本文利用 GARCH-M 模型檢定臺灣之遠期美元市場是否存有與時俱變的風險溢酬（ risk premium，或稱風險升水），在 GARCH-M 模型裡， 與時俱變的風險溢酬是下列變數的 函數： 以遠期匯率預測即期匯率所產生之預測誤差的條件變異數。 本文發現 10 天期、30 天期及 60 天期的遠期美元契約均有風險溢酬存在， 10 天期及 30 天期的遠期美元契約， 其風險溢酬為與時俱變，但就 60 天期的遠期美元契約而言，風險溢酬為與時俱變此一命題 所得到的實證支持較為薄弱。 就這三種契約而言，遠期匯率為未來即期匯率之不偏估計式的命題均不能成立。 本文之實證結果顯示，以往文獻所載臺灣遠期美元匯率的預測表現欠佳，可以風險溢酬的出 現來解釋。

　　　　　In this paper, we have examined the existence of a time-varying risk premium in Taiwan's foreign exchange market using a GARCH-in-Mean model. In this model the time-varying risk premium is postulated as a function of the conditional variance of the forecast error when the forward rate is used to predict the future spot rate. Our estimates provide evidence of a risk premium for all the three forward contracts covered in this paper. For the 10 days and 30 days contracts, the risk premium is time-varying and the conditional variance of the exchange rate forecast error as well as forecast error itself is important determinant of the risk premium. However, the evidence of a time-varying risk premium is not that strong for the 60 days contract. The unbiasedness hypothesis is also soundly rejected for all forward contracts covered in this study. This paper has established that for the NT/U$ exchange rates, the forward premium is negatively correlated with the subsequent changes in the spot exchange rates. It suggests that on the average an investor can earn positive profits by investing in the U.S. dollar when the U.S. dollar has a forward discount with regard to the New Taiwan dollar, and investing in the New Taiwan dollar when the U.S. dollar commands a forward premium. However, given the presence of the risk premium as evidenced in this paper, investors should not be too carried away and view the profits as a free lunch, rather those profits should be regarded as a compensation for the investors to hold the more risky currency. These results indicate that the inefficient predictive performance of the forward rates of Taiwan's foregin exchange market documented in the literature can be explained by the presence of a risk premium.