研究外匯市場效率性主要在探討遠期匯率能否充分反應市場對未來即期匯率之預期，亦即外匯市場效率性假說是否成立。本文重新檢視台灣1990年代台幣對美元匯率的效率性，在模型中利用已實現的未來即期匯率變動率對遠期溢酬進行迴歸分析，首先以傳統的線性模型檢定外匯市場效率性假說，另外我們考慮外匯市場所處之狀態可能會產生因時而異的變動特性，進而採用馬可夫轉換模型來加以描述配置。實證結果顯示，除了干擾項具ARCH效果的線性模型在30、60天期遠匯資料得到外匯市場可能具效率性，大致上顯示台灣外匯市場是不具效率性。根據馬可夫轉換模型的無條件機率的估計結果，發現台灣30天美元遠匯市場有效率狀態的比例約佔百分之70，表示市場有70%的時間是有效率的。

This paper examines the hypothesis of market efficiency for Taiwan’s foreign exchange market using daily date since 1990. Instead of the traditional linear regression-based models, we consider the possibility that the true data generating process may come from two different distributions, and we employ the Markov Switching approach to analyze this feature. From the results of the two-state Markov Switching model, we define state 1 as the efficient state and state 2 as the inefficient one. Only the 30-day forward rate is able to differentiate between the two states. Based on the unconditional probabilities from the Markov Switching model, we find that the 30-day forward rate has a 70% probability in the efficient state.