匯率曝險之研究

Three essays on exchange rate exposure

鄭元傑(Yuan-Chieh Cheng)

指導教授 ： 吳博欽

中原大學/商學院/商學博士學位學程/博士(2011年)

https://doi.org/10.6840/cycu201100014

摘要

台灣是小型開放經濟國家，主要靠進出口貿易帶動經濟成長，而進出口貿易又與匯率息息相關。匯率是影響公司投資的一大關鍵因素，特別是近年來金融自由化與國際化趨勢下，匯率波動加劇，公司較無法精準地預測未來收益，進而影響公司利潤，最後勢必影響公司的最適投資，反應在公司股票報酬。本文以「匯率曝險」為主軸，進行三篇相關性主題研究。
第一篇探討總體資訊、原油價格與匯率的關係。不同於以往文獻，本文著重於總體資訊與油價對新台幣/美元匯率的聯合影響。實證結果顯示，油價對匯率有最強的影響效果，雖然其符號與預期結果不一致。此意味著油價的重要性與外匯市場的不完全性。再者，消費者物價指數的壞消息與高油價的交叉效果會帶來新台幣最大的貶值效果。然而，貨幣供給的好消息與低油價的聯合效果則呈現完全相反的情況。此顯示考慮交叉效果後的確會變強與變弱，意味它對匯率影響的重要性。最後，新台幣/美元匯率對總體資訊的反應，在擴張期與緊縮期有顯著差異。
第二篇同時評估匯率曝險、公司特性與匯率制度對公司價值的影響，此為先前文獻鮮少涉獵者。實證結果顯示，約有43%的台灣樣本公司，其當期匯率曝險呈現顯著，且匯率曝險效果可持續至落後四期。再者，新台幣升貶值期間，規模效果與淨值市價比效果存在於正向曝險群組中。然而，反規模效果與反淨值市價比效果則發生在負向曝險群組中。最後，SARS與全球金融風暴事件兩者皆為公司價值帶來負面的影響。
第三篇利用線性與非線性模型研究公司股票報酬與匯率變動的關係，然後再使用橫斷面迴歸探討公司特性如何影響匯率曝險。實證結果顯示，線性模型中，當期與落後期匯率曝險同時存在。此外，大部分樣本公司的股票報酬呈現非線性調整，亦即不同的匯率區間，造成股票報酬作非線性調整。最後，外銷比率與負債比率對匯率曝險的影響雖然與預期不一致，卻有重大的意涵。前者也許可歸因於穩定的匯率加上低外銷比率可緩和匯率曝險；後者則可能是受開發中國家政府干預的影響。

關鍵字

總體資訊 ； 原油價格 ； 匯率曝險 ； 非線性 ； 匯率制度 ； 公司特性

並列摘要

This dissertation contains three essays related to exchange rate exposure to proceed:
(1) The impacts of macroeconomic and oil price surprises on exchange rate: A consideration of cross effects and business cycle.
(2) Do firm characteristics matter for firm value?－A consideration of exchange rate exposure.
(3) Exchange Rate Exposure: Linear or Nonlinear Model?
The first essay examines the relationship between macroeconomic news, oil price and exchange rate. Different from previous studies, we highlight the joint impacts of these two variables on NTD/USD. Empirical results show that oil price has the strongest effect on exchange rate, though the sign is contrary to expected result. This reveals the importance of oil price and incompleteness in foreign exchange market. Furthermore, the cross term of bad news about consumer price index and high oil price generates the greatest depreciation effect of NTD. However, the interaction term of good news about money supply and low oil price procure the largest appreciation effect of NTD. Finally, there is a notable difference for NTD/USD reaction to macroeconomic news between expansion and contraction period.
The second essay links up exchange rate exposure, firm characteristic and exchange rate regimes together, less investigated in previous studies. Empirical results reveal that about 43% of Taiwanese sample firms have significant exposure at contemporaneous period. Lagged effects of exchange rate exposure can persist for four periods. Moreover, the size effect and book-to-market ratio effect exist in group with positive exposure during the appreciation and depreciation periods of NTD. However, the reverse size and book-to-market ratio effect occur in group with negative exposure. Finally, there exists nonlinear relationship between firm value and exchange rate to some extent. Both events of SARS disease and global financial crisis affect firm value negatively.
The third essay analyzes the relationship between stock returns and changes in exchange rate in Taiwanese firms by using linear and nonlinear models. Then, we utilize cross section regression to investigate how firm characteristics affect exchange rate exposure. Empirical results exhibit that in linear models, current and lagged effects of exchange rate exposure exist synchronously. Moreover, most firms’ stock returns display nonlinear adjustment; namely, stock returns exhibit nonlinear adjustment as exchange rate within different regimes. This may explain the reason why many prior studies used linear way tend to get lowly significant ratio of exchange rate exposure. Finally, the effects of foreign sale ratio and debt ratio on exchange rate exposure are contrary to expectation. The former may be attributed to the fact that the situation with stable exchange rate and low foreign sale ratio can mitigate exchange rate exposure. The latter may be the result of the intervention of the government in developing country.

並列關鍵字

nonlinearity ； firm characteristic ； crude oil price ； exchange rate exposure ； exchange rate regime ； macroeconomic news

參考文獻

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