過去研究發現公司特性變數為影響外匯暴險的決定因子，但對於公司特性變數影響外匯暴險之相關面向並無一致結論，故本文以非線性門檻迴歸模型補捉特性變數變動對外匯暴險的變動情形，以1998至2008年為研究期間，利用台灣上市多國籍公司之季資料為研究樣本，分析在公司特性變數或高或低的情況下，匯率變動對公司價值的影響。實證結果顯示以貿易加權匯率來看台灣上市之多國籍公司，得到於研究期間台幣升值較有利於公司價值提升，以外銷比例、公司規模及帳面市值比作門檻效果檢測，檢定出皆存在單一門檻效果，造成外匯暴險程度呈現上下不對稱之結果。另外以速動比率、負債比率作門檻效果檢測，則未檢定出顯著之門檻效果，代表單一門檻模型不存在。本文認為公司會因本身特性的變化，其所成承擔的外匯風險也就不相同，因此若依公司特性去評估台灣多國籍公司所承擔之外匯暴險大小時，需視該公司之公司特性落於何種區塊，以因應其不同變化趨勢。

The previous study finds that the variables of the company characteristics are the main decision of exchange rate exposure, but the dependence of the variables of the company characteristics and exchange rate exposure doesn’t have conclusion in concert. Therefore, this paper applies non-linear threshold regression model to analyze the relationship between changes in exchange rate and firm valuation. The sample is gathered from the quarterly data of the listed multinational corporations in Taiwan for the period 1998-2008. Empirical evidence showed that using export ratio, firm size and book value to market value ratio as the threshold variable. We find statistically significant evidence of a single threshold effect. All of them indicate that exchange rate exposure is effected by company characteristics to perform asymmetric relationship.

中文摘要 i
英文摘要 ii
目錄 iii
表目錄 v
圖目錄 vi
壹、緒　論 1
一、研究背景與動機 1
二、研究目的 3
三、研究架構 4
四、研究流程 5
貳、文獻探討 6
一、外匯風險的定義與型態 6
二、外匯風險的衡量 8
三、相關實證文獻回顧 9
參、研究設計 19
一、研究期間與樣本選取 19
二、研究變數定義與衡量 21
三、研究方法 24
肆、實證結果與分析 36
一、敘述性統計 36
二、PANEL DATA 固定效果模型實證結果 38
三、公司特性變數門檻效果分析 39
伍、結論與建議 52
一、結論 52
二、建議 54
參考文獻 55

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