外幣衍生性商品與外幣負債關係之研究－互補或替代關係

Foreign Currency Derivatives and Foreign-denominated Debt: Complements or Substitutes in Hedging Foreign Exchange Risk?

10.6985/TBFQ.201006.0001

何啟銘(Chi-Ming Ho)；宋怡靜(Yi-Ching Sung)

外幣計價的衍生性金融商品 ； 外幣負債 ； foreign currency derivatives ； foreign-denominated debt

台灣金融財務季刊

11卷2期（2010 / 06 / 01）

1 - 24

繁體中文

先前探討企業外匯風險的文獻多針對外幣衍生性商品或外幣負債，極少研究有討論到兩者間的關係，本研究主要是探討企業外匯風險與外幣衍生性金融商品及外幣負債的關係，及兩項金融工具間的相關性，本研究對象為2000年～2007年外銷比10%以上之本國上市公司共3,614家，資料頻率為年資料。本研究沿用Elliott，Huffman and Makarb(2003)所使用的模型進行羅吉斯迴歸分析以及線性迴歸分析，控制變數則納入公司規模、長期負債比、研究發展費用比等因素。 實證結果發現：(1)外銷比率對企業發行外幣衍生性金融商品及外幣負債皆為正相關；(2)市值比取自然對數對發行衍生性金融商品是正相關，長期負債比對發行外幣負債為正相關；(3)發行外幣計價的衍生性金融商品與外幣負債的兩變數間並沒有顯著相關；綜合上述實證結果可指出外幣衍生性金融商品及外幣負債都是公司規避外匯風險的工具，但兩者並沒有顯著相關，企業長期負債愈多其發生財務危機的機率愈大，或公司規模愈大進行避險的規模經濟效果愈大，這兩種情況都會提高企業避險的意願，除此之外本研究發現公司研發費用愈少內部閒置資金愈充裕將有利於進行避險。

This study examines the relationships between foreign currency exposure and the usage of foreign-denominated debt (FDD), and which with the usage of foreign currency derivative (FCD) with a sample of Taiwanese listed companies and further investigates the relationship between the usages of FDD and FCD. This paper finds foreign currency exposure has positive relationships with FCD and FDD, respectively, suggesting both of FCD and FDD can be used as hedged instruments. Moreover, the usages of FDD and FCD are uncorrelated with each other, implying FDD and FCD are independent hedged instruments in reducing currency risk. In addition, the empirical analysis exhibits the less research and development expense the firms have, the more capital the firms can use to circumvent the foreign currency exposure.

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