高避險成本下之出口廠商遠期外匯避險策略研究

在台灣經濟成長過程中,近二十年來電子出口廠商扮演著相當重要的角色,匯率風險對電子廠商之收益影響甚鉅。匯率的波動導致企業的貨幣資產相對呈現加值或減值的現象。台灣的出口又以美元為貨幣計價單位居多數,因此妥善的台幣兌美元外匯風險管理是極其重要。多數廠商使用遠期外匯契約為匯率避險工具,但近年來由於下列三個原因,導致廠商在避險時諸多猶豫,企業財務長因匯兌損失過鉅,因而去職之事時有所聞: 1. 國際熱錢全球流竄,熱錢流入任一國則該國貨幣升值,反之則貶值;以往依據經濟狀況預測貨幣升貶值走勢,雖不一定準確,但至少可以有一套自圓其說的說法,而目前由於熱錢的忽進忽出,匯率走勢的波動性更勝以往,財務人員常常賣在低點,造成避險比不避險損失更大。 2. 美元與台幣利差的擴大,導致避險成本為數年前的好幾倍,因為遠期外匯避險成本是以兩種貨幣利差計算出來,而近三年美國聯準會多次調升利率,相形之下台灣央行調升台幣利率就太謹慎了,導致兩國利差從幾乎相等擴大到約3.6%。 3. 廠商由於競爭過於激烈,毛利率亦從數年前之15%上下,陡降到近年之5-10%,相對的避險成本所吃掉的利潤,就讓廠商相當心痛。本研究即在於探討在匯率波動性大,避險成本高,廠商毛利微薄的情況,使用遠期外匯為避險工具時, 是否有某些操作策略的結果,有可能會優於其他的避險策略,以使出口廠商提高淨利。考量避險理論、風險產生時點、風險部位金額、風險期間, 設計出四種避險策略,以虛擬情境方式,從近五年的美元對台幣匯率的歷史資料, 近五年海關三旬匯率, 近五年的台幣與美元各月30天、 60天、 90天避險成本,去推算四種避險策略每一日之避險效果,累計五年結果及各策略結果每一年變化越小越好,來驗證各策略表現,以確認何種策略為較佳策略。經過驗證後,本研究建議如果出口廠商以遠期外匯作為匯率風險管控的唯一工具,在上述前提下,採取D策略為最佳決策(於出貨當日將1/3風險部位以90天遠匯出售,1/3風險部位在30天後以60天遠匯出售,3/1風險部位在60天後以30天遠匯出售) 。

關鍵字

避險策略；海關三旬匯率；避險成本；匯率風險管控；遠期外匯契約

並列摘要

For Taiwan’s economic growth in recent twenty years, the electronic exporter played a very important role. Foreign exchange risk has a great influence to revenues of the electronic exporter. The volatility of foreign exchange rate results in the increasing or decreasing of an enterprise’s currency assets. Most of the exporter in Taiwan always use US dollar as a calculate currency. Thus, the risk management in NT & Dollars is tremendously important. Most of enterprises use forward contract as a hedging tool. However, due to the following three reasons, enterprises hesitate about hedging in recent years. It is often heard that CFO resign because of a enormous loss of foreign exchange. (1) International Hot Money flees hither and thither. The affluence of Hot Money results in the currency appreciation and an effluence results a depreciation. Although to forecast a currency value, based on economic situation, is not exactly correct, it can still justify itself. Nowadays, due to a shortly affluence or effluence of Hot Money, volatility of exchange rate is much more huge than before. Financial officers often sold at the worst price. Hedging action even loss much more. (2) An expanding interest gap between Dollars and NT result in that hedging cost grows than ever. That is because the hedging cost is calculated by two currency’s interest gap. In recent three years, FED raise interest rate for couple times. In contrast, Taiwan Central Bank is too cautious about raising interest rate. It results to that the interest gap expanded to about 3.6%. (3) Due to the intense competition between enterprises, gross margin decreased from about 20% to 5-10% in recent years. The earning corroded by hedging cost was a great impact to enterprises. This result is to treat that when using forward contract to hedge, under the situation of high volatility of exchange rate and hedging cost but low gross margin, if there is a better strategy to raise net profit. Four hedging strategy is designed based on hedging theory, risk arise timing, position of risk amount, and period of risk. By virtual simulation, daily results of the four hedging strategy is gained from the following conditions: (i) the exchange rate of Dollars and NT in recent five years. (ii) Customs regulation exchange rate in recent five years. (iii) Monthly hedging cost of exchange of Dollars and NT at 30 days forward, 60 days forward and 90 days forward, in recent five years. The better strategy is verified by the results of the five years data. After verification, this research suggests that, when forward contract of exchange as a sole hedging tool, strategy D is the best one (on shipping date, 1/3 risk position sold by 90 days forward contract, another 1/3 risk position sold by 60 days forward contract after 30 days, the last 1/3 risk position sold by 30 days forward contract after 60 days ).