企業投資與匯率不確定

Corporate Investment and Exchange Rate Uncertainty

張永旺(Yung-Wang Chang)

指導教授 ： 陳思寬

國立臺灣大學/管理學院/國際企業學研究所/碩士(2007年)

https://doi.org/10.6342/NTU.2007.00506

摘要

本研究乃依據加速理論、現金流量模型、新古典投資模型和Tobin Q理論等企業投資理論，考慮影響企業投資決策的變數，包括廠商產出水準、獲利率、資本使用成本等，並加入匯率變動及匯率波動等因素，建構投資函數。以台灣上市公司為研究對象，取1996年到2005年的縱橫資料，採固定效果模型，估計各變數與企業投資的關係。

實證發現廠商產出水準及獲利率與企業投資呈顯著正相關，資本使用成本與企業投資呈顯著負相關，皆符合理論預期。新台幣匯率貶值與投資呈顯著正相關，與樣本廠商乃以出口為主之理論預期相符合，且出口占營收比率高的廠商，匯率對投資的影響程度較大。

匯率波動程度與企業投資呈顯著正相關，實證結果與理論預期相違背，但獲利能力高的廠商，匯率波動對投資的影響程度顯著較小，即獲利能力高的廠商，較能容忍匯率波動的衝擊。

關鍵字

投資 ； 匯率 ； 匯率波動 ； 固定效果模型

並列摘要

This paper constructs an investment equation according to theory of accelerator, cash flow model, neoclassical investment theory and Tobin’s Q theory. The factors that influence corporate investment decision are the level of output, the level of profit, user cost of capital. In order to take into account the relationship between exchange rate and investment, we added foreign exchange rate and exchange rate volatility to the investment equation. Employing a large panel of listed companies of Taiwan covering from year 1996 to 2005 and adopting fixed effects model we estimate the impact of the above variables on investment.

This article finds that the level of output and the level of profit have a positive effect on the investment. The user cost of capital and exchange rate has a negative effect on the investment. This conforms to the theory conclusion. But exchange rate has a significantly negative effect on high export propensity. It provides evidence that a devaluation may positively affect export propensity firms’ investment spending.

Exchange rate volatility has a positive effect on the investment. But firms with greater market power can offset the negative effects of a volatile exchange rate.

並列關鍵字

Investment ； Exchange Rate ； Exchange Rate Volatility ； Fixed Effects Model

參考文獻

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