利率與匯率波動、債務及廠商投資：以台灣五十指數成份股為例

Twin-rate Volatility, Debt and Firm Investment：Evidence in Taiwan 50 Index

鄭元傑(Yuan-Chieh Cheng)

指導教授 ： 吳博欽

中原大學/商學院/國際貿易研究所/碩士(2005年)

https://doi.org/10.6840/cycu200500549

摘要

摘 要
本文根據Bo and Sterken(2002)所建立的實證模型並加以修改，分析利率、匯率、負債和雙率波動等變數個別對廠商投資的影響，以及利率波動與債務對廠商投資的交叉效果影響，波動的衡量方式包含：移動平均變異數與未預期部分的變異數。實證上採用混合估計法(pooled estimation)的固定效果模型(fixed effects model)進行分析，以1991年至2003年間的臺灣50指數(Taiwan 50 Index)中之28家成分公司為實證對象。
實證結果，可獲得下列的結論：
一、廠商利率較市場利率更適合解釋廠商的投資行為，前者較能代表廠商實際支付的利率，而後者可作為廠商投資借貸的參考依據。
二、利率波動與廠商投資呈正向關係，可能因為廠商在投資過程中，可採用金融工具或是利用衍生性金融商來規避利率風險，例如利率交換、利率選擇權、遠期利率協定及利率期貨等，甚至廠商因利差而獲利，促使其增加投資。
三、負債對廠商投資的影響之結論為不一致。
四、利率波動與負債對投資的交叉效果，對於高負債廠商而言，其係數為正，隱含高負債廠商的實質負債效果較利息負擔效果重要；對於低負債廠商而言其效果不顯著；對於高風險廠商而言，其係數為負，顯示高風險廠商的利息負擔效果較實質負債效果重要；對低風險廠商而言其效果正好相反。
五、匯率貶(升)值有(不)利於出口廠商投資。
六、匯率波動對廠商投資的影響呈現微薄的正向關係，可能因為台灣出口廠商在面對外匯風險時，可透過金融工具或是利用衍生性金融商品來避險，如外匯期貨、外匯選擇權或遠期外匯，提供廠商下方風險的停損，向上獲利無限的保護，故匯率的波動愈大，廠商因匯差而獲利程度亦愈大而促使其增加投資。

關鍵字

利率波動與負債的交叉項 ； 利率波動 ； 匯率波動 ； 固定效果模型 ； β係數

並列摘要

Abstract
In this study, we follow Bo and Sterken(2002) framework and modify it to analyze the effects of interest rate, exchange rate, debt and twin-rate volatility on firm investment single, plus the cross-effect of interest rate volatility and debt. The methods for measuring volatility contain the variance of moving average and the variance of the unpredictable part. In empirical estimation, we utilize the fixed effects model of pooled estimation to evaluate; the sample firms and period are 28 listed firms of Taiwan 50 Index from 1991 to 2003.
The empirical results are as follows:
1. Firm interest rate is more appropriate to explain the behavior of firm investment than market interest rate. The former is much better to present interest rate firms paying actually; the latter can stand for a reference to raise a loan for firm investment.
2. There exists a positive relationship between interest rate volatility and firm investment mostly, implying firm may hedge the interest rate risk through adopting financial instruments or derivatives, e.g. swaps, options, futures of interest rate and forward rate agreement. Even firms make profits because of interest spread, which causes firms to raise investment.
3. There is no clear-cut conclusion with respect to the sign of the debt effect.
4. Concerning the cross-effect of the interest rate volatility and debt, the effect is negative for high-debt firms, implying the debt revaluation effect appears to be more important than the effect of the interest burden; there exists no significant effect for low-debt firms; the effect is positive for high-risk firms, suggesting the effect of the interest burden appears to be more important than the debt revaluation effect; however, there exists an inverse effect for low-risk firms.
5. The devaluation of currency is beneficial to investment of exporters.
6. Exchange rate volatility affects firm investment weakly positively because Taiwanese exporters make use of hedging strategies while facing exchange rate exposure possibly, e.g. futures, options of currency or foreign exchange forward. Therefore, it can supply the filter rule for downside risk and give the protection against upper risk. As a result, the bigger the exchange rate volatility is, the more of firm profits making are due to the currency spread, which inspires firms to increase investment.

並列關鍵字

exchange rate volatility ； β coefficient ； interest rate volatility ； the cross-effect of interest rate volatility and debt ； fixed effects model

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