我國自2006年起始實施財務會計準則公報第34 號「金融商品之會計處理準則」以及第36 號「金融商品之表達與揭露」,對於金融資產評價基礎有明顯改變,同時強化金融商品財務報表附註揭露,促使企業從事金融商品交易透明度大為增加。本研究以2008年至2010年之本國銀行及外商銀行月資料探討衍生性金融商品的使用對獲利能力之間的關係,針對利率及匯率有關契約與衍生性金融商品分為交易目的與非交易目的,以及將本國銀行分為金控銀行與非金控銀行,使用聯立方程式之二階段最小平方法為主要分析方法。結果發現銀行在使用非交易目的之衍生性金融商品會對盈餘波動度造成負向顯著的影響。然而使用非交易目的之衍生性金融商品是可以有效降低盈餘波動程度,進而影響公司之獲利能力。
The Financial Accounting Standard Board in Taiwan issued the Statements of Financial Accounting Standards No. 34 and No. 36. These statements specify that for the hedged item to be highly effective in offsetting the designated risk exposure, it should be supported by documents from statistical or other means of analyses. We study investigates the relationship between the profitability and the usage of derivatives of domestic banks and foreign bank in 2008 to 2010. The derivatives are categorized into two types, one is for trading and the other is for non-trading purposes. In the analysis on the domestic banks categorized into financial holding companies banks and non-financial holding banks, we use the two-stage least square (2SLS) as the main tool of analysis. The result indicates that commitment of banks for non-trading derivatives earnings volatility will result in significant negative impact.