本研究利用雙變量門檻GARCH為實證模型，分析歐洲地區國家即期與遠期匯率間之動態關連性，提供社會一個良好的預測準則，降低匯率風險。在樣本期間內，法、德、義三國貨幣相對美元皆呈現貶值的情勢，若以國際金融理論的角度來看，歐洲貨幣近年來的疲軟實應為實質利率的低迷以及國際收支逆差所致，本文利用雙變量門檻GARCH模型進行討論，發現不管是當期或是預期的心理因素，貨幣貶值所帶來的影響力皆遠高於貨幣升值的影響力；又因即期匯率表現出較強之領先地位，顯示投資人的預期心理深受當期匯率所影響，然而預期心理會隨當時之社會狀況加以修正。在歐元實體貨幣未正式流通前，歐洲國家總體經濟政策、歐洲央行貨幣政策的可信度、各成員國財政政策是否符合歐元區整體利益等直接、間接問題，都會對歐洲國家的貨幣幣值產生影響，進而修正人們對未來的預期。

　　　　　 This paper analyzes the dynamic relationship between spot and forward exchange rate in Euro area, using bi-variable threshold GARCH model. French France、German Mark and Italian Lira relative to U.S. Dollar had depreciated in the sample period. This was due to the low real interest rate and deficit in current account in recent years. We find that the depreciation effects are stronger than appreciation effects among these currencies. Another result shows that spot exchange rate leads to forward exchange rate. It indicated that the expectations of investors would be influenced by the spot exchange rate deeply, and these expectations would be revised by social environment at the time. Many factors will influence the real value of Euro before the real Euro currency getting flow in the world. Including macroeconomic policies of European countries、the reliability of monetary policies of European Central Bank、the financial policies of the member in European Union conform to entire profit or not and so on. Then, these factors will correct the expectations of investors.