臺灣貿易廠商承作外匯衍生性商品之實證分析

The Use of Foreign Currency Derivatives among Taiwanese International Trade Firms

簡志宏(Zhi-Hong Jian)

指導教授 ： 劉錦添

共同指導教授 ： 吳儀玲(Yi-Lin Wu)

國立臺灣大學/社會科學院/經濟學研究所/碩士(2022年)

https://doi.org/10.6342/NTU202203286

摘要

本文結合財政部海關進出口交易資料以及稅賦資料，並搭配櫃買中心提 供之外匯衍生品交易資料，探討與臺灣對外貿易廠商承作外匯衍生品可能的 廠商特性。透過線性機率模型搭配廠商固定效果，我們發現進出口比率越 高、廠商規模越大、槓桿比率越高，廠商承作外匯衍生品的機率越高。
進一步將外匯衍生性金融商品分類，則發現進口比率越高會增加廠商買 入外幣遠期的機率;並且在進口比率越高的情況下，出口比率對廠商買入外 幣的機率呈現負向相關，說明自然避險與衍生品避險互相存在替代關係，因 為進出口同時增加能夠同時提升廠商操作應收應付帳款幣別的機會。此外， 我們結合進口報關幣別以及每日主要外幣匯率資料，發現在進口面匯率波動 越大時，廠商越有可能買入外幣遠期，並且此影響在進口比率越高時越大。

關鍵字

避險 ； 廠商特性 ； 外匯衍生品 ； 自然避險 ； 匯率波動

並列摘要

This article combines import and export transaction data, tax data from the Fiscal Information Agency, and foreign exchange derivatives transaction data from the OTC Center to investigate potential factors influencing the use of foreign exchange derivatives by Taiwan’s international trade firms. Using a linear probability model with firm fixed effects, we find that the likelihood of a firm engaging in foreign exchange derivatives increases with increasing import/export ratio, firm size, and leverage ratio.
According to a further classification of foreign exchange derivatives with the good types, the likelihood of buying foreign currency forward increases with the import ratio, and when it is higher, the export ratio has a negative correlation with the likelihood of firms’ derivative use. It implies that derivative hedging and natural hedging are substitutes for each other because increasing imports and exports at the same time can improve firms’ ability to match accounts receivables and payables. In addition, we combine the import declaration currency and the daily exchange rate data of the major foreign currencies. We find that the more the exchange rate fluctuates on the import side, the more likely it is that the firm will buy foreign currency forwards, and this effect is stronger when the import ratio is higher.

並列關鍵字

hedge ； firm characteristics ； foreign exchange derivatives ； natural hedge ； exchange rate fluctuation

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