利率與匯率對系統性與非系統性盈餘持續性的門檻效果

Threshold effects of interest rate and exchange rate on systematic and unsystematic earnings persistence

錢忻怡(Hsin-I Chien)

指導教授 ： 吳博欽 ； 劉曉燕

中原大學/商學院/國際經營與貿易研究所/碩士(2017年)

https://doi.org/10.6840/cycu201700377

摘要

金融業的經營成果，攸關一國的資本與信用市場發展，以及經濟成長。盈餘是評估一家公司營運成果的重要指標，而盈餘持續性 (earnings persistence) 則可反映一家公司的盈餘品質 (quality of earnings) 與盈餘穩定性 (stability of earnings)。盈餘持續性將因盈餘成分的不同而有異，故分解不同盈餘成分以評估其持續性，對於進一步了解盈餘及其持續性之內涵，以及評估公司價值，是相當重要的。
本研究建立縱橫平滑轉換自我迴歸 (panel smooth transition autoregression model, PSTAR) 模型，探討利率與匯率對台灣金融公司系統性與非系統性盈餘及其持續性的非線性與依時變動的門檻效果。實證上，以台灣上市 (櫃) 的15家金控公司及8家銀行為對象，樣本期間為2005年2Q到2015年4Q 的季資料，故共計989個觀察值。此外，根據Bali et al. (2008) 所採用的方法，將總盈餘分解為系統性盈餘及非系統性盈餘成分。
實證結果歸納如下﹕(一)利率及匯率對系統性與非系統性盈餘及其持續性的影響是非線性的，且隨時間而變動，而非如文獻上所主張的固定持續性。(二)系統性盈餘的持續性恆高於非系統性盈餘，表示金融業的盈餘受過去整體經濟環境影響所形成的遞延性較高，且系統性盈餘的品質較非系統性盈餘為高。(三)系統性盈餘的持續性隨利率上升而下降 (0.8661→0.4348)，顯示景氣較好而帶動利率上升時，不利於系統性盈餘的遞延性，因為投資人逐漸擔心景氣可能隨時會反轉，故只要當期產生外在的干擾，將對當期系統性盈餘將帶來極大的衝擊。(四)利率對於非系統性盈餘的影響呈現不規則的變化，表示非系統性盈餘具備波動的特性，且穩定的利率水準有利於維持非系統性盈餘的持續性與盈餘品質。(五)系統性與非系統性盈餘及其持續性隨各期的匯率位於不同的區間而變動。當匯率值上升 (亦即台幣貶值) 時，系統性與非系統性盈餘的持續性均提升 (0.8266→0.9532; 0.2928→0.3366)。
由實證結果所衍生的政策建議如下：(一)金融公司的投資者或購併者應該依各期的利率與匯率值逐期估計該兩類盈餘及其持續性，以獲得更正確的公司價值估計值，並進行相關的投資。(二)金融公司與金融監管單位必須更關注當期新衝擊對非系統性盈餘的干擾，並調整資產與負債結構或貨幣政策，以提升非系統性盈餘的持續性，進而維持盈餘品質。(三)在利率上升期間，金融公司與金融監管單位應加強對金融公司營運的監督，以免因系統性盈餘持續性轉弱且當期新的負面干擾而使獲利下降，進而形成金融危機。(四)穩定的利率水準有助於維持非系統性盈餘的持續性與盈餘品質。(五)新台幣貶值程度增加，金融公司的系統性與非系統性盈餘的持續性將提升，故台幣適度的貶值有利於盈餘的品質與穩定性。

關鍵字

(非)系統性盈餘 ； 盈餘持續性 ； 縱橫平滑轉換自我迴歸模型 ； 門檻效果 ； 匯率升貶值

並列摘要

The operating performance of the financial industry is relevance for the development capital and credit markets and the economic growth of a country. Earnings are a key index to evaluate a firm’s operating performance, and earnings persistence can respond a firm’s quality of earnings and stability of earnings. Different earnings components will cause differential earnings persistence. Thus, it is important to divide total earnings into different components for more correctly assessing the content of the earnings persistence and firm value.
This thesis constructs a panel smooth transition autoregression (PSTAR) model to measure the nonlinear and time-varying threshold effects of interest rates and exchange rates on systematic and unsystematic earnings and their persistence. In empirical, we use 23 financial firms in Taiwan during 2005:2Q-2015:4Q as sample objects. Thus, there are 989 observations. In addition, we divide total earnings into systemic and unsystematic earnings based on the method proposed by Bali et al. (2008).
The empirical results can be reported as follows. First, the effects of interest rates and exchange rates on systematic and unsystematic earnings and their persistence are nonlinear and time-varying, but not constant supported by most previous studies. Second, the persistence of systematic earnings is higher than unsystematic earnings, meaning that the earnings of the financial firms are mainly affected by deferred impacts of past macroeconomic environments, and the quality of systematic earnings is higher unsystematic earnings. Third, systematic earnings decrease as the interest rates rise (from 0.8661 to 0.4348), implying that economic prosperity is harmful to the persistence of systematic earnings. The reason is that investors worry about the prosperity may be reversed at any time, which leads to the importance of the impact of current shocks on current systematic earnings. Fourth, the impacts of interest rates on unsystematic earnings are irregular, revealing that unsystematic earnings display a volatile path. Thus, stable interest rates can maintain the persistence and quality of unsystematic earnings. Finally, the persistence of systematic and unsystematic earnings rises (from 0.8266 to 0.9532 and 0.2928 to 0.3366) as the New Taiwan dollar depreciates against the U.S. dollar.
The associated policy suggestions are summarized as follows. First, to obtain more accurate firm value and engage in relevant investments, the investors or mergers would calculate the persistence of systematic and unsystematic earnings period by period through individual interest rates and exchange rates. Second, to increase unsystematic earnings persistence and sustain earnings quality, financial firms and their regulatory units would care more about the impact of current shocks on current unsystematic earnings, and adjust the structure of assets and liabilities and monetary policy. Third, during the period of the rise in interest rates, to avoid the decline in systemic earnings and total earnings due to current negative impacts, financial firms and their regulatory units should strengthen the supervision of financial firms’ operation. Fourth, a stabilizing interest rate policy is supportive to raise the quality and persistence of the unsystematic earnings. Finally, the persistence of systematic and unsystematic earnings would rise as the New Taiwan dollar depreciates against the U.S. dollar. Thus, a moderate depreciation of the New Taiwan dollar is beneficial for financial firms to increase earnings quality and stability.

並列關鍵字

(unsystematic) systematic earnings ； earnings persistence ； panel smooth transition autoregression model (PSTAR) ； threshold effect ； depreciation (appreciation) of exchange rate.

參考文獻

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