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.

目錄
第一章 緒論
第一節 研究動機與目的......................................1
第二節 研究範圍與限制.........................................................3
第三節 研究架構與流程..................................... 4
第二章 理論基礎與文獻回顧
第一節 利率期限結構理論..............................      6
第二節 文獻回顧........................................... 8
第三章 研究方法與模型建立
第一節 單根檢定........................................................14
第二節 共積檢定.......................................... 18
第三節 失衡指數之建立........................................................21
第四節 設定誤差修正模型......................................................................................24
第四章 實證分析
第一節 資料說明與處理..........................................................................................30
第二節 各變數時間走勢圖......................................................................................32
第三節 單根檢定......................................................................................................36
第四節 共積分析......................................................................................................41
第五節 失衡指數分析..............................................................................................47
第六節 線性誤差修正模型......................................................................................48
第七節 非線性模型檢定與非線性模型的選擇......................................................54
第八節 平滑轉換誤差修正模型之估計..................................................................58
第五章 結論..............................................68
參考文獻.................................................70




圖次
圖1-1：研究流程圖.........................................5
圖4-1：商業本票30天期利率走勢圖................................................................................33
圖4-2：商業本票90天期利率走勢圖................................................................................33
圖4-3：商業本票180天期利率走勢圖..............................................................................33
圖4-4：商業本票360天期利率走勢圖..............................................................................34
圖4-5：活期儲蓄存款準備率走勢圖................................................................................34
圖4-6：新台幣兌美元匯率走勢圖....................................................................................34
圖4-7：重貼現率走勢圖....................................................................................................35
圖4-8：商業本票30天期利率差分一次走勢圖................................................................38
圖4-9：商業本票90天期利率差分一次走勢圖................................................................38
圖4-10：商業本票180天期利率差分一次走勢圖............................................................38
圖4-11：商業本票360天期利率差分一次走勢圖............................................................39
圖4-12：活期儲蓄存款準備率差分一次走勢圖..............................................................39
圖4-13：新台幣兌美元匯率差分一次走勢圖..................................................................39
圖4-14：重貼現率差分一次走勢圖..................................................................................40
圖4-15：殘差自我相關圖..................................................................................................42
圖4-16：共積向量 圖......................................................................................................44
圖4-17：recursive analysis...............................45
圖4-18：共積殘差圖.......................................46
圖4-19：調整後失衡指數圖..............................................................................................47
圖4-20：商業本票30天期利率之之logistic轉換函數......................................................61
圖4-21：商業本票90天期利率之之logistic轉換函數......................................................64
圖4-22：商業本票180天期利率之exponential轉換函數..................................................67



表次
表4-1：基本統計量........................................32
表4-2：單根檢定..........................................36
表4-3：差分一次序列之單根檢定............................37
表4-4：弱外生檢定........................................41
表4-5：長短期利率之共積向量個數檢定......................43
表4-6：長短期殖利率之共積向量............................45
表4-7：弱外生檢定........................................46
表4-8：商業本票30天期利率之線性誤差修正模型估計..........49
表4-9：商業本票90天期利率之線性誤差修正模型估計...........50
表4-10：商業本票180天期利率之線性誤差修正模型估計............................................52
表4-11：非線性模型選擇..................................................................................................54
表4-12：商業本票30天期利率之非線性檢定..................................................................55
表4-13：商業本票90天期利率之非線性檢定..................................................................56
表4-14：商業本票180天期利率之非線性檢定................................................................57
表4-15：商業本票30天期利率之LSTECM模型估計結果..............................................59
表4-16：商業本票90天期利率之LSTECM模型估計結果..............................................62
表4-17：商業本票180天期利率之ESTECM模型估計結果............................................65

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