論文摘要：
央行於87年5月25日起對無本金交割遠期外匯交易加以限制，新規定對遠期外匯市場影響為何？是否造成遠期外匯市場結構性之改變？為本研究欲探討之主題。
無本金交割遠期外匯（non-delivery forward; NDF）與本金交割遠期外匯同樣提供避險及投機功能，但是兩者因為保證金清算制度、交易資格及額度限制、交易成本與倒帳風險不同而存在價格差異。故本研究分別建立逐日清算效果價差模型與交易資格及額度限制價差模型，推導NDF與DF間理論價差公式。
在實證上，首先檢定價差之存在性，使用符號檢定法及符號等級檢定法驗證在研究期間，NDF與DF間價差確實存在。接下來分析價差之成因，包括了逐日清算效果與交易資格及額度限制效果，以OLS與GARCH（1,1）-in-Mean實證，結果證明了逐日清算效果與交易資格及額度限制效果存在，且可以解釋價差，並證明制度變革造成價差結構改變。最後以Chow''s structure shift test 檢驗價差之結構是否改變，結果價差結構在87年5月25日後因NDF交易制度改變而改變，且價差顯著擴大。

Abstract:
NDF(non-delivery forward) and DF(delivery forward) are both contracts that provide functions of hedging and speculating, and have been treated as if they were synonymous. However, in spite of the similarity of these two contracts, they are quite different in many aspects, and the most obvious differences are the marked-to-market and the limit of volume and trader of future contracts. This study set up the price divergence model cause of the marked-to-market effect of NDF and the price divergence model cause of the limiting of volume and trader of NDF.
Empirical results indicate that, the price divergence between NDF and DF is significant, the marked-to-market effect is significant, and the limit of volume and trader effect is significant. The marked-to-market effect and the limit of volume and trader effect are helpful in explaining the variations of NDF-DF price difference.
After May 25,1997, the rules that are meant for the limit of volume and trader has been changed, so has the structure of price divergence changed. And the divergence is has increased after the structure change as well.

第一章 緒論………………………………………………1
第一節 研究動機及目的…………………………………1
第二節 研究方法………………………………………….3
第三節 研究內容………………………………………….4
第二章 我國遠期外匯市場………………………………5
第一節 本金交割遠期外匯市場變革………………….5
第二節 無本金交割遠期外匯市場……………………10
第三節 NDF與DF之異同………………………………15
第三章 NDF與DF間價差模型………………………..22
第一節 期貨與遠期外匯間價差…………………….22
第二節 NDF與DF間價差的理論模型………………28
第四章 實證分析………………………………..……42
第一節 實證方法……………………………………42
第二節 研究範圍及資料來源………………………53
第三節 實證結果…………………………………….55
第五章 結論與建議…………………………………72
參考文獻………………………………………………..75
附錄：各天期契約價差圖…………………………………79

參考文獻
一、中文部份
1.康信鴻（1993），「台灣遠期外匯市場變革及檢討」，基層金融，第第27期，53-64。
2.顏志全（1996），「遠期外匯與外匯期貨價格差異之研究」，輔大金融所碩士論文。
3.王倫傑（1997），「台灣外匯市場效率性之實證研究-非恆定計量方法之驗證」，政大國貿所碩士論文。
4.何棟欽（1998），「新台幣無本金交割遠期外匯交易的本質分析」，經濟金融月刊，第34卷第4期，17-36。
5.林倬仲（1998），「NDF之操作分析與管制探討」，今日合庫，第284期，51-72。
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