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研究生:梁立人
研究生(外文):Li-RenLiang
論文名稱:匯率貶值與公司特性對台灣上市製造業公司營運表現之探討
論文名稱(外文):The Impacts of Currency Depreciation and Firm's Characteristics on the Operational Performances ---In the case of Taiwan's firms.
指導教授:蔡群立蔡群立引用關係
學位類別:碩士
校院名稱:國立成功大學
系所名稱:經濟學系碩博士班
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:86
中文關鍵詞:公司特性財務限制出口投資匯率資產負債表效果一般動差估計法
外文關鍵詞:firm-levelfinancial constraintsexportcapital expenditureexchange ratebalance sheet effectGMM
相關次數:
  • 被引用被引用:2
  • 點閱點閱:420
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  • 下載下載:89
  • 收藏至我的研究室書目清單書目收藏:2
一般有關探討匯率貶值文獻,主要著重於匯率波動對總體經濟面產出、投資、出口與對股價的影響,相對較少探討匯率貶值直接與公司營運之關聯性,但近年來也已經有一些文獻,開始使用公司的個體資料,以探討匯率貶值對公司出口、銷售的分析,此研究主要發現匯率的貶值對公司的出口與銷售是顯著的正相關,且藉由出口銷售的增加,可提升公司得成長;但在另一方面的研究,則認為公司進行投資時,經由投資借款產生的負債,在匯率貶值下將會造成該公司利息成本提升,且因為財務限制的也會顯著提升公司營運的風險,而降低公司得成長。
台灣的匯率制度在1990年至2000年期間,匯率波動程度高且貶值次數頻繁,最高貶值幅度曾高達24%,從公司的個別基本統計資料發現,從1990年開始,許多公司出口比重、營收及資產等,與匯率貶值有顯著的關係,但目前比較少研究著重於匯率對台灣個別產商營運的探討。因此,本研究希望使用台灣上市公司的資料,以探討不同公司的財務限制以及公司的特性,以分析匯率貶值對公司營運的影響。
本研究使用1991年至2008年間,509家台灣上市製造業公司的個別資料,並且依照23個出口國以及10種產業的出口比重,估計出實質有效匯率,以觀察廠商在面臨匯率貶值影響下的營運表現。本文將使用兩階段動態GMM模型,依照不同的公司特性─財務槓桿、公司規模、獲利能力等,分析匯率貶值對公司銷售、資產、市值、投資之影響。

Most of literature study How depreciation of exchange rates affect macro side, such as outputs, investments, exports and stock prices. Relatively, there is a little literature presenting that how depreciation of exchange rates are correlated with operating companies. In recent papers, they analyze the effect of depreciation of exchange rates on exports and sales by using firm’s data. The object of this paper is to investigates if depreciation of exchange rates are positively correlated with exports and sales significantly; and if there is negative relation between market capitalization, asset , net income and depreciation of exchange rate.

Taiwan adopted a flexible exchange regime. Since 1989 we found exchange rates fluctuates in ranged highest to 24% between1990 and 2000. Exports ratio, operating income and assets are significantly correlated with depreciation of exchange rates presented form basic statistic micro data of companies from 1990. There is few literature that studies the effect of exchange rates on industrial firm’s data in Taiwan. Therefore, those tried to analyze the effect of depreciation of exchange rates on operating companies using listed company data which is categorized to different financial constrains and characteristic of companies.

In this paper, effective real exchange rates are calculated from 23 export countries and 10 industries exports ratio by using micro data form 509 listed manufacturing industries over the period 1991 to 2008. We investigate the depreciation of exchange rate on the operating performance by using effective real exchange rates. We classify characteristic of companies according to financial leverage, scales of company and profitability to analyze that how depreciation of exchange rates affect sales, assets, market values and investments using two- stage dynamic GMM model.

目錄
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究方法與架構 9
第二章 相關文獻回顧 12
第一節 匯率變動與出口、投資 12
第二節 公司資料的使用 16
第三章 實值匯率與公司資料敘述分析 20
第一節 資料來源與研究對象 20
第二節 實質匯率的變動 22
第三節 個別公司之敘述統計 30
第四章 實證模型與結果分析 39
第一節 一般動差估計法計量模型 41
第二節 實證模型 43
第三節 公司營運表現實證結果 47
第四節 考量公司特性實證結果 53
第五章 結論 78
參考文獻 82

一、 中文部分
1. 王泓仁(2005):〈台幣匯率對我國經濟金融活動之影響〉,《中央銀行季刊》,第二十七卷第一期。
2. 徐千婷(2006):,〈匯率與總體經濟變數之關係〉,《中央銀行季刊》,第二十八卷第四期。

二、 西文部分
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3. Andrew B. Bernard and J. Bradford Jensen (2004c), Exporting and Productivity in the USA, Oxford Review of Economic Policy , Volume 20, Number 3, pp. 343-357.
4. Andrew B. Bernard, J. Bradford Jensen, Stephen J. Redding, Peter K. Schott (2007), Firms in International Trade, The Journal of Economic Perspectives, Vol. 21, No. 3, pp. 105-130.
5. Arellano, Manuel and Stephen Bond (1991), Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations, Review of Economic Studies, Vol. 58, No. 2, pp.277-297.
6. Arellano, M. and O. Bover (1995), Another Look at the Instrumental Variables Estimation of Errorcomponents Models, Journal of Econometrics, 68, pp. 29-51.
7. Arellano, M. and B. Honore (2001), Panel Data Models: Some Recent Developments, in J.J. Heckman and E.E. Leamer (eds), Handbook of Econometrics, Vol. 5, North Holland.
8. Bleakley, Hoyt and Kevin Cowan (2002), Corporate Dollar Debt and Devaluations: Much Ado About Nothing?, Federal Reserve Bank of Boston. Working paper No. 02-5.
9. Bleakley, Hoyt and Kevin Cowan (2004), Maturity Mismatch and Financial Crises: Evidence from Emerging Market Corporations, UCSD Discussion Paper 2004-16.
10. Blundell, Richard and Stephen Bond (1998), Initial Conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics, Vol. 187, No. 1, pp. 115-143.
11. Clark et al. (2004), Exchange Rate Volatility and Trade Flows – Some New Evidence, IMF Working Paper.
12. Cowan, K., Hansen, E. and L.O. Herrera (2005), Currency Mismatches, Balance Sheet Effects and Hedging in Chilean Non-Financial Corporations, Inter-American Development Bank, Working Paper No. 521.
13. Cushman and David O. (1983), The Effects of Real Exchange Rate Risk on International Trade, Journal of International Economics 15, pp. 45-63.
14. Cushman and David O. (1985), Real Exchange Rate Risk, Expectations, and the Level of Direct Investment The Review of Economics and Statistics, vol.67, No.2, pp. 297-308.
15. Desai, M., C. Foley and K. Forbes (2004), Financial Constraints and Growth: Multinational and Local Firm Responses to Currency Crises, NBER Working Paper No. 10545.
16. Francesco Nucci and Alberto F. Pozzolo (2001), Investment and the exchange rate: An analysis with firm-level panel data, European Economic Review 45 (2001), pp. 259-283
17. Galindo, A., Panizza, U. and F. Schiantarelli (2003), Debt Composition and Balance Sheet Effects of Currency Depreciation: A Summary of the Micro Evidence, Emerging Markets Reviews, 4(4), pp. 330-339.
18.G iovanni Dell’ Ariccia (1999),Exchange Rate Fluctuationis and Trade Flows: Evidence from the European Union, IMF Staff Papers, Vol. 46, No. 3, pp.315-334.
19. Greenaway, D. Kneller, R. and Zhang X. (2008).Exchange Rates, Exports and FDI: A Microeconometric Analysis, Globalisatioin, Productivity and Technology Researcher Paper 2008/09.
20. Hayakawa, Kazuhiko (2007), Small Sample Bias Properties of the System GMM Estimator in Dynamic Panel Data Models, Economic Letter, Vol. 95, No. 1 , pp. 32-38.
21. Head, K. and Ries, J. (1999)Rationalization effects of tariff reductions, Jouranl of International Economics 47. pp. 295-320.
22. Jen Baggs (2005) Firm Survival and Exit in Response to Trade Liberalization, The Canadian Journal of Economics, Vol. 38, No. 4, pp.1364-1383.
23. Jen Baggs, Eugene Beauljeu and Loretta Loretta (2009), Firm Survival, Performance and the exchange, Canadian Journal of Economics, Vol. 42, Issue 2, pp. 393-421.
24. Jerry G. Thursby and Marie C. Thursby (1987), Bilateral Trade Flows, the Linder Hypothesis, and Exchange Risk, The Review of Economics and Statistics, Vol. 69, No. 3, pp. 488-495.
25. Kristin J. Forbes (2002), How Do Large Depreciations Affect Firm Performance?, International Monetary Fund Staff Papers 49, pp. 214–38.
26. Kamil, H. (2004), “A new database on the currency composition and maturity structure of firms’ balance-sheet in Latin America, 1990-2002, Inter-American Development Bank.
27. Linda S. Goldberg (1993) Exchange Rates and Investment in United States Industry, The Review of Economics and Statistics, Vol. 75, No. 4 (Nov., 1993), pp. 575-588
28. Linda S. Goldberg and Charles D. Kolstad (1995), “Foreign Direct Investment, Exchange Rate Variability and Demand Uncertainty, International Economic Review, Vol. 36, No. 4, pp. 885-873.
29. Loretta Fung (2006) Large real exchange rate movements, firm dynamics, and productivity growth, Canadian Journal of Economics, Vol. 41, No. 2, pp. 391-424.
30. Lorretta Fung and Jin-Tan Liu (2009), “The impact of real exchange rate movements on firm performance: A case study of Taiwanese manufacturing firms Japan and the World Economy 21. pp. 85-96.
31. Luis J. Carranza, Juan M. Cayo, Jose E. Galdon-Sanchez (2003), Exchange rate Volatility and economic performance in Peru: a Firm level analysis, Emerging Market Review 4 (2003), pp. 472-496.
32. Luengnaruemitchai Pipat(2004), The Asian Crises and the Mystery of the Missing Balance Sheet Effect, University of California Berkeley.
33. Mark Aguiar (2005), “Investment, devaluation, and foreign currency exposure: The case of Mexico, Journal of Development Economics 78, pp. 95-113.
34. Mehtap Keriyeli, Erdal Ozmen and Serkan Yigit (2005), Corporate Sector Debt Composition and Exchange Rate Balance Sheet Effect in Turkey, ERC Working Papers in Economics 05/07.
35. Mihir A. Desai, C. Fritz Foley and Kristin J. Forbes (2009), Financial Constraints and Growth: Multinational and Local Firm Responses to Currency Depreciations, The Review of Financial Studies, Vol 21.
36. Paul Krugman (1999), Balance Sheets, the Transfer Problem, and Financial Crises, International Tax and Public Finance, 6, pp. 459-472.
37. Philippe Aghion, Philippe Bacchetta and Abhijit Banerjee (2001) Currency crises and monetary policy in an economy with credit constraints, European Economic Review 45, pp. 1121-1150

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