外匯風險管理策略研究：以個案電子公司為例

THE STRATEGIES OF FOREIGN EXCHANGE RISK MANAGEMENT ：A CASE STUDY OF TAIWAN’S ELECTRONICS COMPANY

洪冠文(KUAN-WEN HUNG)

指導教授 ： 陳達新

國立臺北大學/商學院/企業管理學系/碩士(2012年)

摘要

台灣之經濟體系與國際金融情勢之變化息息相關，國際上的任何政治或經濟波動將使得台灣匯率市場產生相當程度之變動及衝擊。台灣之經濟發展大部分仰賴進出口貿易，而進出口貿易之外匯風險便與國際匯率走勢緊緊相扣，在面對匯率情勢可能產生之波動下，有可能造成無法控制之經營風險，進而影響到企業經營之價值。
本研究係探討外匯風險管理策略之擬訂，利用自然避險策略、全部避險策略、連續避險策略等三種策略，加以模擬試算其避險策略之效果，期望在無法準確判斷及預測匯率之走勢時，對於規劃及擬訂外匯風險管理策略有具體之依循參考，以避免因匯率變動造成巨額虧損，影響企業之經營績效。研究結果歸納彙總如下：
一、自然避險策略係被動保守之策略，對公司持有美元淨部位存在相當不確定因素，直接面對的是可能遭逢更大之外匯損失風險；而連續避險策略之效果最佳，全部避險策略則次之；因其所持有之美元外匯部位皆已鎖定遠期匯率，不會因為外匯波動而產生不確定之風險，進而影響經營損益。
二、遠期外匯之價格取決於換匯點數，為兩貨幣間之利率差異，天期長短亦為主要因素，其可視為承作交易直接之避險成本，不論匯率升值或貶值均有一定之避險效果；就新台幣匯率走勢明顯升值之情況下，使用120天之遠期外匯交易，所承作之遠期匯率都將較佳，產生有利之避險效果。
三、無論是自然避險策略或全部避險策略，都有可能失去匯率走勢朝有利方向進行之機會成本，而連續避險策略其主要在追求避險成本與潛在之匯率損失總和之極小化。
四、避險策略應與外匯部位及匯率走勢相互連結，其策略方向僅為一概念邏輯思維，需對經濟情勢及經營本質具研判分析之能力，在實務執行時，應更需要保持有彈性調配之機制。

關鍵字

匯率 ； 外匯風險 ； 風險管理 ； 避險策略 ； 避險成本

並列摘要

Taiwan’s economic system has close relationship with international financial situation; therefore, any political or economic fluctuation occurred in foreign countries may substantially impact Taiwan’s foreign exchange rate market. As Taiwan’s economic development relies heavily on the export trade, it is inevitable that the foreign exchange risk will closely link with the trend of foreign exchange rate. While facing the ups and downs of the foreign exchange rate, if no systematic mechanism exists to monitor and control the risk, the overall value of the business will be critically challenged.
This study explores the planning of foreign exchange management strategy and simulates the hedging result of three different strategies, i.e., natural hedge strategy, fully hedge strategy, and rolling hedge strategy. It is our hope that this research can provide a useable reference for enterprises to set up their foreign exchange strategies while there is no applicable methods to predict the trend of foreign exchange rate. This research concludes the following:
1.Natural hedge strategy is reactive and conservation and such strategy may incur heavy lost for companies that have net positions in US dollars. On the other hand, adapting rolling hedge strategy can lead to better result with the fully hedge strategy comes the second since these strategies can help the companies to lock up their forward exchange rate and avoid the associated uncertainties caused by fluctuation of foreign exchange rate.
2.The price of the forwards depends on the swap points, i.e., the interest rate difference of two different currencies and the tenor which can be regarded directly as the hedging cost is also be a major factor. No matter the appreciation or deprecation of the local currency, forwards can lead to positive hedging result. When the tread of New Taiwan dollar clearly goes strong, adapting swaps exchange for 120 days can gain in positive hedging result.
3.Natural hedge strategy or fully hedge strategy both may incur opportunity cost for companies that fail to take advantage of the trend of foreign exchange rate particularly when the direction can lead to beneficial result to the companies. As for rolling hedge strategy, its major purpose is to minimize the total cost of pursuing hedging cost and potential foreign exchange rate lost.
4.The hedging strategy should closely match with the foreign exchange positions and the exchange rate trend. In addition, above mentioned strategies should be considered as a tool for logical thinking only. Companies need to analyze the overall economic situation and their business capabilities, and then adapt proper and flexible hedging strategy.

並列關鍵字

Exchange rate, Foreign exchange rate ； Risk management ； Hedging strategy ； Hedging cost

參考文獻

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