本研究旨在探討總體經濟變數與匯率之間的關聯性，以台灣和中國作為研究對象，並以美國作為比較基準。在諸多國際金融理論上進行創新性探索，本研究在自變數選擇上不僅考慮傳統的總體經濟因素(如利差、通膨差、所得差、貨幣供給差)，更加入了股市報酬率差，旨在綜合考慮不同因素對匯率的影響。研究樣本涵蓋了疫情前後，以便更全面地解釋各變數與匯率的關係。本研究採用月資料，資料期間自2018年10月至2023年10月共計61筆資料。方法採用指數平滑法(Exponentional Smooth Transation , ESTR)，同時將兩國利差設定為門檻變數，以進一步研究當兩國利差達到何種門檻時，會發生匯率更迭現象。經過實證分析後發現，當台美利差小於0.88%，台灣總體經濟變數中會顯著影響匯率變動之變數為台美利差、台美貨幣供給成長率差(M2)及台美所得成長率差(IP)；且當台美利差超過0.88%時，僅有兩國貨幣供給成長率差會對台美即期匯率產生影響。對於中國總體經濟變數，當中美利差小於2.49%時，中美貨幣供給成長率差(M2)、中美所得成長率差(IP)及中美利差，均會對匯率產生影響；當中美利差超過2.49%時，僅有中美貨幣供給成長率差(M2)的變動對中美匯率產生顯著影響
關鍵詞：利差、即期匯率、總體經濟變數、台灣、中國、美國

This study explores the relationship between macroeconomic variables and exchange rates, focusing on Taiwan and China with the United States as a benchmark. Innovatively building on various international financial theories, this research considers traditional macroeconomic factors such as interest rate differentials, inflation differentials, income differentials, and monetary supply growth differentials, and also includes stock market return differentials. The study covers the period before and after the COVID-19 pandemic, using monthly data from October 2018 to October 2023, totaling 61 data points. The Exponential Smooth Transition Regression (ESTR) model is employed, using the interest rate differential between the two countries as a threshold variable to investigate exchange rate adjustments.Empirical analysis reveals that when the Taiwan-US interest rate differential is less than 0.88%, significant variables influencing exchange rate fluctuations include the Taiwan-US interest rate differential, the Taiwan-US M2 growth rate differential, and the Taiwan-US income growth rate differential. When the Taiwan-US interest rate differential exceeds 0.88%, only the M2 growth rate differential significantly affects the spot exchange rate. For China, when the China-US interest rate differential is less than 2.49%, the M2 growth rate differential, income growth rate differential, and interest rate differential all influence the exchange rate. When the China-US interest rate differential exceeds 2.49%, only the M2 growth rate differential significantly impacts the China-US exchange rate.

目錄
圖目錄	6
表目錄	7
一、前言	8
(一)研究背景	8
(二)研究動機及目的	9
二、文獻探討與相關理論	10
(一)國際金融理論	10
(二)股、匯市關係說	14
(三)利率平價說(IRP)	15
三、研究方法	16
(一)單根檢定	16
(二)平滑移轉模型	17
四、實證結果分析	21
(一)樣本資料	21
(二)敘述統計	22
(三)單根檢定	24
(四)平滑移轉模型	25
五、結論與建議	32
 
圖目錄
圖2-1-1貨幣分析法	11
圖2-1-2各國通貨膨脹率走勢圖	14
圖3-1-1 邏輯型函數(LSTR)	20
圖3-1-2指數型函數(ESTR)	21

 
表目錄
表4.1.1 TW/USD自變數	21
表4.1.2 CH/USD自變數	22
表4.2.1 TW敘述統計表	23
表4.2.2 CH敘述統計表	23
表4.3.1非線性單根檢定	24
表4.3.2非線性單根檢定	24
表4.3.1 TW最適落後期	25
表4.3.2 CH最適落後期	26
表4.3.3 TW轉換函數選擇	27
表4.3.4 CH轉換函數選擇	27
表4.3.5 TW、CH轉換函數	28
表4.3.6 TW檢定結果	28
表4.3.7台美利差門檻效應	29
表4.3.8 CH檢定結果	30
表4.3.9中美利差門檻效應	31

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