臺灣博碩士論文加值系統

本研究乃依據加速理論、現金流量模型、新古典投資模型和Tobin Q理論等企業投資理論，考慮影響企業投資決策的變數，包括廠商產出水準、獲利率、資本使用成本等，並加入匯率變動及匯率波動等因素，建構投資函數。以台灣上市公司為研究對象，取1996年到2005年的縱橫資料，採固定效果模型，估計各變數與企業投資的關係。

實證發現廠商產出水準及獲利率與企業投資呈顯著正相關，資本使用成本與企業投資呈顯著負相關，皆符合理論預期。新台幣匯率貶值與投資呈顯著正相關，與樣本廠商乃以出口為主之理論預期相符合，且出口占營收比率高的廠商，匯率對投資的影響程度較大。

匯率波動程度與企業投資呈顯著正相關，實證結果與理論預期相違背，但獲利能力高的廠商，匯率波動對投資的影響程度顯著較小，即獲利能力高的廠商，較能容忍匯率波動的衝擊。

This paper constructs an investment equation according to theory of accelerator, cash flow model, neoclassical investment theory and Tobin’s Q theory. The factors that influence corporate investment decision are the level of output, the level of profit, user cost of capital. In order to take into account the relationship between exchange rate and investment, we added foreign exchange rate and exchange rate volatility to the investment equation. Employing a large panel of listed companies of Taiwan covering from year 1996 to 2005 and adopting fixed effects model we estimate the impact of the above variables on investment.

This article finds that the level of output and the level of profit have a positive effect on the investment. The user cost of capital and exchange rate has a negative effect on the investment. This conforms to the theory conclusion. But exchange rate has a significantly negative effect on high export propensity. It provides evidence that a devaluation may positively affect export propensity firms’ investment spending.

Exchange rate volatility has a positive effect on the investment. But firms with greater market power can offset the negative effects of a volatile exchange rate.

中文摘要.........................................Ⅰ
英文摘要.........................................Ⅱ
目錄.............................................Ⅲ
表目錄...........................................Ⅳ
圖目錄...........................................Ⅴ


第一章 緒論......................................1
1.1 研究背景與動機...............................................1
1.2 研究目的...............................................2
1.3 研究架構與流程...............................................2

第二章 文獻探討...............................................4
2.1 基本企業投資理論...........................4
2.2 匯率與企業投資的相關文獻探討...............6
2.3 不確定性對投資影響的相關文獻探討...........7

第三章 研究方法..................................8
3.1 研究假說...................................8
3.2 研究變數定義................................10
3.3 研究期間與對象..............................14
3.4 研究模型....................................14

第四章 實證結果分析.............................19
4.1 實證步驟..................................19
4.2 敘述性統計分析............................20
4.3 模型估計結果..............................22

第五章 結論.....................................32
5.1 研究限制..................................32
5.2 結論......................................32

附表............................................36

參考文獻........................................42

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