匯率與利率暴險對台灣產業指數影響之研究

Abstract

台灣是一典型小型開放經濟體系，貿易依存度很高，所以利率與匯率為影響企業在營運過程中影響其成本與利潤的兩大重要總體經濟因素，因此本研究主要在檢驗台灣各產業對於匯率風險及利率風險的暴險程度，並估計匯率風險及利率風險之風險貼水。本研究利用近似無關聯迴歸(SUR)方法進行暴險程度之估計，之後再根據套利定價理論所推導出之匯率及利率風險貼水模型，使用非線性之近似無關聯迴歸方法來找出風險貼水。 實證結果發現，在匯率暴險方面，前期(2000 年2 月到2004 年3 月)有33.33%的產業有顯著的匯率暴險，後期(2000 年4 月到2008 年4 月)則全部不顯著，全部期間(2000 年2 月到2008 年4 月)則是有26.67%的產業顯著。 在利率暴險方面，無論前、後期或是全期，都很難捕捉到利率暴險，且暴險符號方向皆與理論上的利率上升會使股價報酬減少不同，可能原因除了落後效果之外，本研究所採用的利率變數為30 天期商業本票，因為短期利率對資金成本影響有限等原因，都可能造成利率暴險不顯著。 在風險貼水方面，前期無風險利率顯著，匯率風險貼水及利率風險貼水皆不顯著。在後期時，三個總體經濟變數之風險貼水皆不顯著。至於在全部期間，無風險利率及匯率風險貼水都顯著，利率風險貼水不顯著。

Taiwan is a small open economy with high degree of dependence on foreign trade, so the exchange and interest rate are the two major macroeconomic variables which influence the cost and profit in the business activities very much. This study uses the seeming unrelated regression method to examine the exchange and interest rate exposure in Taiwan industries. And then we use the nonlinear seeming unrelated regression method to estimate the exchange and interest rate risk premiums based on the model derived from arbitrage pricing theory. In the empirical results, we find 33.33% of them exhibit significant exchange rate exposure for the 2000.1 ~ 2004.3 period. For the period 2004.4 ~ 2008.4, there are no industry with significant exchange rate exposure. And during the full period, we find 26.67% of them exhibit significant exchange rate exposure. For the interest rate exposure examination, it is hard to find the interest rate exposure. The theory indicates that stock returns for the industry decline in the face of rising interest rate. However our results indicate the opposite. In addition to the lagged effect, we use the 30-day commercial paper as the interest rate factor may have limited effects on the interest rate exposure.