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完整後設資料紀錄
DC 欄位 | 值 | 語言 |
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dc.contributor.advisor | 劉錦添(Jin-Tian Liu) | |
dc.contributor.advisor | 劉錦添(Jin-Tian Liu | liujt@ntu.edu.tw | ), | |
dc.contributor.author | Zhi-Hong Jian | en |
dc.contributor.author | 簡志宏 | zh_TW |
dc.date.accessioned | 2023-03-19T22:15:36Z | - |
dc.date.copyright | 2022-09-30 | |
dc.date.issued | 2022 | |
dc.date.submitted | 2022-09-21 | |
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dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/84558 | - |
dc.description.abstract | 本文結合財政部海關進出口交易資料以及稅賦資料,並搭配櫃買中心提 供之外匯衍生品交易資料,探討與臺灣對外貿易廠商承作外匯衍生品可能的 廠商特性。透過線性機率模型搭配廠商固定效果,我們發現進出口比率越 高、廠商規模越大、槓桿比率越高,廠商承作外匯衍生品的機率越高。 進一步將外匯衍生性金融商品分類,則發現進口比率越高會增加廠商買 入外幣遠期的機率;並且在進口比率越高的情況下,出口比率對廠商買入外 幣的機率呈現負向相關,說明自然避險與衍生品避險互相存在替代關係,因 為進出口同時增加能夠同時提升廠商操作應收應付帳款幣別的機會。此外, 我們結合進口報關幣別以及每日主要外幣匯率資料,發現在進口面匯率波動 越大時,廠商越有可能買入外幣遠期,並且此影響在進口比率越高時越大。 | zh_TW |
dc.description.abstract | This article combines import and export transaction data, tax data from the Fiscal Information Agency, and foreign exchange derivatives transaction data from the OTC Center to investigate potential factors influencing the use of foreign exchange derivatives by Taiwan’s international trade firms. Using a linear probability model with firm fixed effects, we find that the likelihood of a firm engaging in foreign exchange derivatives increases with increasing import/export ratio, firm size, and leverage ratio. According to a further classification of foreign exchange derivatives with the good types, the likelihood of buying foreign currency forward increases with the import ratio, and when it is higher, the export ratio has a negative correlation with the likelihood of firms’ derivative use. It implies that derivative hedging and natural hedging are substitutes for each other because increasing imports and exports at the same time can improve firms’ ability to match accounts receivables and payables. In addition, we combine the import declaration currency and the daily exchange rate data of the major foreign currencies. We find that the more the exchange rate fluctuates on the import side, the more likely it is that the firm will buy foreign currency forwards, and this effect is stronger when the import ratio is higher. | en |
dc.description.provenance | Made available in DSpace on 2023-03-19T22:15:36Z (GMT). No. of bitstreams: 1 U0001-1109202217485600.pdf: 9884913 bytes, checksum: 7611d938f8818308322fef08adebf9f3 (MD5) Previous issue date: 2022 | en |
dc.description.tableofcontents | 口試委員會審定書 iii 誌謝 v 摘要 vii Abstract viii 目錄 ix 圖目錄 xi 表目錄 xii 1 前言 1 2 文獻回顧 4 2.1廠商從事避險行為之理論基礎....................... 5 2.2 廠商特性與承作外匯衍生品行為...................... 6 2.3 自然避險與衍生品避險間替代關係..................... 8 3 資料介紹及敘述統計 12 3.1資料介紹................................... 12 3.2資料合併................................... 13 3.3資料敘述統計................................ 13 3.3.1 外匯衍生品交易資料........................ 13 3.3.2 海關貿易資料............................ 17 3.3.3 貿易廠商類型及外匯使用...................... 18 3.3.4 賦稅資料、海關資料、及外匯使用................. 20 4 實證模型及變數定義 23 4.1模型設定................................... 23 4.1.1 自然避險與衍生品避險之替代關係推斷.............. 24 4.1.2 進口匯率波動與避險操作...................... 24 4.1.3模型選擇.............................. 25 4.2變數定義及敘述統計............................ 26 4.2.1 被解釋變數-外匯使用變數..................... 26 4.2.2 解釋變數-財務面變數........................ 27 4.2.3 解釋變數-貿易面變數........................ 27 4.2.4 解釋變數-匯率波動指標...................... 28 5 實證結果 31 5.1 廠商特性與外匯衍生品選擇-來自資料統計中的發現. . . . . . . . . . . . 31 5.2貿易行為、財務特性、與外匯衍生品避險................. 36 5.3 應付外幣帳款之風險規避-買入外幣遠期外匯................ 40 6 結論與未來研究方向 44 參考文獻 45 A 附錄 50 | |
dc.language.iso | zh-TW | |
dc.title | 臺灣貿易廠商承作外匯衍生性商品之實證分析 | zh_TW |
dc.title | The Use of Foreign Currency Derivatives among Taiwanese International Trade Firms | en |
dc.type | Thesis | |
dc.date.schoolyear | 110-2 | |
dc.description.degree | 碩士 | |
dc.contributor.coadvisor | 吳儀玲(Yi-Lin Wu) | |
dc.contributor.oralexamcommittee | 陳南光(Nan-Kuang Chen) | |
dc.subject.keyword | 避險,廠商特性,外匯衍生品,自然避險,匯率波動, | zh_TW |
dc.subject.keyword | hedge,firm characteristics,foreign exchange derivatives,natural hedge,exchange rate fluctuation, | en |
dc.relation.page | 53 | |
dc.identifier.doi | 10.6342/NTU202203286 | |
dc.rights.note | 同意授權(限校園內公開) | |
dc.date.accepted | 2022-09-22 | |
dc.contributor.author-college | 社會科學院 | zh_TW |
dc.contributor.author-dept | 經濟學研究所 | zh_TW |
dc.date.embargo-lift | 2022-09-30 | - |
顯示於系所單位: | 經濟學系 |
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