台灣化學工業產業匯率曝險之研究

Abstract

台灣屬於海島型國家且缺乏天然資源，高度仰賴進出口貿易以發展經濟。在高貿易依存度下，匯率變動對台灣產業具有相當的影響。故本研究採用傳統的市場法及較近期發展出的現金流量法，同時以股東(外部者)及企業經營者(內部者)的兩個角度檢視匯率曝險對企業經營的影響。過去我國學者也常以市場法或現金流量法模型對我國產業進行匯率曝險的實證分析，惟被分析的產業多為電子業、金融業及特定的股票指數成分股，遺漏佔進出口比重亦相當重要的化學工業。因此，本研究選取化學工業產業為研究標的，針對台灣30家上市櫃化學工業公司對美元的匯率曝險進行研究，研究期間為2001到2010年。 實證結果發現，當使用市場法預測匯率曝險時，在90%的信心水準下，有70%的研究標的皆具有顯著的匯率曝險；而在95%的信心水準下，則有63%的研究標的對美元有顯著曝險。以現金流量法預測匯率曝險時，結果顯示40%的研究標的對美金有顯著的匯率曝險，而其中長期(一年以上)匯率曝險的顯著比例為71.43%，短期(一年以內)曝險顯著比例為30.43%，說明企業在長期時更易遭受匯率曝險的影響。 此外，本研究並進一步檢視影響匯率暴險的決定因子，以市場法實證結果所得的匯率暴險值和五個決定因子進行分析。實證結果顯示公司規模和公司成長率對匯率曝險值有顯著影響，影響方向分別為負向和正向，表示公司規模上升時，匯率曝險降低；而公司成長下，匯率曝險也隨之提高。其他三個決定因子：出口比例、存貨及應收帳款對淨值比率及流動比率則和匯率曝險值不具有顯著的相關性。

Taiwan relies on international trade to develop economic activities due to the country location and being lack of natural resources. Thus, foreign exchange definitely has impacts on Taiwan’s companies. Our research applies both market-based and cash-based method to investigate how exchange rate exposure affects Taiwan’s companies. Reviewing the past research conducted by domestic literatures, they concentrated more on industries like electronic, financial and components of stock index. Those literatures ignore the chemical industry which plays an important role in the international trade of Taiwan. Thus, our research selects chemical industry as the research target to study its exposure to USD from year of 2001 to 2010. Empirical results show that under market-based method, 70% of the 30 sample companies exhibit significant exchange rate exposure to USD of 10% significance and 63% of which exhibit significant exchange rate exposure to USD of 5% significance. When applying cash-based method, 40% companies show significant USD exposure while long-term exposure significant rate, 71.43%, is much higher than short-term exposure significant rate, 30.43%, proving that companies are prone to facing exchange rate exposure under longer period. Furthermore, we continue researching the potential determinants of exchange rate exposure under market-based method. By applying five potential determinants, empirical result shows that only company size and growth rate have significant impacts on exchange rate exposure. Company size has negative coefficient with exchange rate exposure while growth rate has positive one. The rest of the determinants: export rate, inventory and account receivable to equity and current ratio do not show significant coefficient with exchange rate exposure.