台灣企業外匯風險管理之研究

Study on the Foreign Exchange Risk Management of Taiwanese Enterprises

陳國裕(Kuo-Yu Chen)

指導教授 ： 何中達

國立中央大學/管理學院/財務金融學系碩士在職專班/碩士(2006年)

摘要

論文摘要內容：

由於國際金融市場日漸自由化的影響，這使得各國匯率變動趨於劇烈，匯率成為國家經濟中相當重要的影響因素，同時使得企業的價值深受匯率波動影響。因此，如何有效的掌握財務的操作，以規避「外匯風險」已成為台灣企業財務人員重要工作項目。本研究以中國國際商業銀行外匯企業客戶為問卷調查調查對象，將樣本分析以了解台灣企業對匯率風險因應的方式及態度，風險管理的策略以及金融衍生性商品使用現況。
研究結論如下：
1. 從事匯率風險管理人員，常高估自己預測匯率的能力，因而影響其風險管理的態度。
2. 全額避險及固定比例避險，有較佳的匯率風險管理成效。
3. 由專責風險管理單位負責決策者，能採取較佳的策略以達成風險管理的目標。
4. 避險契約期間的長短與避險效果成正的相關性，避險契約期間較長，受匯率波動影響較小。惟實務上台灣企業的避險契約期間大部分小於六個月，此結果與美國的調查結果相類似。
5. 調查結果發現匯率避險工具以遠期外匯為主，其他的匯率避險契約如匯率選擇權、外匯期貨等尚未普及。

關鍵字

風險管理 ； 外匯風險 ； 匯率

並列摘要

Abstract:
Due to the effect of increasingly liberalized international finance market, it causes more violent fluctuation on each nation’s exchange rate, and exchange rate has become one of the very important factors which influence a nation’s economy, and
Meanwhile enterprise value is also deeply influenced by the fluctuations of exchange rate. Therefore, how to effectively control the financial operation in order to avoid "foreign exchange risk" has turned to be a very important task of finance staffs in Taiwanese enterprises. The study uses the enterprise customers of International Commercial Bank of China as the questionnaire subject, to analyze the sample and realize the manners and attitudes of Taiwanese enterprises on coping with exchange rate risk, their risk management strategies, and the current application status of their financial derivatives.

Study results are as below:
1. People engaging in exchange rate risk management often overestimates their abilities on exchange rate forecast, and therefore affect their attitudes toward risk management.
2. Full hedging and constant proportion hedging would provide better performance on exchange rate risk management.
3. Decision making performed by professional risk management institutions can adopt better strategy to achieve the goal of risk management.
4. There is positive correlation between the period lengths of hedging contract and hedging outcomes, longer hedging contract period is less influenced by the exchange rate fluctuation. But in practice, most of the hedging contract periods of Taiwanese enterprises are less than 6 months; this result is similar to the American investigation result.
5. Investigation result shows that the major hedging tool of exchange rate is Currency Forward Contracts, other exchange rate hedging tools such as Currency Options or Currency Futures etc. are not popular yet.

並列關鍵字

Foreign Exchange ； Exchange Rate Risk ； Risk Management

參考文獻

3. Bondar, Gordon M., Hayt, Gregory S. and Marston, Richard Wharton survey (1998) Financial risk management by US Non-Financial Firms , Financial Management , Vol.27, No. 4, Winter 1998

4. Hull, John C. (2002), Fundamentals of Futures and Options Markets, Pearson Education.

參考文獻

一、中文部分

1. 中央銀行 (2003)， 中華民國中央銀行之制度與功能，中央銀行出版