出口不穩定、避險措施與匯率轉嫁—台灣電子資訊與通信產業之實證分析

陳本盛

doi:10.6840/cycu200100228

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出口不穩定、避險措施與匯率轉嫁—台灣電子資訊與通信產業之實證分析

Export Instability, Hedging and Exchange Rate Pass-through：The Case of Taiwan’s Electronic, Data Media and Communication Products

陳本盛 , Masters　　Advisor：吳博欽　　

繁體中文 DOI： 10.6840/cycu200100228

共整合檢定；匯率轉嫁；出口不穩定；避險；誤差修正模型； export instability ； exchange rate pass-through ； hedging ； error correction model ； cointegration test

Abstract │ Reference (50) │ Times Cited (6) │ Altmetrics

Abstract 〈TOP〉

本文在考慮出口商採行避險措施與出口不穩定下，重新建立一較完整的出口訂價方程式，以證實該兩變數對出口財訂價之影響，並分析決定出口財價格變數與出口財價格之間的長期關係及短期調整之特性。為進一步證明風險溢酬是否存在，文中將出口商所採行的避險措施區分為以遠期外匯契約（直接避險）與即期匯率加上兩國利率差距。
實證上本文採取共整合檢定與誤差修正模型進行分析，以國內電子資訊與通信產業出口至美國與日本為對象，除了分析匯率轉嫁程度外，並檢視國內出口商面對不同出口市場是否存在市場取價行為。利用多條共整合關係式的線性組合，以證實避險措施與出口不穩定對決定出口財訂價的重要性。
在文中所建立的各種出口訂價方程式中（含對美國與日本出口的匯率轉嫁模型與市場取價模型），出口商的邊際成本、兩貿易國利差、匯率（即期匯率與遠期匯率）、出口不穩定指標、進口國的進口財競爭價格等變數，與出口價格（含以進出口國貨幣衡量及出口財的國內價格）分別在各模型中存在1-3條共整合關係式，顯示其彼此間存在長期均衡關係。在出口訂價方程式中加入避險措施與出口不穩定兩項變數，可降低共整合關係式殘差項的標準差，故可確信該兩項因素對決定出口財價格的重要性。
出口至美國的匯率轉嫁程度約介於0.1857-0.2832，日本則為0.1528，此結論與國內相關文獻的結論（介於0.526-0.993）相去甚遠。其可能原因包括：（1）本文加入「避險措施」與「出口不穩定」兩項因素；（2）研究期間、研究產業與所使用資料的頻率均不同，以及（3）國內電子資訊與通信產業與美日大廠建立完善的垂直分工關係等。此外，在出口至美國的匯率轉嫁模型中，利用遠期匯率與即期匯率加上兩國利率差距所衡量的轉嫁程度有異，顯示其間可能存在風險貼水。
未同時考慮出口商採行避險措施及出口不穩定指標時，對美國市場而言，將高估匯率轉嫁程度；對日本市場則將低估匯率轉嫁程度。未考慮出口商採行避險措施時，對美國市場而言，將低估匯率轉嫁程度；對日本市場而言，將高估匯率轉嫁程度。未考慮出口不穩定指標時，對美國市場而言，將高估匯率轉嫁程度；對日本市場而言，將低估匯率轉嫁程度。
    當新台幣兌美元貶值時，國內出口商會提高出口至美國以新台幣衡量的出口財價格，同時調高該產品在國內市場價格；當新台幣兌日圓升值時，國內出口商降低出口至日本以新台幣衡量的出口財價格，卻提高該產品在國內市場價格，顯示在面對日本市場時，出口商採取市場取價行為，但在面對美國市場則無。其原因可能是新台幣兌日圓升值時，國內廠商為保持其在日本市場的競爭力，並未將匯率變動的影響完全反映在出口價格上，造成其利潤減少，唯廠商為彌補部份減少的利潤，轉而提昇國內市場的價格。
當出口價格偏離其長期均衡值時，對美國市場而言，其修正的速度為42.86%與61.52%，遠較對日本市場的93.31%緩慢甚多，此或許與出口商在訂定出口價格時，對日本市場所能掌握的資訊比對美國市場更為完整有關。對於所有匯率轉嫁模型而言，出口不穩定指標對出口價格的短期衝擊效果均是顯著的，顯示該指標是影響出口商短期調整出口價格的重要因素；至於匯率對出口價格的短期影響效果則均不顯著，此則與Han and Suh（1996）等研究者認為一國貨幣處於貶（升）值期間，短期匯率轉嫁效果高(低)於長期效果之結論並不一致。
在對美國出口的市場取價模型中，美國與國內市場的調整係數分別為-0.5720與-0.2617（或-0.4227與0.4168）；在對日本出口的市場取價模型中，日本與國內市場的調整係數分別為-0.9301與0.4106，顯示國內出口商是以犧牲該出口財在國內市場的調整速度，且為維持在國外的競爭力，會以更快的速度調整以本國貨幣衡量的出口財價。

Parallel Abstract 〈TOP〉

By considering export instability and hedging in exchange rate risk, this paper presents a model of optimal pricing of exports in importer’s currencies. I evaluate the long-run behaviors and short-run dynamic paths of pass-through in export prices and the relative importance of pricing-to-market effect. In evidence, I adopt the industry of Taiwan’s electronic, data media and communication to analyze relative problems.
The effects on the optimal prices of factors, such as forward exchange rates (or spot exchange rates plus interest rate differential), export instability, marginal and average costs, the price of import-competing goods, as well as demand elasticities are analyzed in detail. The results show that the long-term relationship between export instability, hedging by firms and pass-through is significant. If I omit export instability and hedging by firms, the estimated degree of pass-through will be imprecise. The paper turns out that the degree of pass-through is higher on exporting to U.S. than Japan, and Taiwan’s electronic, data media and communication firms have a pricing-to-market pattern on exporting to Japan, but have not the effect on exporting to U.S. In the error correction model, the speed of adjustment coefficient is larger on exporting to Japan than U.S..

Reference ( 50 ) 〈TOP〉

莊春發（1981），「貿易集中度、出口不穩定、經濟成長－台灣之研究」，經濟研究，23，139-51。
連結：
Ahtiala, P. and Y.E. Orgler（1995）, “The Optimal Pricing of Exports Invoiced in Different Currencies,” Journal of Banking and Finance, 19, 61-77.
連結：
Athukorala, P. and J. Menon（1994）, “Pricing to Market Behavior and Exchange Rate Pass-through in Japanese Exports,” The Economic Journal, 104, 271-281.
連結：
Betts, C. and M.B. Devereux（1996）, “The Exchange Rate in a Model of Pricing-to-market,” European Economics Review, 40, 1007-1021.
連結：
Dickey, D. and W. Fuller（1979）, “Distribution of the Estimations for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, 77, 427-431.
連結：

Times Cited (6) 〈TOP〉

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