過去關於貿易餘額與匯率之間關係的文獻，往往以長期穩定關係的估計式分析馬婁條件是否成立，本文則欲分析隨著經濟環境的變化，貿易餘額與匯率的關係是否會存在區位轉換（regime switching）的現象。
本文採用2001Q1至2024Q4台美之間的季資料，以機械與電機設備占比做為轉換換變數，建構平滑轉換模型，分析台美所得，匯率三者的短期變動，對貿易餘額的影響，實證結果顯示：在機械與電機設備占比較低時，台幣貶值增幅有助於貿易餘額成長率；但當占比升高，貶值反而抑制貿易餘額成長率上升，此現象顯示弱勢本國貨幣政策在產業結構轉變下可能失效。所得變數亦呈現區位效果，反映經濟體在不同產業階段下的外需與內需敏感性差異。此外，轉換變數亦成功識別出2012Q4左右的震盪區間，顯示模型具備辨識潛在結構轉變之能力。綜合而言，本文指出：在以機械與電機設備為主的出口結構下，傳統貶值促進貿易的邏輯可能不再適用，政策制定者應重新評估匯率操作對貿易的實際效果。

Traditional literature examining the relationship between trade balance and exchange rate often tests the validity of the Marshall-Lerner condition by estimating long-term stable relationships. In contrast, this study aims to analyze whether regime shifts exist in the relationship between trade balance and exchange rate as the economic environment evolves.

Using quarterly data from 2001Q1 to 2024Q4 between Taiwan and the United States, this paper employs the share of the electronics industry as a transition variable to construct a smooth transition model. The model examines the short-term effects of Taiwan–U.S. income and exchange rate movements on the trade balance. Empirical results indicate that when the electronics sector accounts for a smaller share, a depreciation of the New Taiwan dollar contributes positively to the growth rate of the trade balance. However, when the electronics sector becomes more dominant, currency depreciation actually suppresses the growth of the trade balance. This suggests that a weak-currency policy may become ineffective amid structural changes in the industrial composition.

Income variables also exhibit regime-dependent effects, reflecting differing sensitivities of external and internal demand across stages of industrial development. Furthermore, the transition variable successfully captures the turbulence around 2012Q4, demonstrating the model's capability to detect potential structural changes.

Overall, this study highlights that in an export structure dominated by the electronics industry, the conventional logic of depreciation-led trade promotion may no longer hold. Policymakers should reconsider the actual effectiveness of exchange rate interventions under such structural conditions.

目錄
論文審定書 i
誌謝 ii
摘要 iii
Abstract iv
目錄 v
圖次 vii
表次 viii
第一章 緒論 1
第一節 前言 1
第二節 研究動機與目的 1
第三節 研究方法 3
第二章 文獻回顧 5
第一節 馬婁條件相關文獻 5
第二節 非線性迴歸相關文獻 7
第三章 經濟理論與實證方法 9
第一節 馬婁條件 9
第二節 單根檢定 10
1. ADF檢定(Augmented Dickey–Fuller test) 11
2. PP 檢定（Phillips-Perron test） 12
3. KPSS檢定（Kwiatkowski–Phillips–Schmidt–Shin Test） 13
第三節 共整合檢定 13
第四節 平滑轉換模型 14
第五節 檢定步驟 17
1. 線性檢定 17
第六節 診斷性檢定 19
1. 無序列相關檢定（No autocorrelation test） 19
2. 無剩餘非線性檢定（No Remaining Additive Nonlinearity Test） 19
3. 常態性檢定（Jarque–Bera test） 20
4. 無異質變異檢定（ARCH-LM test） 20
第四章 實證結果 21
第一節 實證估計式與資料來源 21
第二節　取對數與單根檢定 22
第三節 共整合檢定 24
第四節 實證模型估計 24
第五節　診斷性檢定 31
第五章 結論 34
參考文獻 36

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