未預期匯率對公司價值的影響

The Impact of Unanticipated Exchange Rate Change on Firm Valuation

葉諮諺(Tzu-Yen Yeh)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2009年)

https://doi.org/10.6840/cycu200900852

摘要

由於台灣逐漸走向全球化的發展，匯率變動對各公司的影響愈來愈大。全球化經營的企業將面對匯率暴露的挑戰，因為匯率變動不只影響公司的收益，也會造成公司價值的變動。因此，如何評估匯率暴險，以及重要公司財務變數對於匯率暴險的影響是相當重要的工作。
欲獲得匯率暴險的情形，必須先預測匯率，而預期匯率的方法不少，文獻上卻集中在使用ARIMA模型上。因此，本文嘗試採用其他方法以預期匯率，進而估計不同的匯率暴險，以及影響匯率暴險的重要營雲因子，並比較其效果之差異。
本文使用時間序列模型及貨幣基要模型預測匯率。以台灣指數50與中型指數100中53家上市公司的每月營收為公司價值的替代變數，衡量2002年1月至2008年9月中其是否存在顯著的匯率暴露。其中2002年1月至2005年6月為樣本內期間用以估計模型，2005年7月至2008年9月為樣本外期間。首先找出各公司的匯率暴露程度以及方向，接著再判斷三種公司營運因子：公司規模、負債比率與流動比率對各公司的匯率暴露所造成的影響。
實證結果指，出匯率暴露的顯著程度與數值都較過去文獻的結論來的小，可推論公司已廣泛了解使用衍生性金融商品來從事避險的重要性。其次，貨幣基要模型及時間序列模型呈現不同的匯率暴險程度，且以貨幣基要模型的顯著性較高。由於所估計的預期匯率時間超過兩年，顯示在長期下貨幣基要模型較適合評估匯率及匯率暴險。因此，所需估計的匯率期間長短，將影響評估匯率暴險模型的選擇。

關鍵字

時間序列 ； 匯率暴露 ； 避險 ； 貨幣基要

並列摘要

As the development strategy of globalization gradually ferments in Taiwan, many companies face deep affect by the change in exchange rate. Especially the globalized firms will face the challenge of exchange rate exposure. Because the change of exchange rate can influence not only firm’s revenue, but also firm value. Consequently it is an important job to evaluate firm’s exchange rate exposure and the factors affecting the exchange rate exposure.
To obtain the exchange rate exposure, we must first forecast the exchange rate. There are many methods to forecast the exchange rate, but the literature concentrated on using the ARIMA model. This article tries to adopt other methods to measure the exchange rate and exchange rate exposure, and compares their performances.
This article uses the time series model and monetary fundamental model to obtain the unanticipated part of exchange rate. Once the directions and degrees of the exchange rate exposure have been found out, we can further determine the effect of three operating factors, company’s size, debit ratio and quick ratio on the exchange rate exposure. Sample objects are the 53 component companies in the Taiwan 50 index and Taiwan Mid-cap 100 index. Sample period spans from January 2002 to September 2008 whilst January 2002 to June 2005 is in-sample period to fit the models and the remainder is out-of-sample period to measure the exchange rate exposure. Moreover, we adopt firm revenue as a proxy of the firm value.
The main findings of this paper are summarized as follows. The exchange rate exposure, faced by Taiwanese companies, is less significant than that obtained in previous studies. The probable reason is many companies have known how to use derivatives to avoid the exchange rate risk. There are different degrees of the exchange rate exposures between the time series model and monetary fundamental model, and the monetary fundamentals model has higher significant degree than the time series model. Because our estimation period is over two years, then the monetary fundamentals model is much suitable for long-term estimation for exchange rate and exchange rate exposure. In other words, the length of estimation period in exchange rate (exposure) will influence the choice of estimation models.

並列關鍵字

Exchange rate exposure ； Hedging ； Monetary fundamentals ； Time series

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，第四卷 第一期，頁19-45。

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