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研究生:張志鵬
研究生(外文):Chih-Peng Chang
論文名稱:商業銀行外匯風險管理與外匯風險曝露之研究
論文名稱(外文):The Foreign Exchange Risk Management and Foreign Exchange Risk Exposure of the Commercial Banks in Taiwan
指導教授:孫梅瑞孫梅瑞引用關係
指導教授(外文):Mei-Jui Sun
學位類別:碩士
校院名稱:銘傳大學
系所名稱:國際企業管理研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2002
畢業學年度:90
語文別:中文
論文頁數:78
中文關鍵詞:外匯風險管理外匯風險曝露經營績效代理理論財務危機
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本研究最主要是探討民國85年到90年間,國內外匯指定銀行從事外匯風險管理與其經營績效之關聯性;另外亦探討外匯風險管理與外匯風險曝露之間的關係及其個別影響因素。在銀行經營績效方面,本研究首先採用21項會計財務指標的綜合評量以取代先前學者研究使用股價衡量公司績效與外匯變動之關係,但均未獲得一致結果的缺失。有關外匯風險管理方面,本研究先以OLS從銀行規模、國際化程度、代理問題及財務危機四方面來探討銀行同業間從事外匯風險管理之動機,進而再以Logistic迴歸模式探討哪些特性的銀行除了遠期外匯外,有能力再操作其他外匯衍生性金融商品;最後再利用兩階段最小平方法探討銀行從事外匯風險管理後的風險曝露程度。研究結果如下:
(1)不論是個別銀行或是整個銀行產業來看,美元的變動率在樣本前期並未有顯著影響,但在樣本後期,也就是亞洲金融風暴後,匯率的變動的確對銀行經營經效產生顯著正向影響。
(2)銀行從事外匯風險管理對其經營績效有顯著正向的影響。除此之外,我們進一步將銀行分為僅操作外匯遠期合約和除了遠期合約外有使用其他外匯衍生性商品的兩群銀行,發現後者與其經營績效的關係不具顯著水準。
(3)在外匯風險管理動機方面,發現國際化程度愈高、規模愈大、股權愈不集中的銀行,皆愈有從事外匯風險管理的動機,且實證結果其風險曝露程度也都較低,但在財務危機方面,發現其與外匯風險曝露並無一致顯著的效果,且財務危機發生機率愈小的銀行,反而愈有從事外匯風險管理的動機,此點是和我們的假設預期相反。最後,外匯風險管理在兩階段最小平方法中的實證結果中,的確能有效減少外匯風險曝露程度。
In this study, we will collect the corresponding data from 1996 through 2001 and try to fit it with some feasible regression models for commercial banks in Taiwan. Our objective here is to investigate the correlation between the management performance and exchange risk management for the banks. Besides, we want to explain the role of the fluctuation of exchange rate in their correlation. For measuring the management performance for banks, twenty-one accounting indexes are adopted to evaluate. While in measuring the motivation of the risk management, we consider its risk explosion from four categories, the level of the banks’ involvement in foreign markets, the size of the banks, the agency problems and financial crisis. At the same time we use OLS Logistic and 2SLS model to example what we research. The results of this research are as follows:
1.The commercial banking in Taiwan have significant foreign exposure. The results indicate that a appreciating Taiwan dollars have a favorable impact on bank’s performance.
2.The empirical results show that the firm''s size, the agency problems and the level of the banks’ involvement in foreign markets are consistent with the motivation of the risk management. But they have no consistent with financial crisis.
3.In 2SLS model, the foreign exchange risk management can reduce the level of foreign exchange risk exposure indeed.
第壹章 緒論
第一節 研究背景與動機...................... 1
第二節 研究目的.............................. 4
第三節 研究流程.............................. 5
第三節 研究範圍與研究步驟.................. 6
第貳章 文獻探討
第一節 外匯風險管理相關理論基礎.............8
第二節 影響企業從事外匯風險管理之背景動機..12
第三節 外匯風險對企業價值的影響........... 16
第四節 銀行經營績效........................21
第參章 研究設計與方法
第一節 研究架構.......................... 31
第二節 研究假說...........................32
第三節 研究變數...........................36
第四節 資料說明與研究方法.................41
第肆章 實證結果分析
第一節 基本統計資料分析..................49
第二節 銀行外匯風險衡量..................54
第三節 銀行管理外匯風險之決定因素........60
第四節 銀行外匯風險曝露之決定因素........66
第伍章 結論與建議
第一節 研究結論..........................70
第二節 研究建議..........................72
參考文獻......................................74
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