臺灣博碩士論文加值系統

衍生性金融商品之崛起與迅速發展，不僅有助於活絡金融市場，促進市場效率性與完整性，投資者更可利用衍生性金融商品操作，規避現貨市場風險或賺取超額報酬。但因衍生性金融商品具高度財務槓桿特性，操作稍有不慎亦會導致企業鉅額損失，甚至面臨嚴重財務危機。為了對衍生性金融商品明定適當規範，財務會計準則委員會於民國92年12月25日和94年6月23日分別以國際會計準則IAS No.39和IAS No.32為藍本，相繼發布財務會計準則第34號與36號公報，規範金融商品之認列衡量、表達與揭露，並自95年1月1日起正式適用。公報內容對於金融商品之評價，捨成本與市價孰低法改以公平價值觀點評價，同時規範避險會計之適用，宜於指定避險開始時，有關避險關係、企業之風險管理目標及避險策略，應有正式書面文件。該書面文件至少應載明避險工具、相關被避險項目或交易及被規避風險本質之辨認，與如何評估避險工具抵銷欲規避風險造成被避險項目之公平價值或現金流量變動之有效性。但對於避險有效性之測試，並未明定單一測試方法。
因此，本研究參酌過去有關避險有效性測試之文獻，佐以四項指定以利率交換為避險工具之個案，實際執行預期測試與回顧測試，除提供個案之預期測試與回顧測試之結果外，並詳加檢視各項測試方法之特性與穩定性，以提供企業選用測試方法之參考依據。經分別使用金額沖銷法、相對差異法、變動性縮減法、變異數減少法、標準差減少法與迴歸分析法執行預期測試結果，發現相對差異法與以累計變動數定義變數之迴歸分析法，測試結果較容易通過且相對穩定；而金額沖銷法、變動性縮減法、變異數減少法及標準差減少法之測試結果，容易產生前後期結果不一致或加權效果，其預期測試結果通過比率相對不高亦較不穩定。另以當期變動數定義變數之迴歸分析法，結果雖然呈現穩定但並未通過有效性之測試門檻。但回顧測試時，採行金額沖銷法衡量實際抵銷結果後，發現測試結果通過比率很低。

Recently, there is a rapid development both of international financial market and derivatives. Companies can use derivative instruments to hedge economic exposures or to earn the excess rewards. However, derivatives are also high leverage instruments. In order to regulate the reporting issues about derivatives, the Financial Accounting Standard Board in Taiwan issue Statements of Financial Accounting Standards No.34 and No.36 respectively. Hedge accounting users have to qualify a derivative position for hedge accounting, specifying the hedged item, identifying the hedging strategy and the derivative, and supporting documents by statistical or other means that the hedge to be highly effective in offsetting the designated risk exposure. Without these special treatments, derivative gains or losses and the gains or losses associated with the risk being hedge would classify as earnings components in different time periods. The Statement did not identify specific testing method to measure hedge effectiveness and how to attain “highly effective” hedge position.
Six common used methods for testing hedge effectiveness were applied, which include the dollar-offset method, the relative-difference method, the variability-reduction method, the variance-reduction method, the standard deviation-reduction method and the regression method. We found that the results both of the relative-difference method and the regression method are much stable relatively than other testing methods.

目 錄
第一章 緒論……………………………………………………………….1
第一節 研究動機與背景…………………………………………….1
第二節 論文架構…………………………………………………….5
第二章 文獻探討………………………………………………………….7
第一節 34號公報制定背景與避險會計…………...……………….7
第二節 避險有效性測試相關文獻回顧…………...…....…………22
第三章 研究方法………………………………………...………………32
第一節 避險有效性之測試方法…………..………….……………32
第二節 個案描述………………………………..……..….………..41
第三節 變數定義與蒐集…..……………………..…………...……48
第四節 資料來源…………………………………………...………60
第四章 實證結果與分析…………………………………….…..………61
第一節 個案實證結果描述………………………….………..……61
第二節 各項方法預期測試結果分析……………………………...84
第五章 結論與建議……………………………….…………..……..…..92
第一節 研究結論………………………………….…….….………92
第二節 研究限制………………………………….………………..94
第三節 研究建議………………………………...……..………..…95
參考文獻…………………………………………………..………..….…97

參考文獻
一、中文部分
周建宏、陳麗莉、林士鄉與張晉瑞，民94，解決導入公平價值會計之問題專案研究，台灣證券交易所委託研究報告。
財務會計準則委員會，民77，財務會計準則公報第十四號「外幣換算之會計處理準則」。
財務會計準則委員會，民86，財務會計準則公報第二十七號「金融商品之揭露」。
財務會計準則委員會，民94，財務會計準則公報第三十六號「金融商品之表達與揭露」。
財務會計準則委員會，民94，財務會計準則公報第三十四號「金融商品之會計處理」。
張紹基、黃薏萍，民90，衍生性金融商品在公司風險管理上的使用情形：台灣與其它國家之比較，中山管理評論，第9卷第3期：471-496。
陳威光，民94，衍生性金融商品─選擇權、期貨與交換，智勝文化出版事業中心有限公司。
黃台心，民94，計量經濟學，雙業書廊有限公司。
管中閔，民89，統計學－觀念與方法，華泰事業文化中心。
顏莉萍，民94，銀行業衍生性金融商品與裁決性壞帳關連性研究，元智大學會計學研究所碩士論文。
二、英文部分：
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International Accounting Standard Board (IASB). 2003. Financial Instruments：Disclosure and Presentation. Statement of International Financial Accounting Standards No.32. London, UK: IASB.
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