台灣產業外匯風險之衡量與影響因素-現金流量法與資本市場法CAPM之比較

Exchange rate exposure of the listed company in Taiwan– A comparison between capital market approach and cash flow based approach

古淑慧(Shu-Huei Gu)

指導教授 ： 王安平

朝陽科技大學/管理學院/保險金融管理系/碩士(2010年)

摘要

台灣主要是以國際貿易為主的島國，經濟型態以出口為導向，遂成為我國經濟發展的主流。在匯率的變動下，不但會影響進、出口幣值的承兌，也會影響到國家間之貿易數量。然而在我國各種不同產業下的各家公司所能承受之風險曝露的程度也不盡相同。被用來衡量外匯風險曝露的方法有很多種，本研究僅採用兩種方法-現金流量法和資本市場法來進一步做比較。
之前學者的研究中，大多採用資本市場法來衡量外匯風險曝露的程度，但其實證之結果均顯示為不顯著，後來就有學者使用正交法改進資本市場法檢驗匯率曝露的程度，實證之結果顯示有很大的改進。
本研究的重點在於台灣各上市公司產業，在美元、日元、人民幣、歐元之匯率變動的情況下，所會受到影響的程度。本文主要是採用正交化的資本市場法加以衡量，並且以實質匯率的衡量結果為基準加以比較。以下幾點為本研究主要探討的目的:
一、利用正交化資本市場法比較不同外幣間外匯曝露程度的差異。
二、研究台灣各種不同的上市產業中，是否會有不同的外匯風險曝露程度。
預估實證結果將會顯示以實質匯率為基準，最接近實質匯率的順序為人民弊

關鍵字

現金流量 ； 資本市場 ； 外匯風險曝露

並列摘要

Taiwan is an island of international trade, economy pattern of export-oriented ; Thus, it’s become the mainstream of Taiwan''s economic development. The exchange rate changes will affect not only the import and export value of the acceptance but also the volume of trade between nations. However, in Taiwan, companies can take varies of the extent of risk exposure under a variety of different industries. There are many ways that are used to measure foreign exchange risk exposure. Two methods were used in this study- to compare between Clash Flow and Capital Asset Pricing Model.

Among the study of previous scholars, most of them used the Capital Asset Pricing Model to measure the extent of foreign exchange risk exposure. But, the evidences of the results were shown that they are not noticeable. Later, some scholars used the orthogonal-oriented change into the Capital Asset Pricing Model to test the extent of the exchange rate exposure, and the empirical results were shown that have been greatly improvement.

This study focus on the various listed companies in Taiwan industry. In the case of exchange rate changes can be affected level under U.S. dollar,Japanese yen, Renminbi, and Euro. In this paper, using orthogonal-oriented to measure Capital Asset Pricing Model; moreover, the real exchange rate as the benchmark for measuring results can be compared. The following are the purposes of this study:
First: Using orthogonal capital market compares with the difference of foreign currency exposure among different foreign exchange.
Second: To study the listed company of various industries in Taiwan helps to understand whether they would have different risk exposure or not .
Expected empirical results will be showed real exchange rate as a benchmark. The closest to the real exchange rate is Renminbi

並列關鍵字

capital markets ； Foreign exchange risk exposure ； cash flow

參考文獻

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