從不對稱模型探討亞洲金融風暴前後台灣之匯率風險暴露

Examining Taiwan's exchange rate exposure prior and after the Asian Financial Crisis by applying an asymmetric model

李天仁(Tien-Jen Li)

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(2004年)

https://doi.org/10.6342/NTU.2004.00082

摘要

我國的經濟成長仰賴著對外貿易的蓬勃發展，自我國匯率制度自由化以來，匯率的變動成為台灣所有產業無法忽視的風險。
本研究以亞洲金融風暴為分界點，將樣本期間分為兩期，第一期為1992年1月至1997年6月，第二期為1997年7月至2003年12月，探討我國所有產業的外匯風險暴露情況。並且使用外匯風險不對稱模型，以分析匯率風險不對稱的情況；以及使用多種匯率指標評估不同的外匯風險，包括了即期匯率週資料及月資料，實質匯率有效指數月資料，以及10天期及30天期遠期外匯資料。
研究結果顯示，我國產業的風險情況在亞洲金融風暴前後的風險暴露情況差異相當大，僅有少數產業在二期中均有顯著的風險暴露情形；並且顯著具有風險的產業大多數具有風險不對稱的現象。觀察各產業的風險暴露情況，我國進出口貿易量均大的產業，包括塑膠化類、電機機械類等等，營運避險的情況並不明顯，仍然具有顯著的匯率風險，並且其風險的方向並不穩定。
使用不同的匯率指標時，其風險暴露的情況也有相當大的差異，週資料的結果顯著性明顯的高於月資料的結果，並且Garch效果顯著性也較高，而實質匯率的結果較符合我國產業進出口的特性。遠期外匯的影響則相當有限，僅有金融保險業對於10天期與30天期的遠期外匯有顯著的結果，代表我國產業在此樣本期間內使用遠期外匯做為避險工具的比例不高。

關鍵字

不對稱模型 ； Garch ； 匯率風險暴露 ； 亞洲金融風暴

並列摘要

The economic growth of Taiwan was highly related to the booming of the international trade. After the removal of exchange rate restrictions, the variance of exchange rates is likely to cause an important risk to all the industries in Taiwan.
In the study, the sample periods are divided into two periods by the Asian Financial Crisis. The first period is from 1992/01 to 1997/06 and the second period is from 1997/07 to 2003/12. Using an asymmetric model, we can analyze the asymmetric currency exposure of Taiwan’s industries. And we use various exchange rate indices, including the spot exchange rate (monthly and weekly), real effective exchange rate index and 10days/30days forward foreign exchange, to estimate the different currency exposure.
The empirical results show that the exchange rate risks of Taiwan’s industries are different between two periods, and only a few industries have significant exposure in both periods. And most significant exposure results are asymmetric exposures. Other industries, which have a lot of import and export, will have unstable risks in different periods. And the operating hedge effects are a little.
Different exchange rate indices cause different results. The results of weekly data have more significant exposures and Garch effects, and the result of real exchange rate fits the importing and exporting characters of industries. Forward foreign exchange has less influence on Taiwan’s industries, while only the banking and insurance industry has significant exposure. The result tells us that in the sample period most industries didn’t use forward foreign exchange to hedge.

並列關鍵字

Asian Financial Crisis ； Garch ； asymmetric model ； exchange rate exposure

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