實質匯率與資本支出-以臺灣高薪100指數成分股為例

Real Exchange Rate and Capital Expenditure - A Study of Taiwan High Compensation 100 Index Constituent Stocks

游予甄(U-CHEN YU)

指導教授 ： 林鳴琴

朝陽科技大學/管理學院/財務金融系/碩士(2017年)

摘要

本文探討實質匯率變動對臺灣上市公司資本支出的影響。美元的動向對台灣產業的投資活動一直以來都具有重要影響，當台幣兌美元升值時，投資在進口設備的成本降低，公司會有意提高資本支出；反之，台幣貶值時傾向減少資本支出。因此本研究採用證券交易所2016年6月公布之臺灣高薪100指數成分股，排除出口比例過低之公司，最後篩選出59家樣本公司，再將其分為兩類，分別為電子相關產業及非電子產業，探討美元兌台幣實質匯率變動對上市公司資本支出的影響。樣本期間自2008年Q1至2016年Q3，採用季資料，利用最小平方法進行估計，選取實質匯率、實質匯率標準差、GDP、股東報酬作為解釋變數。實證結果顯示，台幣兌美元實質匯率變動對59家樣本公司資本支出比率有顯著的反向影響，表示當匯率貶值時公司會減少資本支出。另外，股東報酬對資本支出比率亦呈現顯著的正向影響。

關鍵字

實質匯率 ； 資本支出 ； 股東權益報酬

並列摘要

This paper investigates how real exchange rates influence capital expenditures of Taiwan’s companies. The prices of US dollar have been significantly affected investment activities for Taiwan’s companies. When the Taiwan dollar appreciates to the US dollar, the investment costs on imported equipment are reduced and the firms will intend to increase investments. In contrast, the firms will decrease the investments when a depreciation of Taiwan dollar raises the investment costs for imported equipment. To examine the effects of changes in real exchange rates on capital expenditures, the samples are selected from Taiwan High Compensation 100 Index constituent stocks. By eliminating the companies whose exporting revenues are too low or whose data is incomplete, there remain fifty-nine firms. Moreover, the samples are divided into two categories: electronic companies and non-electronic companies. The sample period is from Jan. 2008 to Oct. 2016. We apply the method of ordinary least squares multiple regression with quarterly data. The explanatory variables include real exchange rate, standard deviation of real exchange rate, GDP, return on equity. The empirical results show that a real depreciation of Taiwan dollar has a significantly negative impact on capital expenditure, indicating that firms will reduce capital expenditure. In addition, return-on-equity has a significantly positive impact on capital expenditure.

並列關鍵字

Real Exchange Rate ； Capital Expenditure ； Return-on-Equity

參考文獻

王文聰（2013）。企業風險與企業生命週期對資本支出之影響。碩士論文，中原大學會計所，桃園。

俞海琴、張錫杰（1993）。台灣地區股價與匯率、利率互動關係之研究-向量自我回歸模型之應用。中原學報，(22)，177-191。

張永旺（2007）。企業投資與匯率不確定。碩士論文，臺灣大學國際企業所，台北。

陳思寬、張銘仁(2006)。股價、匯率與貨幣政策之互動性：東亞各國的實證研究。證券市場發展季刊，18(4)，61-101。

Fang, W.S. (2000). Risk Premium and Depreciation Effect in Stock Returns over the Asian Financial Crisis. Journal of Risk Management, 2, 39-68.