外匯衍生性商品使用與企業匯率風險暴露：以台灣企業爲例

Foreign Currency Derivatives and Exchange Rate Exposure: Empirical Evidence from Taiwanese Corporations

10.6226/NTURM2009.20.1.157

楊聲勇(Sheng-Yung Yang)；董澍琦(Shuh-Chyi Doong)；郭憲章(Hsien-Chang Kuo)；徐偉軒(Wei-Hsuan Hsu)

外匯暴露 ； 避險 ； 外匯衍生性商品 ； exchange rate exposure ； hedge ； foreign currency derivatives

臺大管理論叢

20卷1期（2009 / 12 / 01）

157 - 188

繁體中文

過去相關外匯暴露的文獻，主要在討論國際企業的外匯暴露的大小與其決定因子，受限於企業使用衍生性金融商品交易資料取得不易，過去的模型中通常僅以虛擬變數的方式，來分析公司使用衍生性金融商品避險的影響，而未進一步分析其使用程度對外匯暴露的影響。參考He與Ng(1998)的模型，本研究除了將公司重要的財務變數放入模型外，更蒐集台灣各家上市公司衍生性金融商品交易情形，將外匯暴露決定因子與衍生性金融商品使用程度的交互作用效果一併納入模型中。實證結果發現，外匯暴露決定因子，不論長短期，外銷比例、公司規模及速動比率和外匯暴露程度為正相關；若同時考慮與衍生性金融商品的交互作用效果之後，研究結果發現：在短期時，長期負債比例、外銷比例或公司規模愈大時，公司若多使用衍生性金融商品，則外匯暴露的程度可以顯著降低；在長期時，當外銷比例愈高時，多使用衍生性金融商品避險亦可降低外匯暴露的程度；而避險活動指標則都不顯著。

In this study, we use a sample of 186 firms in Taiwan that have export ratio for at least 10 percent in the sample period to examine their exchange rate exposures and the effect of usage of currency derivatives on currency exposures. In the determinants of exchange rate exposure, we find that exchange rate exposure is positively related to the foreign sales ratio, firm size and quick ratio. Further, we add an interaction term by multiplying the degree of usage of foreign currency derivatives with other proxies of hedging incentives (or variables for firm characteristics). The empirical results show that in short-run, the usage of derivatives can reduce exchange rate exposure for firms with higher leverage ratio or larger firm size. In the longer term, as the foreign sales ratio is higher, firms can use currency derivatives to reduce their exchange rate exposures. Financial managers adopt the information as reference for their decisions on foreign exchange risk management and hedging activities.

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