利率衍生性商品、風險曝露水準與公司績效

INTEREST RATE DERIVATIVES, RISK EXPOSURE AND PERFORMANCE

劉憓諠(Hui-Hsuan Liu) ； 許永明(Yung-Ming Shiu) ； 王綺楓(Chi-Feng Wang)

《經濟論文》 45卷3期 (2017/09) Pp. 351-383

摘要

本文的目的在於：探討壽險公司利率衍生性商品的使用，與其利率風險曝露與公司績效的關係。我們建立結構模型，利用兩階段最小平方法，檢視壽險公司使為衍生金融工具對其利率風險曝露的影響，並分析公司的績效水準，是否與衍生金融工具的使用有關。結果顯示：整體而言，有使用且使用比較多利率衍生性商品的壽險公司，會有比較高的利率風險曝露與績效。我們也進行穩健性測試，主要變數之間的關係，仍然不變。根據本文所得到的結果，我們在文末提供數個實務意涵，供保險公司與主管機關參考。

關鍵字

利率衍生性商品 ； 風險曝露水準 ； 公司績效

並列摘要

The purpose of this paper is to examine the relations between life insurers’ use of interest rate derivatives and their risk exposure and performance. Using structural equations and a two-stage least squares approach, we examine whether and how interest rate derivative use affects interest rate exposure and its relationship to firm performance. Overall, our results show that the use of interest rate derivatives is positively related to both interest rate risk exposure and firm performance. Several robustness checks have been conducted and results remain qualitatively unchanged. Based on our results, we offer several implications for practitioners and policymakers.

並列關鍵字

Interest rate derivatives ； Interest rate risk exposure ； Performance

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