隨機匯率下進出口貿易專案價值的評價與分析

Abstract

企業面對一個以銷售進出口產品來獲利的專案, 欲將本國 (生產國)的產品外銷至它國 (消費國), 或是自外國 (生產國) 進口產品於國內 (消費國) 進行銷售前, 決策者必須先評估該產品的買賣是否能為公司帶來合理的利潤後, 再執行該貿易專案。 一般而言, 企業經營者依據會計上的財務報表進行決策時, 往往會忽略匯率本身的變動程度對貿易專案價值的影響, 而匯率的變動又和生產國與消費國的無風險利率息息相關。 由於匯率與無風險利率的連動性, 使得我們很難對貿易專案的價值進行精確的評估。 本文即在假設風險中立的環境下, 將隨機匯率納入考慮, 分別對進口貿易專案價值與出口貿易專案價值進行評價, 以求出封閉解, 並得到本國的無風險利率與以本國貨幣計價之進口貿易專案價值及出口貿易專案價值呈現正相關, 外國的無風險利率與以本國貨幣計價之進口貿易專案價值及出口貿易專案價值呈現負相關的結果。

Generally speaking, while the decision making are made according to Financial Statement by managers, they often ignore the impact of the change degree of the exchange rate on the value of the importing project or tile exporting project and that connect the domestic and foreign risk-free interest rate. Due to the dynamic of exchange rate and the uncertainty of risk-free interest rate, it is very difficult for us to price the value of the project accurately. Based on the framework of the bilateral trade and the risk-neutral environment, we set the economic model to price the value of the importing and the exporting project under the stochastic exchange rate. According to the tendency of the exchange rate, we derive the closed forms of the importing project and the exporting project, and base on the analytical solutions. Thus, we obtain the effect that domestic risk-free rate is positively correlated with the value of the exporting project and the importing project in terms of domestic currency, and the foreign risk-free rate is negatively correlated with the value of the exporting project and the importing project in terms of domestic currency.