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題名 匯率不確定性、營運與財務避險對企業外匯曝險的影響：以美國汽車產業為例
The impact of exchange rate uncertainty, operating and financial hedging on corporate’s foreign currency exposure: evidence from US automobile industry作者 葉育齊 貢獻者 張元晨
葉育齊關鍵詞 外匯曝險
匯率不確定性
營運避險
財務避險日期 2020 上傳時間 1-Jul-2020 13:39:03 (UTC+8) 摘要 本研究主要針對美國汽車產業，探討其外匯曝險與匯率不確定性、營運與財務避險間的關係。本文採用Ismailov and Rossi (2018) 的作法，利用匯率預測數據與實際數據間的差異程度計算出歐元、日圓及韓圜的匯率不確定性指標。同時，也利用了Hoberg and Moon (2017) 由美國公司財報內容搜尋每間公司的營運及財務避險指標。實證結果顯示在2008年至2017年的資料期間，美國企業外匯曝險會受到匯率不確定性的影響，且營運避險與財務避險可以有效降低企業的匯率曝險。其中，福特和通用雖然都有持續進行財務避險，但後者採用營運避險的年度相對較少故其日圓曝險較為顯著，特斯拉則因為沒有持續進行財務避險使營運避險變得相對重要，在歐元區沒有進行營運避險時對其股價報酬會有顯著負面的影響。
This study examines how foreign exchange exposure of US automobile companies are linked to exchange rate uncertainty, operating and financial hedging policies. Following Ismailov and Rossi (2018), I construct exchange rate uncertainty index for Euro, Japanese Yen, and Korean Won using the variation between actual and forecasted exchange rates. I also use FX hedging and corporate’s offshore activities data provided by Hoberg and Moon (2017) to examine each firm’s operating and financial hedging policy. Over the period of 2008 to 2017, I find evidence that corporate’s exchange rate exposure is affected by exchange rate uncertainty. Moreover, results show that operating hedging and financial hedging are effective for US automobile companies. I find that though financial hedging was adopted by both Ford and GM, GM still faced significant exposure to changes of Japanese Yen because less operating hedging was conducted. Tesla, which didn’t conduct financial hedging for every year, faced significant exposure to Euro without operating hedging in Eurozone.參考文獻 一、中文資料李明嫣，2010。「跨國公司財務與營運避險策略對其外匯曝險及公司價值之影響」，朝陽科技大學財務金融系。秦偉馨，2012。「外匯曝險與競爭之研究：以半導體產業為例」，中興大學財務金融學系。黃鈺庭，2016。「台灣企業面臨不同的外匯曝險值時使用衍生性金融商品動機之研究」，高雄大學金融管理學系。二、英文資料Bartram, Söhnke M., Gegory W. Brown, and Bernadette A. Minton, 2010. Resolving the Exposure Puzzle: the Many Facets of exchange rate exposure, Journal of Financial Economics, Volume 95, Issue 2, Pages 148-173.Barumwete, Lyna Alami and Feiyi Rao. Exchange Rate Risk in Automobile Industry : An Empirical Study on Swedish, French, and German Multinational Companies, Umeå University, Faculty of Social Sciences, Umeå School of Business.Beckmann, Joscha and Robert Czudaj, 2017. The Impact of Uncertainty on Professional Exchange Rate Forecasts, Journal of International Money and Finance, Volume73, PartB, Pages 296-316.Haushalter, G. David, Randall A. Heron and Erik Lie, 2002. Price Uncertainty and Corporate Value, Journal of Corporate Finance, Volume 8, Issue 3, Pages 271-286.Hoberg, Gerard, and S. Katie Moon, 2017. Offshore Activities and Financial vs Operational Hedging, Journal of Financial Economics, Volume 125, Issue 2, Pages 217-244.Holthausen, D., 1979. Hedging and the Competitive Firm under Price Uncertainty. The American Economic Review, 69(5), 989-995.Ismailov, Adilzhan and Barbara Rossi, 2018. Uncertainty and Deviations from Uncovered Interest Rate Parity, Journal of International Money and Finance, Volume 88, Pages 242-259.Jorion, Philippe, 1991. The Pricing of Exchange Rate Risk in the Stock Market, The Journal of Financial and Quantitative Analysis, Volume 26, Issue 3, Pages 363-376.Mayers, David and Clifford W. Smith, Jr., 1982. On the Corporate Demand for Insurance, The Journal of Business, Volume 55, Issue 2, Pages 281-296Meese, Richard A. and Kenneth Rogoff, 1983. Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?, Journal of International Economics, Volume 14, Issues 1–2, Pages 3-24.Rossi, Barbara, 2013. Exchange Rate Predictability, Journal of Economic Literature, Volume 51, Issue 4, Pages 1063-1119.Servaes, H., Tamayo, A. and Tufano, P., 2009. The Theory and Practice of Corporate Risk Management. Journal of Applied Corporate Finance, Issue 21, Pages 60-78.Shapiro, A. and Titman, S., 1998. An Integrated Approach to Corporate Risk Management, in Stern, J. and Chew, D.H. (Eds), The Revolution in Corporate Finance, 3rd ed., Blackwell, Oxford.Williamson, Rohan, 2001. Exchange Rate Exposure and Competition: Evidence from the Automotive Industry, Journal of Financial Economics, Volume 59, Issue 3,Pages 441-475. 描述 碩士
國立政治大學
財務管理學系
107357021資料來源 http://thesis.lib.nccu.edu.tw/record/#G0107357021 資料類型 thesis dc.contributor.advisor 張元晨 zh_TW dc.contributor.author (Authors) 葉育齊 zh_TW dc.creator (作者) 葉育齊 zh_TW dc.date (日期) 2020 en_US dc.date.accessioned 1-Jul-2020 13:39:03 (UTC+8) - dc.date.available 1-Jul-2020 13:39:03 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2020 13:39:03 (UTC+8) - dc.identifier (Other Identifiers) G0107357021 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/130532 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理學系 zh_TW dc.description (描述) 107357021 zh_TW dc.description.abstract (摘要) 本研究主要針對美國汽車產業，探討其外匯曝險與匯率不確定性、營運與財務避險間的關係。本文採用Ismailov and Rossi (2018) 的作法，利用匯率預測數據與實際數據間的差異程度計算出歐元、日圓及韓圜的匯率不確定性指標。同時，也利用了Hoberg and Moon (2017) 由美國公司財報內容搜尋每間公司的營運及財務避險指標。實證結果顯示在2008年至2017年的資料期間，美國企業外匯曝險會受到匯率不確定性的影響，且營運避險與財務避險可以有效降低企業的匯率曝險。其中，福特和通用雖然都有持續進行財務避險，但後者採用營運避險的年度相對較少故其日圓曝險較為顯著，特斯拉則因為沒有持續進行財務避險使營運避險變得相對重要，在歐元區沒有進行營運避險時對其股價報酬會有顯著負面的影響。 zh_TW dc.description.abstract (摘要) This study examines how foreign exchange exposure of US automobile companies are linked to exchange rate uncertainty, operating and financial hedging policies. Following Ismailov and Rossi (2018), I construct exchange rate uncertainty index for Euro, Japanese Yen, and Korean Won using the variation between actual and forecasted exchange rates. I also use FX hedging and corporate’s offshore activities data provided by Hoberg and Moon (2017) to examine each firm’s operating and financial hedging policy. Over the period of 2008 to 2017, I find evidence that corporate’s exchange rate exposure is affected by exchange rate uncertainty. Moreover, results show that operating hedging and financial hedging are effective for US automobile companies. I find that though financial hedging was adopted by both Ford and GM, GM still faced significant exposure to changes of Japanese Yen because less operating hedging was conducted. Tesla, which didn’t conduct financial hedging for every year, faced significant exposure to Euro without operating hedging in Eurozone. en_US dc.description.tableofcontents 第一章、緒論 1第二章、文獻探討 3第三章、樣本資料說明 6第一節、營運避險與財務避險 6第二節、股價報酬率 7第三節、匯率及匯率不確定性指標資料 7第四節、市佔率資料 8第四章、研究方法 13第五章、實證結果 17第一節、匯率報酬率與汽車產業股價報酬率的關係 17第二節、匯率不確定性對於外匯曝險之影響 25第三節、匯率不確定性與同業競爭關係對外匯曝險的影響 27第四節、匯率不確定性、營運與財務避險對外匯曝險的影響 33第六章、結論 37第一節、研究結論 37第二節、研究限制與未來研究建議 38參考文獻 39附錄：穩健性測試 41 zh_TW dc.format.extent 1448482 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0107357021 en_US dc.subject (關鍵詞) 外匯曝險 zh_TW dc.subject (關鍵詞) 匯率不確定性 zh_TW dc.subject (關鍵詞) 營運避險 zh_TW dc.subject (關鍵詞) 財務避險 zh_TW dc.title (題名) 匯率不確定性、營運與財務避險對企業外匯曝險的影響：以美國汽車產業為例 zh_TW dc.title (題名) The impact of exchange rate uncertainty, operating and financial hedging on corporate’s foreign currency exposure: evidence from US automobile industry en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 一、中文資料李明嫣，2010。「跨國公司財務與營運避險策略對其外匯曝險及公司價值之影響」，朝陽科技大學財務金融系。秦偉馨，2012。「外匯曝險與競爭之研究：以半導體產業為例」，中興大學財務金融學系。黃鈺庭，2016。「台灣企業面臨不同的外匯曝險值時使用衍生性金融商品動機之研究」，高雄大學金融管理學系。二、英文資料Bartram, Söhnke M., Gegory W. Brown, and Bernadette A. Minton, 2010. Resolving the Exposure Puzzle: the Many Facets of exchange rate exposure, Journal of Financial Economics, Volume 95, Issue 2, Pages 148-173.Barumwete, Lyna Alami and Feiyi Rao. Exchange Rate Risk in Automobile Industry : An Empirical Study on Swedish, French, and German Multinational Companies, Umeå University, Faculty of Social Sciences, Umeå School of Business.Beckmann, Joscha and Robert Czudaj, 2017. The Impact of Uncertainty on Professional Exchange Rate Forecasts, Journal of International Money and Finance, Volume73, PartB, Pages 296-316.Haushalter, G. David, Randall A. Heron and Erik Lie, 2002. Price Uncertainty and Corporate Value, Journal of Corporate Finance, Volume 8, Issue 3, Pages 271-286.Hoberg, Gerard, and S. Katie Moon, 2017. Offshore Activities and Financial vs Operational Hedging, Journal of Financial Economics, Volume 125, Issue 2, Pages 217-244.Holthausen, D., 1979. Hedging and the Competitive Firm under Price Uncertainty. The American Economic Review, 69(5), 989-995.Ismailov, Adilzhan and Barbara Rossi, 2018. Uncertainty and Deviations from Uncovered Interest Rate Parity, Journal of International Money and Finance, Volume 88, Pages 242-259.Jorion, Philippe, 1991. The Pricing of Exchange Rate Risk in the Stock Market, The Journal of Financial and Quantitative Analysis, Volume 26, Issue 3, Pages 363-376.Mayers, David and Clifford W. Smith, Jr., 1982. On the Corporate Demand for Insurance, The Journal of Business, Volume 55, Issue 2, Pages 281-296Meese, Richard A. and Kenneth Rogoff, 1983. Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?, Journal of International Economics, Volume 14, Issues 1–2, Pages 3-24.Rossi, Barbara, 2013. Exchange Rate Predictability, Journal of Economic Literature, Volume 51, Issue 4, Pages 1063-1119.Servaes, H., Tamayo, A. and Tufano, P., 2009. The Theory and Practice of Corporate Risk Management. Journal of Applied Corporate Finance, Issue 21, Pages 60-78.Shapiro, A. and Titman, S., 1998. An Integrated Approach to Corporate Risk Management, in Stern, J. and Chew, D.H. (Eds), The Revolution in Corporate Finance, 3rd ed., Blackwell, Oxford.Williamson, Rohan, 2001. Exchange Rate Exposure and Competition: Evidence from the Automotive Industry, Journal of Financial Economics, Volume 59, Issue 3,Pages 441-475. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202000628 en_US
