有關委託單流量對匯率影響的實證研究，已有廣大文獻探討兩者間的線性關係，而隨著近年來市場微結構理論的興起，委託單流量攜帶的市場訊息影響外匯市場價格的變動，兩者間是否存在非線性關係，則是本文進一步探討之課題。本文利用門檻向量自我迴歸模型，以匯率波動作為門檻變數，探討在高、低波動期間，委託單流量對匯率報酬的影響效果有何差異。實證結果發現委託單流量與匯率間確實存在非線性關係，在匯率波動的門檻效果下，委託單流量對EUR／USD與USD／JPY兩種匯率價格變動皆有顯著的影響，並發現在不同的匯率波動期間，委託單流量對匯率變動的影響具有不對稱性，且在低波動期間的影響較大。

As for the empirical study of the impact of order flow on exchange rates, the bulk of literature has examined the relationship in a linear framework. The market microstructure has become popular in recent years, and we provide further evidence of the nonlinear relationship between order flow and exchange rates. This study employs threshold vector autoregressive model, and uses volatility as a threshold variable to test the impact effect between order flow and exchange returns. The empirical results show that the order flow has a significant influence on exchange rates, and order flow has asymmetrical impacts on exchange rates. When market historical volatility is high, an order has a lower price impact than in calmer periods.