我國為小型開放之經濟體，經濟上對國際貿易的依存度相當高。近年我國在產業與經濟上高度依賴中國，因此當中國市場發生任何變動時，我國承受極大的衝擊與高度風險；故有必要對人民幣、新台幣及美元之連動性進行探討。相較於以往的研究，本研究同時採用向量誤差修正(VEC)模式、向量自我迴歸(VAR)模式及因果關係檢定，以建構各國匯率模型及建構各國間經濟變數模型。研究結果發現，新台幣、人民幣及美元匯率存在長期均衡的共整合關係，顯示若單一貨幣呈現波動時，則會影響其他貨幣匯率走勢。人民幣與其國內的利率與物價相關；美、中、台彼此間的物價呈現共整合關係。短期動態VAR模型估計中，新台幣匯率主要受前期匯率及前期利率影響，而台灣利率受前期利率及美國聯邦前期利率影響，當美國聯邦利率調整時，台灣央行也會跟進採取行動，故新台幣匯率間接受美國利率等因素影響。因果關係檢定中，可歸納出台灣匯率波動影響央行利率調整，利率再影響匯率調整的傳遞過程。而美國聯準會及中國人民銀行，對於控制國內通貨膨脹均會採利率調整。

Taiwan relies heavily on international trade; especially, Taiwan has a very close industry and trade relationship with China. As a result, an empirical study about the currency exchange of Taiwan, China and U.S.A. becomes a very important issue. Contrasting to previous study, this study simultaneously adopts VEC、VAR and Granger causality model to establish exchange and macroeconomic factors model. Empirical finding supports the co-integration relationship in currency exchange of Taiwan、U. S. A and China. Renminbi is affected by interest rate and inflation rate. The exchange rate of New Taiwan Dollar is affected by lagged exchange rate and lagged interest rate; the interest rate of Taiwan is affected by lagged interest rate and lagged U.S.A interest rate. Granger causality analysis shows that interest rate and exchange rate mutually influence each other in Taiwan. U.SA. government and China government both adopts interest rate to control inflation rate.