許多探討通貨替代現象的實證研究利用 Cuddington (1983) 的資產組合平衡模型 探討貨幣需求、本國所得、本國利率、外國利率與匯率變動率之間的線性關係，但並未 考量當交易成本存在時，線性模型的調整速度為固定值的假設將不再適用了，因而可能 存在非線性的通貨替代關係。而Wu and Hu (2007) 探討引入通貨替代現象之貨幣需求 函數的非線性關係，但僅將實質匯率納入傳統貨幣需求函數，並未考量外國利率對本國 貨幣需求的影響。
本文依據資產組合平衡模型，在考量通貨替代現象下，將外國利率與實質匯率兩 個變數加入傳統的貨幣需求函數，而建構出包含本國實質所得、本國利率、外國利率、
實質匯率的貨幣需求函數，探討在開放經濟體系下，東亞六國：印尼 (ID)、韓國 (KR)、
菲律賓 (PH)、新加坡 (SG)、泰國 (TH)、台灣 (TW) 對歐元、日圓、美元等三種貨幣 是否存在通貨替代現象，以及通貨替代現象對東亞六國貨幣需求的影響。本文應用 Johansen (1991) 共整合方法分析東亞六國 1999 年 1 月至 2007 年 10 月的資料，並應用 Granger and Teräsvirta (1993) 所 提 出 的 非 線 性 平 滑 轉 換 迴 歸 (smooth transition regression, STR) 模型來探討通貨替代的非線性關係。
根據本文實證分析與結果，綜合數項結論如下：
一、單根檢定與估計模型
由單根檢定之結果顯示， ID、KR、SG、TW 等四國的實質貨幣需求、實質所得、
本國利率、實質匯率皆為非定態序列，且EU、JP、US 三種貨幣之利率亦為非定態序列，
故我們利用誤差修正模型探討上述四國之貨幣需求的長期均衡關係與短期動態調整方 程式。
我們利用Johansen 共整合檢定判斷各變數的長期均衡關係，並應用 Nieh and Lee (2001) 所建議的方式來決定共整合方程式是否包含截距項或趨勢項。之後，在考量變 數弱外生性的情形下，使得我們估計部分體系所獲得之訊息會與估計完整體系一樣多。
由共整合檢定之結果可知，ID_EU、KR_JP、SG_JP、SG_US 等四個模型不存在長期均 衡關係；KR_EU、KR_US、SG_EU、TW_JP、TW_US 等五個模型存在一組長期均衡關 係； ID_JP、ID_US、TW_EU 等三個模型存在兩組長期均衡關係。
在各模型的長期均衡關係與短期動態調整方程式中，僅有KR_EU 與 SG_EU 兩模
型顯著存在通貨替代現象。而ID_JP、ID_US、KR_EU、TW_JP 等四個模型存在均數復 歸之現象。
由各模型估計的結果可知，實證結果並未支撐經濟理論。可能的原因是本文在貨 幣市場達成均衡的假設下，以貨幣供給額作為取代貨幣需求的變數，然而事實上，貨幣 市場並未達成均衡，因而造成實證結果並未支撐經濟理論。
二、線性檢定及診斷性分析
我們透過線性檢定以判斷資料適合以何種模型進行估計。由線性檢定結果可知，
KR_EU、KR_JP、SG_EU、SG_US、TW_JP、TW_US 等六個模型並不適合以非線性 STR 模型描述實際資料。而 ID_EU、ID_JP、ID_US、KR_US、SG_JP 等五個模型適合 以非線性LSTR1 模型進行估計，而僅有 TW_EU 模型適合以非線性 LSTR2 模型進行估 計。
針對上述的非線性模型，我們進行診斷性分析以判斷模型之好壞，由檢定結果可 知，非線性模型之殘差皆無序列相關與異質變異之現象；僅有 ID_US 模型之參數拒絕 一次、二次與三次方時間趨勢項的虛無假設，表示參數會隨著時間變動而變動；且僅在 ID_US 與 TW_ EU 兩個模型中，仍有部分變數存在剩餘其他非線性之特性，但與線性 檢定之檢定值比較之後，發現無剩餘其他非線性檢定之p-value 較線性檢定高，因此，
我們推論 ID_US 與 TW_ EU 兩個模型已能捕捉相當程度的時間序列資料非線性之特 性。所以，我們推論非線性STR 模型的解釋能力較線性模型佳。
由非線性模型的轉換函數可知，SG_JP 與 TW_EU 模型的調整速度較為急遽；而 ID_EU、ID_JP、ID_US、KR_US 等四個模型的調整速度較為平緩。由非線性模型估計 的結果可知， ID_EU 與 SG_JP 模型不存在均數復歸之現象；在 ID_JP 模型中，第一條 長期均衡關係沒有回復均衡之力道，但第二條長期均衡關係存在均數復歸之現象；在 ID_US 模型中，只要轉換函數值不是很接近一時，第一條長期均衡關係仍存在均數復歸 之現象，而第二條長期均衡關係具有均數復歸之現象；在KR_US 模型中，一旦偏離長 期均衡關係，將沒有回復均衡之力道；在TW_EU 模型中，第一條長期均衡關係存在均 數復歸之現象，但第二條長期均衡關係沒有回復均衡之力道。
三、評估模型配適度
我們透過誤差均方根 (root mean square error, RMSE) 對線性與非線性 STR 模型進
行模型配適度之比較，發現以非線性模型進行估計時，其 RMSE 值皆較線性模型小，
故知非線性模型配適度優於線性模型。
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