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博碩士論文 etd-0420106-194809 詳細資訊
Title page for etd-0420106-194809
論文名稱
Title
台灣金融機構之外匯風險
The exchange rate exposure of Taiwanese banking institutions
系所名稱
Department
畢業學年期
Year, semester
語文別
Language
學位類別
Degree
頁數
Number of pages
39
研究生
Author
指導教授
Advisor
召集委員
Convenor
口試委員
Advisory Committee
口試日期
Date of Exam
1996-04-10
繳交日期
Date of Submission
2006-04-20
關鍵字
Keywords
現金流量、跨國企業、外匯風險
Cash flows, Multinational corporations, Exchange rate risk
統計
Statistics
本論文已被瀏覽 5769 次,被下載 2279
The thesis/dissertation has been browsed 5769 times, has been downloaded 2279 times.
中文摘要
台灣金融機構的短期外匯風險 (明顯且立即),受到金融監理非常嚴格的規範,然而對於長期外匯風險 (潛在且間接) 則未在要求之列,可能原因是目前的研究方法尚無法查覺長期外匯曝險之存在性。本文由營收表現來分析金融機構的外匯風險,應用現金流量法直接地將曝險分解出短期與長期成份。結果發現金融機構之外匯風險對於貿易加權匯率指數敏感度呈顯著者高達61.54%,為求結論的穩健性,本文進一步納入利率因素來衡量非預期的匯率變動,結果同樣證實長期外匯風險的存在性。這意謂著不但金融監理當局應加以納入規範,且金融機構更應正視其對價值的衝擊。
Abstract
Regulators only require banks to manage their short-term exchange rate risk stringently. A possible reason is that the prevailing capital-market methodology cannot determine the long-term exchange rate risk. Using the real performance of operating incomes, this paper investigates the impact of fluctuating foreign currencies on the values of Taiwanese banking institutions, and decomposes the overall exchange rate risk into short-term and long-term components. We not only overcome the deficiency of prior studies that have limited success in detecting significant currency exposure, but also measure correct economic exposure that firms are confronted with. Comparing with the capital market approach, we find the evidence of the relative strength of cash flows to detect currency exposure. After controlling for the impact of interest rates, we find that, over the time period examined, 61.54% of the sample firms have a significant currency exposure, which is larger than those documented by prior research. Our result also shows that the existence of significant long-term exchange rate risk is prevalent among Taiwanese banking institutions. Furthermore, US dollar (the currency of a nation which is Taiwan’s largest exporting country) has an opposite effect as opposed to Japanese Yen (the currency of a nation which is Taiwan’s largest importing partner). Our results have policy implications that banking institutions should manage long-term currency exposure.
目次 Table of Contents
目 次 頁次
第1章 前言……………………………………………………01
第2章 外匯風險估……………………………………………06
第3章 樣本篩選………………………………………………08
第4章 實證結果………………………………………………11
第5章 穩健性檢測……………………………………………18
第6章 結論……………………………………………………23
附 錄 …………………………………………………………25
參考文獻 …………………………………………………………27
參考文獻 References
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4. 董澍琦與紀妤瑩,(2002),「台灣多國籍企業外匯風險曝露之研
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