  第三節 門檻誤差修正模型................................ 29
第四章 實證結果與分析.....................................32
  第一節 變數選取與資料來源.............................. 32
  第二節 單根檢定........................................ 34
  第三節 門檻共整合檢定.................................. 36
  第四節 門檻誤差修正模型基礎之Granger因果關係檢定....... 38
第五章 結論與建議.........................................49
  第一節 研究結論........................................ 49
  第二節 研究建議........................................ 55
參考文獻..................................................56
圖  表　目　錄
<圖1.2.1 研究步驟流程圖...5
<表2.3.1 文獻回顧表一...15
<表2.3.2 文獻回顧表二...17
<表4.1.1 台灣股價指數與匯率、利率之敘述統計資料>...33
<表4.2.1  KSS (2003)單根檢定法>...35
<表4.2.2  PP, NP及KPSS單根檢定>...36
<表4.3.1 台股指數與匯率之門檻共整合檢定 (Enders and Granger, 1998 )>...38
<表4.3.2 台股指數與利率之門檻共整合檢定 (Enders and Granger, 1998 )>...38
<表4.4.1 台股指數與匯率之誤差修正模型之估計>...43
<表4.4.2 台股指數與利率之誤差修正模型之估計>...48

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