利率與匯率波動、負債對廠商投資影響： 美國道瓊上市公司實證研究

Volatility of twin-rate, Debt and Firm investment： The evidences of Don Jones listed firms in America

魏銘孝(Ming-Hsiao Wei)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500150

摘要

摘 要
本文利用1990年至2002年間的美國道瓊上市25家公司之追資蹤料，分析利率波動、匯率波動與債務對廠商投資的單獨與聯合影響效果實證結果顯示，廠商利率較市場利率更適合解釋廠商的投資行為。廠商利率對於高負債廠商的投資影響為負向，但是市場利率對廠商的投資影響傾向為正向；市場利率波動對廠商投資的影響大多是負向的，然而廠商利率波動的效果則為相反。利率波動與負債交叉項對全體廠商投資的影響為負向的，隱含全體廠商的利息負擔效果較實質負債效果重要。匯率貶值有利於廠商投資；匯率波動對廠商投資為正向效果，此可能因為美國的多國籍企業在面對外匯風險暴露時，使用避險策略，提供廠商下方風險的停損，向上獲利無限的保護。因此，匯率的波動愈大，廠商因匯差而獲利程度亦愈大，故刺激廠商投資。廠商在預測利率波動的風險，是以過去利率波動的資料為參考，較不重視利率波動未預測到的部份，但是廠商在預測匯率波動的風險，則是以未預測到部份的資料為參考依據，較不重視預測到部份。

關鍵字

利率波動與負債交叉項 ； β 係數 ； 負債 ； 固定效果模型 ； 匯率波動 ； 利率波動

並列摘要

Abstract
In this paper, we utilize the panel data of 25 listed firms in American Dow Jones
industry index during 1990 and 2002 to analyze the effects of interest rate volatility,
exchange rate volatility and debt on firm investment single, plus the joint effect of
interest rate volatility and debt. The evidences show firm interest rate is more appropriate
to explain the behavior of firm investment than market interest rate. In addition, firm
interest rate has a negative effect on high-indebted firms；however, market interest rate
intends to present an inverse effect. Moreover, there exists a negative relationship
between market interest rate volatility and firm investment mostly, but exists a positive
one for firm interest rate volatility. Concerning the joint effect of interest rate volatility
and debt, the effect is negative for all indebted firms, implying the effect of the interest
burden appears to be more significant than the debt revaluation effect. .
The devaluation of currency is beneficial to firm investment. Furthermore, exchange
rate volatility affects firm investment positively because American multinational
corporations make use of hedging strategies while facing exchange rate exposure possibly.
Therefore, it can supply the filter rule for downside risk and give the protection against
upper risk. As a result, the bigger the exchange rate volatility is, the more of firm profits
acquiring are due to the currency spread, which inspires firms to investment more. Finally,
firms tend to forecast the risk of interest rate volatility by taking the past interest rate
volatility into account more than the unpredicted part of interest rate volatility. But the
result of forecasting exchange rate volatility is opposite.

並列關鍵字

debt ； the joint effect of interest rate volatility and debt ； fixed effect model ； Keyword：interest rate volatility ； exchange rate volatility ； β coefficient

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