美國汽車製造商的現金流風險分析（CFaR）：福特和通用汽車的供應鏈風險暴露於大宗商品價格和宏觀經濟指標

Abstract

本論文運用現金流風險（CFaR）模型，結合Oxelheim和Wihlborg的MUST框架及CFaR方法，分析了中美貿易戰對福特和通用汽車（GM）的影響，並量化了宏觀經濟風險敞口。透過分析2016年至2024年的季度數據，研究揭示了兩家公司截然不同的風險特徵：福特對投入成本通膨（PPI運輸設備：β = -48.65，p值 = 0.036）極度敏感，供應鏈危機預計會導致CFaR = 7.25%；而通用汽車則表現出出乎意料的抗跌性，預計會導致609.25%；而通用汽車則表現出出乎意料的抗跌性價格為新價格。與理論預期相反，滯後宏觀經濟效應並不顯著（R² < 0.1），顯示該模型能夠解釋營運現金流對宏觀經濟衝擊的即時反應。研究結果凸顯了福特汽車易受中國供應鏈中斷（人民幣貶值）的影響，以及通用汽車相對不易受影響——這一關鍵因素凸顯了各公司特定的風險管理需求。鑑於川普連任前景不明朗以及貿易戰再度升級，本研究旨在深入分析美國汽車製造商在應對貿易戰帶來的地緣政治和宏觀經濟不確定性時所面臨的脆弱性和應對策略。

This thesis examines the repercussions of the U.S.-China trade war on Ford and General Motors (GM) through a Cash Flow at Risk (CFaR) lens, applying Oxelheim and Wihlborg’s MUST framework and CFaR methodology to quantify macroeconomic exposures. Analyzing quarterly data (2016–2024), the study reveals divergent risk profiles: Ford exhibits extreme sensitivity to input cost inflation (PPI Transportation Equipment: β = -48.65, p-value = 0.036), with supply chain crises projecting a 7.25% downside CFaR, while GM shows unexpected resilience to steel price shocks (β = +1.07, p-value = 0.06). Counter to theoretical expectations, lagged macroeconomic effects proved insignificant (R^2 < 0.1), suggesting this model explains that operational cash flows respond immediately to macroeconomic shocks. The findings highlight Ford’s vulnerability to Chinese supply chain disruptions (CNY depreciation) and GM’s relative insulation - a critical factor underscoring firm-specific risk management needs. Given the uncertainty surrounding Trump's second term and the escalation of a renewed trade war, this study aims to provide insights into the vulnerabilities and resilience strategies of U.S. automakers in navigating the geopolitical and macroeconomic uncertainties of the trade war.