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研究生:陳俊德
研究生(外文):Chun-De Chen
論文名稱:投入與產出價格不確定對航運業廠商投資的影響
論文名稱(外文):The Effect of Volatilities of Input and Output Prices on Shipping Industry Investment
指導教授:吳博欽吳博欽引用關係
指導教授(外文):Po-Chin Wu
學位類別:碩士
校院名稱:中原大學
系所名稱:國際貿易研究所
學門:商業及管理學門
學類:貿易學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:56
中文關鍵詞:投入產出價格固定效果模型不確定性
外文關鍵詞:fixed effects modeloutput priceinputuncertainty
相關次數:
  • 被引用被引用:7
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  • 下載下載:32
  • 收藏至我的研究室書目清單書目收藏:1
本文根據Bo and Sterken(2002)所建立的實證模型,除了考慮廠商的債務情形與利率波動外,並加入了收益面(波羅的海指數)、成本面(原油價格)與匯率不確定的考量,分析其對台灣航運業廠商投資水準的影響。實證上利用固定效果模型行進行分析,此外,在不確定性的衡量上,則是採用ARMA與Moving Average二種方式。
實證結果顯示,以廠商利率估計所得到的結果比市場利率更佳,意味著市場利率只是一個一般性資金的機會成本指標,無法真正地代表廠商的負債成本。負債對於投資具有顯著的負向影響,亦即負債程度愈大,會削弱廠商的投資能力。然而在利率波動與負債的交叉效果是負向且顯著的,亦即廠商不會因為通貨膨脹率的增加,所造成實質負債的減少程度大於利息負擔的增加幅度,而增加投資。
此外,在收益面,波羅的海指數愈高,對於廠商投資具有正向且顯著的影響;然而在成本面,原油價格與原油價格波動性愈高,對於廠商投資則有顯著的抑制效果。在匯率與匯率波動方面,由於航運運費與原油價格均是以美元作為計價單位,產生了自然避險之作用,對於廠商投資無顯著的影響。
最後,在衡量不確定性的方法上,利用Moving Average會比ARMA所得到的結果還佳,意味著廠商較在乎可預期利率或匯率波動對投資的影響,而不在乎非預期利率或匯率波動對投資的影響。
This paper is based on the certificating model by Bo and Sterken (2002). Apart from considering the debt of the industry and interest rate, we included factors like revenue, cost and exchange rate. We analyze how all these factors affect the investment for the shipping industry. Besides using the fixed effects model to analyze, for uncertain measurements, we use two forecasting models, one is ARMA model and the other is Moving Average model.
As a result, the certificating model indicates that the market interest rate could not fully represent the cost of debt for the firm. We should adopt the firm rate to evaluate the effect of investment. Debt has negative effects on investments, meaning that if the firm has more debts, it will reduce their ability to invest. However, the combined the effect on interest rate movements and debt effect is negative and significant. It means the firm will not increase their investment as result of inflation that makes the more degree of real debt decreasing than the degree of interest disbursement increasing.
Also, where revenue is concerned, when the Baltic Dry Index is higher, it will have a positive and significant effect on firm investment, while cost fluctuations in oil prices will have a significant impact on the firm investment levels. For exchange rate movements, due to the cost of transportation and associated oild prices, typically using the US dollars for computations will help to reduce the risks involved. As a result, it will have less impact on firm investment.
Finally, the outcome displayed from taking the Moving Average model is better than the ARMA model. It indicates that firm cares about the effects of predictable volatilities of interest rate or exchange rate on investment, not cares about the effects of unpredictable volatilities of interest rate or exchange rate on investment.
摘要.........................................I
Abstract............................ ........II
誌謝辭.......................................III
目錄.........................................IV
圖表目錄.....................................VI
第一章 緒論.................................1
第一節 研究背景與動機.......................1
第二節 研究目的.............................3
第三節 研究流程.............................4
第二章 台灣航運產業的概況...................6
一、台灣海運業簡介...........................6
二、台灣海運船舶量 ...........................7
三、散裝輪運輸...............................8
四、貨櫃運輸.................................9
第三章 文獻回顧.............................11
第一節 不確定性與投資之相關文獻.............11
第二節 匯率與投資之相關文獻.................14
第四章 實證模型.............................16
一、原始投資理論模型.........................16
二、考量中間投入、產出價格與匯率之投資模型...18
第五章 實證方法與資料來源...................20
第一節 實證方法.............................20
一、固定效果模型.............................20
二、隨機效果模型.............................21
三、固定效果模型與隨機效果模型之比較.........21
四、固定效果模型與隨機效果模型之選擇.........22
第二節 資料來源.............................24
第六章 實證結果.............................27
第一節 市場利率與廠商利率之敘述統計結果.....27
第二節 全體樣本廠商之估計結果...............28
第三節 個別樣本廠商之估計結果...............35
第七章 結論.................................44
參考文獻.....................................46
附錄A........................................48
作者簡述.....................................49

圖1-1 研究流程..............................5
表2-1 台灣地區各航運公司船舶統計表..........7
表2-2 散裝船舶主要船型......................9
表5-1 固定效果模型與隨機效果模型的差異......22
表5-2 各變數的資料來源及其衡量方式..........26
表6-1 市場利率與廠商利率之敘述統計..........27
表6-2 投資函數之估計-全體樣本公司(市場利率).31
表6-3 投資函數之估計-全體樣本公司(廠商利率).34
表6-4 各變數Wald test結果...................36
表6-5 各變數Wald test結果...................36
表6-6 投資函數之估計-個別樣本公司(廠商利率).39
表6-7 投資函數之估計-個別樣本公司(廠商利率).42
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