臺灣博碩士論文加值系統

摘 要
根據經濟部的統計，台灣進出口佔國民生產毛額比重達七成以上，顯示進出口貿易對於台灣的整體經濟扮演著舉足輕重的角色。影響進出口的因素相當多，其中以匯率曝顯因素在近幾年來受到較高的重視。此外，近年受到台灣景氣的復甦與兩岸關係舒緩，加上台灣相對中國等其他亞洲國家而言，利率水準相對較低，促使資金大舉進入台灣股市，讓台股在亞洲市場的表現一枝獨秀，亦使得新台幣強勢上漲，加上美國貨幣寬鬆政策下，美元兌新台幣創下13年的新高，也衝擊以出口為導向的電子科技產業。因此，利率與匯率變動對公司營運的影響是值得關注的問題。有鑑於此，本文將評估匯率與利率曝險對於公司現金流量與股價報酬率的影響。
實證上本研究除了以縱橫資料迴歸法進行估計外，進一步利用Wald test檢視各匯率與長、短期利差對於個別公司股價報酬率與現金流量，是否存在差異性的影響，亦即進行差異性斜率估計。透過差異性斜率估計，對於政府在調整利率及匯率的政策上，能更清楚分辨出哪些公司最直接的受到影響，進而對個別公司進行協商溝通，以期政策目標能更順利達成。實證結果得知，利率對於整體樣本公司的現金流量與股價報酬均有顯著影響，而匯率波動對整體樣本公司股價報酬率影響並不顯著，顯示匯率對樣本公司股價並無直接關係，但對部分公司有顯著的影響；匯率變化對公司現金流量有顯著影響，但影響的大小與方向不完全相同，顯示各公司對於不同貨幣所採取的避險措施差異甚大。
關鍵字：外匯曝險、利率曝險、縱橫資料、Wald test、差異性斜率估計

Abstract
According to the statistics of the Ministry of Economic Affairs, the imports and exports account for over 70% of Taiwan’s Gross National Product, revealing that the international trade plays an important role in Taiwan’s economic growth. Among numerous factors affecting imports and exports, exchange rate exposure has received close attention in recent years. Besides, economic recovery, the moderate cross-straits relationship and the relatively low interest rate level in contrast to other Asian countries impel funds to enter the stock market of Taiwan on a large scale, which imposes Taiwan stock market to have outstanding performance in Asian markets, and pushes the appreciation of TWD largely. The loose monetary policy in American also has made the TWD/USD rate hit the new peak for past 13 years, which assaults the export-oriented electronic and technological industry. Therefore, the issue of how the variations of interest rates and foreign exchange rates influence operations of a company should be investigated. Based on this concern, the study evaluates the influences of exchange rate exposure and interest rate exposure on cash flows and stock rate of returns for a company.

In addition to employing panel data regression method, this research further utilizes the Wald test to analyze whether foreign exchange rate, long-term and short-term spread differentially impact the rate of returns and cash flows of a specific company, i.e., the so-called “differential slope estimation”. Through the results in differential slope estimation, it is easier to clarify which company is influenced directly by governmental adjusting policies of interest rates and foreign exchange rates, and which specific company is needed to be consulted and communicated. The policy goal is expected to be reached more smoothly.
The empirical results show that the variance of interest rate significantly influences on cash flows and stock rate of returns in the sample companies; however, the fluctuation of foreign exchange rate affects stock rate of returns weakly. It reveals that there is no direct relationship between stock prices and foreign exchange rates, but only apparently influence on some companies. Furthermore, with different sizes and directions, the fluctuation of exchange rates has apparent influences on a company's cash flows, pointing out that every company takes quite different currency hedge policies.

Keywords: Foreign exchange exposure, Interest rate exposure, Panel data, Wald test,
Differential slope estimation

目錄
中文摘要………………………………………………………………………………… I
Abstract…………………………………………………………………………………… II
誌謝辭…………………………………………………………………………………… III
目錄……………………………………………………………………………………… IV
表目錄…………………………………………………………………………………… VI
圖目錄…………………………………………………………………………………… VII
第一章　緒論…………………………………………………………………………… 1
　　第一節　研究背景………………………………………………………………… 1
　　第二節　研究動機與目的………………………………………………………… 3
　　第三節　研究架構與流程………………………………………………………… 7
第二章　文獻回顧……………………………………………………………………… 9
　　第一節　匯率對現金流量影響之相關文獻……………………………………… 10
　　第二節　匯率對股票報酬率影響之相關文獻…………………………………… 12
第三節　利率對股票報酬率影響之相關文獻…………………………………… 14
　　第四節　混合資料估計之相關文獻……………………………………………… 16
第三章　理論模型與實證方法………………………………………………………… 17
　　第一節　理論模型………………………………………………………………… 17
第二節　實證方法………………………………………………………………… 21
　　第三節 本文實證模型…………………………………………………………… 23
第四章　實證結果分析………………………………………………………………… 26
　　第一節　資料來源與研究期間…………………………………………………… 26
　　第二節　研究變數之敘述統計分析……………………………………………… 29
　　第三節　變數之相關係數分析…………………………………………………… 30
第四節 Hausman Test 檢定……………………………………………………… 31
　　第五節 匯率、利率曝險對現金流量之實證結果－共同斜率下……………… 32
第六節 匯率、利率曝險對股價報酬之實證結果－共同斜率下……………… 34
第七節 差異性斜率之實證結果分析…………………………………………… 36
第五章　結論與未來研究建議………………………………………………………… 42
第一節　結論……………………………………………………………………… 42
第二節　政策建議………………………………………………………………… 44
　　第三節　未來研究建議與延伸…………………………………………………… 45
參考文獻………………………………………………………………………………… 46
　　中文部分…………………………………………………………………………… 46
　　英文部分…………………………………………………………………………… 46
附表……………………………………………………………………………………… 51
　　附表1……………………………………………………………………………… 51
　　附表2……………………………………………………………………………… 52
　　附表3……………………………………………………………………………… 53
　　附表4……………………………………………………………………………… 57
　　附表5……………………………………………………………………………… 58
　　附表6……………………………………………………………………………… 59
表目錄
表1-1國際間重要世界所引發新台幣匯率之重大波動紀錄………………………… 4
表4-1樣本公司產業分類……………………………………………………………… 27
表4-2變數之資料來源與衡量方式…………………………………………………… 28
表4-3研究變數之敘述統計量………………………………………………………… 29
表4-4變數的相關係數值……………………………………………………………… 30
表4-5 Hausman Test檢定結果………………………………………………………… 31
表4-6匯率、利率曝險對現金流量影響－共同斜率的固定效果模型……………… 32
表4-7匯率、利率曝險對現金流量影響－共同斜率的隨機效果模型……………… 33
表4-8匯率、利率曝險對股價報酬率影響－共同斜率固定效果模型……………… 34
表4-9匯率、利率曝險對股價報酬率影響－共同斜率隨機效果模型……………… 35
表4-10匯率、利率曝險對現金流量影響－Wald Test檢定…………………………… 36
表4-11匯率、利率曝險對現金流量影響－差異性斜率固定效果模型……………… 38
表4-12匯率、利率曝險對股價報酬率影響－Wald Test檢定………………………… 39
表4-13匯率、利率曝險對股價報酬率影響－差異性斜率固定效果模型…………… 41
圖目錄
圖1-1 研究流程圖…………………………………………………………… 8

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