匯率波動、海外可轉換公司債與廠商投資：以台灣五十指數成份股為例

The Volatility of exchange rate, ECB and firm investment：Evidence in TSE 50

張樹芳(Shu-Fang Chang)

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/cycu200500240

摘要

摘 要

本文主要探討利率、匯率、負債、海外可轉換公司債，對企業投資之影響，由觀察1991年至2003年間台灣上市台指五十成份股資料，以ARMA 模型及MOVING估計利率波動及匯率波動，再使用混合估計法（pooled estimation）中的固定效果模型（fixed effect model），分析利率、利率波動、匯率波動、負債及發行海外可轉換公司債對廠商投資影響效果（Ritter and Warr,1998）。實證結果顯示，不論在全體樣本、高低負債及高低風險之公司，市場利率對投資的影響皆呈現現正向不顯著的，利率波動對廠商投資行為影響亦不大。當海外可轉換公司債負債利率波動愈大時，即廠商面之投資風險就愈高，債權人相對要求較高的利息溢酬以補償增加之投資風險，廠商會因利息支出增加而減少投資。實證上也發現當海外可轉換公司債負債利率之波動性提高時，投資會減少，與投資為負相關。負債與投資為負相關且顯著的影響，負債愈高代表廠商之流動性較差，廠商愈不易對外取得融資資金，使取得資金的成本將提高，投資規模自然無法擴大。發行ECB負債對投資的影響以全體樣本、高負債及低風險中的估計呈正向且顯著，顯示財務狀況沒有低負債或高風險公司來的好，故當獲取投資所需資金，因資金有限，即採取投資政策，如採購廠房所需固定資產及機器設備等；而高風險或低負債公司因財務狀況較佳，發行ECB取得之資金可能就不適用在固定投資，反而可能用於併購或改善財務結構，故發行ECB並未真正用於投資。

關鍵字

匯率波動 ； 利率波動 ； 投資 ； 固定效果模型 ； 負債 ； 海外可轉換公司債

並列摘要

Abstract
This paper researches into the influence of interest rate, exchange rate, debt, and the issuance of Eurodollar Convertible Bond（ECB）on the investment policy of companies by observing the listed companies of Taiwan 50 from 1991 to 2003. This paper adopts the ARMA Model and Moving Model to estimate the volatility of interest rate and exchanges rate and uses Fixed Effect model of Pool Estimation to analyze how interest rate, volatility of interest rate and exchange rate, issuance of domestic debt and ECB affect companies’ investment. (Ritter and Warr, 1998) No matter from all samples, high-low debt samples, and high-low risk samples, the empirical result shows that market interest rate has positive but insignificant effect on companies’ investment decision. Neither does the volatility of interest rate affect the companies’ investment policy significantly. When the interest rate of ECB moves more drastically, the higher the investment risk the companies will face. In this situation, the creditors will require relatively higher interest rate premium to compensate the increase of investment risk. Considering the additional interest expenditure for investment risk, the companies may reduce investment activities. The empirical result also finds that higher volatility of ECB interest rate would depress the companies’ willingness for investment and reflect negative correlation with the investment of companies. Debt and investment has statistically negative and significant correlation. High debt ratio means that the companies have lower liquidity and makes them difficult to acquire external finance. The cost of capital would also go higher and thus the scale of investment cannot expand. From sample of all companies, high-debt companies or low risk companies, we find that there is a positive and significant correlation between the issuance of ECB and company investment and that the financial condition of these companies are not better than that of low-debt or high risk companies. Hence, when the high-debt or low risk companies acquire the fund in need, they would instantly invest the raised fund in fixed asset, machines, and equipments the factories need. However, because low-debt or high-risk companies have better financial condition, they may not invest the fund from the issuance of ECB in fixed investment. On the contrary, these funds may be used on M&A activities or to improve the companies’ financial structure. As the result, fixed investment may not be the true purpose of issuing ECB.

並列關鍵字

Eurodollar Convertible Bond(ECB) ； exchanges rate volatility ； investment ； interest rate volatility ； fixed effect model ； debt

參考文獻

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