台灣電線電纜產業匯率曝險之研究

台灣市場規模較小，屬於海島型國家且缺乏天然資源，需高度仰賴進出口以利經濟發展。在高貿易依存度之下，匯率變動相對於台灣的產業具有相當的影響。因此，我國學者有不少研究台灣產業匯率曝險之文獻，且過去從事匯率曝險之研究模型多使用市場基礎法分析。故本研究採用近期發展出的現金流量基礎法，針對台灣上市上櫃電線電纜產業企業進行匯率曝險之研究。實證結果發現，針對15家台灣上市櫃電線電纜產業之企業樣本，在現金流量基礎法下，66.67%的企業有顯著的匯率曝險。而其中長期匯率曝險的顯著比例為78.78%，比短期曝險的顯著比例為50%更為顯著。在縱橫斷面分析之下，對匯率變動影響方向為不一定，銅價為負向影響，只有銅價有顯著影響。若將時間切割為金融風暴前後，唯一的不同，則是金融風暴後的匯率變動影響方向變為負向，且呈現顯著影響。另外，將公司規模切割為大公司與小公司，金融風暴前，大公司的銅價係數為負向，小公司的銅價係數為正向；金融風暴後，小公司匯率呈現顯著影響，且銅價係數影響比大公司還要大。

關鍵字

匯率；銅價；市場基礎法；現金流量基礎法；金融風暴

並列摘要

Taiwan market is small, an island country and the lack of natural resources, to be highly dependent on imports so as to facilitate economic development. Under high trade dependence on changes in exchange rates relative to Taiwan's industry has a considerable impact. Therefore, there are many my country scholars study exchange rate exposures arising from Taiwan's industry literature, and in the past engaged in the exchange rate risk exposures arising from research models use more Market-based analysis. Therefore, this study uses recent developments out of the Cash flow-based approach for Taiwan-listed wire and cable industry companies rate exposures arising from research and further identify wire and cable industry, which may affect the exchange rate exposure determinants. Empirical results show that for 15 Taiwan listed wire and cable industry business samples, based on the cash flow method, 66.67% of the companies have significant exchange rate exposure. Of which long-term exposure to significant exchange rate ratio of 78.78%, significantly higher than the proportion of short-term exposure was 50% more significant. Panel Data Model analysis under the influence of exchange rate changes is positive, a negative impact on copper prices, copper prices have a significant impact only, cut into the time before and after the financial crisis, the only difference is the post-crisis exchange rate changes into a negative direction, and presented a significant impact. In addition, the company cut the size of large companies and small companies, financial turmoil, large companies coefficient is negative copper prices, copper prices of small companies coefficient is positive; financial turmoil, the small companies rate showed a significant effect, and the coefficient of copper bigger impact than large companies

並列關鍵字

Exchange Rate ； Financial Turmoil ； Market-Based Method ； Copper ； Cash Flow-Based Method

參考文獻

高櫻芬、施衍礽 (2002)，「公司價值與匯率變動之間的關係：台灣上市公司之實證研究」，《風險管理學報》，4，2，19-45。

藍麗惠、廖源星、林育智 (2007)，「臺灣金融機構之外匯風險」，《中央研究院經濟研究所》，38，1，127-151。

呂亞諭 (2008)，《我國上市櫃電子業之長短期外匯風險研究–以網路通訊類股為例》，國立中央大學財務金融學系碩士在職專班碩士論文。

賴寶月 (2004)，《台灣鋼鐵產業匯率暴露和決定因子之研究》，大同大學事業經營研究所碩士論文。

劉威孝 (2009)，《台灣塑膠產業匯率曝險之研究》，國立台灣大學國際企業研究所碩士論文。

國際替代計量

台灣電線電纜產業匯率曝險之研究

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