本論文是集合三個研究主題而成，但同樣都是由企業外匯風險的角度進行相關研究，主要內容摘要如下：

一、 企業外匯風險、國際化策略、與匯率操控的理論分析
本章以臺商赴大陸投資設廠為例，建立一外匯風險理論模型，用以探討到第三國生產即國際化策略對跨國企業的外匯風險是否造成影響，及匯率的操控是否影響第三國生產模式的決策？模型推導發現，跨國企業如果能善用營運策略，使其外幣收入與所有外幣成本配合，即可規避大部分的外匯風險。除此營運策略的降低效果之外值得注意的是，國際化策略的降低效果是有條件成立的，例如若各國貨幣對美元能真實反應其應有之價值，則有無到第三國生產對匯率風險並未影響，然而當匯率受到操控時，進行第三國生產模式的決策則可再進一步降低外匯風險。除了利用企業內部的外匯風險模型推導之外，我們還利用市場外部的實際資料來分析，結果證實了模型所導出的主要論點。

二、 長短期企業外匯風險與決定因素的實證分析
本章提供有關中國與台灣上市公司長短期外匯風險的實證結果，針對過去文獻使用變形的市場模式分析時，產生外匯曝險偵測能力不足與無法辨認長期曝險的缺失，我們利用多項式遞延分配模式將外匯曝險分解出短期與長期成份，來補足文獻未竟之處。應用此法後，我們發現多項式遞延分配模式的優勢偵測曝險能力，同時在這兩個市場得到印證。此外文獻所舉出的涉外程度越高的公司其短期外匯風險也越大；規模越大的公司其短期外匯風險則越小；高外銷比率的公司其受到最大出口國貨幣波動的影響，較其他國家貨幣為低；而低外銷比率的公司，其受到最大進口國貨幣波動的影響，同樣也較其他國家貨幣為低等等現象，皆在台灣公司身上得到證實，但是在中國公司方面則極少符合。此結果顯示，在釘住匯率制度 (中國) 與浮動匯率制度 (台灣) 下，公司所受到的匯率影響有著極大的不同。

三、 長短期企業外匯風險與匯率制度的實證分析
過去匯率制度的研究，皆圍繞在對總體變數的影響方面作分析，本章則由個體經濟角度切入，分析不同匯率制度對企業現金流量所帶來的效果。我們分別估計中國公司 (釘住制度) 與台灣公司 (管理浮動制度) 的外匯風險，並與現有的美國公司 (浮動制度) 數據綜合比較。實證發現，中國公司有較多的短期外匯風險而美國公司則以長期外匯風險居多。至於台灣公司方面，其最適落後期數近似美國公司的表現，而曝險強度則近似中國公司的表現。上述由個體經濟角度分析所獲致的差異性結論，實可為匯率制度選擇的議題，提供一種全新的決策觀點。

This dissertation includes three issues, however, they are all adopted the view of firm’s foreign exchange rate exposure to do the research. The main results of three topics as follows:

In the first topic, this study uses the example of a Taiwanese firm investing in China and develops an exchange rate exposure model which depends on only four endogenous variables: the percentage of the firm’s revenues denoted in the currency of trade country, the percentage of the firm’s expenses denoted in the currency of trade country and third country, and its profit rate. The main issue in this research attempts to detect whether producing goods in the third country will affect a multinational firm on the exchange rate exposure and whether the currency manipulation will affect the decision of producing goods in the third country. This study finds that if a multinational firm can effectively adjust operational strategy and match foreign currency income with its cost, most of the exposure can be reduced. Besides this reducible effect of operational strategy, it is worth to note that diversified strategy just works under some conditions. For example, whether producing goods in the third country or not, the firm’s exposure will not make changes as long as the currency is equal to its true value. However, under the case of currency manipulation, the firm producing goods in the third country can reduce exchange rate risk further.

In the second topic, this paper studies the sensitivity of the cash flows generated by Chinese and Taiwanese firms to the movements in a trade-weighted exchange rate index, as well as to the currencies of their major trading partners. To overcome the deficiencies in previous researches using variations of the market-based model, this paper adopts the polynomial distributed lag (PDL) model to investigate the relative importance of transaction exposure versus economic exposure by decomposing exchange risk into short-term and long-term components. In contrast to the market-based model, we find that PDL model is better in detecting exposures with evidence confirmed both in China and Taiwan markets. Furthermore, our empirical results also verify past findings in Taiwan market that firms with higher foreign involvement have larger exchange rate exposure, firms with larger size have less exchange rate exposure, firms with larger exporting business are less exposed to the currency of primary exporting country, and firms with larger importing business are less exposed to the currency of primary importing country. However, these results are seldom agreed in China market. These findings imply that the exchange rate under the pegging regime and the floating system significantly affects firms in managing their exchange risk.

In the third topic, it is generally argued that the choice of an appropriate exchange rate regime depends on which regime minimizes fluctuations in output, consumption, domestic price level, or some other macroeconomic variables. However, our study provides alternative analytic evidences on the firm-specific behavior. Using the real performance of operating income, this paper attempts to investigate the impact of fluctuating currencies on the values of U.S., Chinese, and Taiwanese companies. We find that the Chinese companies have more short-term exposures under the pegged regime, and the U.S. companies have more long-term exposures under the floating regime. Under the managed floating system, optimal lag length for Taiwanese companies is close to that of U.S. companies. However, the magnitude of exposure for Taiwanese companies is close to that of Chinese companies. These findings imply that the exchange rate under different exchange rate regimes significantly affects firms in managing their exchange risk.

第一章 緒 論••••••••••••••••••••••••••9

第二章 企業外匯風險、國際化策略、與匯率操控的理論分析••••••13
第一節 前 言••••••••••••••••••••••••13
第二節 理論模型•••••••••••••••••••••••17
第三節 匯率無操控下的外匯曝險••••••••••••••••21
第四節 匯率有操控下的外匯曝險••••••••••••••••26
第五節 實證分析與結果••••••••••••••••••••33
第六節 結 論••••••••••••••••••••••••36

第三章 長短期企業外匯風險與決定因素的實證分析••••••••••39
第一節 前 言••••••••••••••••••••••••39
第二節 相關文獻探討•••••••••••••••••••••42
第三節 研究方法•••••••••••••••••••••••46
第四節 實證結果•••••••••••••••••••••••55
第五節 結 論••••••••••••••••••••••••64

第四章 長短期企業外匯風險與匯率制度的實證分析••••••••••66
第一節 前 言••••••••••••••••••••••••66
第二節 模型與資料••••••••••••••••••••••69
第三節 實證結果•••••••••••••••••••••••76
第四節 穩健性檢定••••••••••••••••••••••83
第五節 結 論••••••••••••••••••••••••84

第五章 總 結••••••••••••••••••••••••••85

參 考 文 獻•••••••••••••••••••••••••••87

附 錄 •••••••••••••••••••••••••••••95

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