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題名 央行公開市場操作對利率變動影響與公司避險效果分析
作者 李卿企
Lee ,Chin Chi
貢獻者 沈中華
李卿企
Lee ,Chin Chi
關鍵詞 公開市場操作
流動性效果
利率變動
公司避險
Open Marekt Operation
Liquidity effect
interest rate
hedge performance
日期 2004
上傳時間 14-Sep-2009 09:32:37 (UTC+8)
摘要 本研究分為兩大部份,第一部份為探討利率的變動,主要研究央行每日公開市場操作對利率的影響,此部份包含了兩篇文章,分別為「以門檻自我迴歸模型(TAR,Threshold auto-regression model,Tong(1983),Tsay(1989))估計央行公開市場操作對利率的影響」及「以Multiple Criteria Selection Model (Maddala,1983)估計央行公開市場操作對利率的影響」,研究樣本為日資料。在第一篇文章利用門檻自我迴歸模型估計用以區分央行動態性或防禦性公開市場操作的指標 的門檻值,利用估計出的 推論央行進行動態性或防禦性操作。第二篇文章利用第一篇文章所估計出的 將樣本區分為央行進行防禦性操作或動態性操作的樣本,並同時考慮央行是否進行公開市場操作反應函數及央行一旦決定進行公開市場操作後其要採取防禦性或動態性公開市場操作的反應函數,以Multiple Criteria Selection Model估計,同時本文更進一步考慮央行對於公開市場操作態度改變對此影響效果的影響,實證結果發現在央行總裁表示將更積極公開市場操作後,即2003年3月14日之後,發現當央行進行動態性公開市場操作可以有效的改變市場利率,而當央行進行防禦性操作則可以有效的沖銷準備金市償的干擾因子,降低市場利率的波動。
     本論文第二部份為分析衍生性金融產品避險對公司價值的影響,比較與檢定有避險公司與無避險公司其公司價值差異,並討論公司以衍生性金融商品避險的動機,同時也比較當公司決定避險後,選擇大範圍避險與小範圍避險對公司價值是否也有影響。研究的對象為台灣上市公司中的529家公司,結果發現出口比率與公司規模是公司選擇避險重要的考慮因素,同時發現避險公司的Tobin’s Q、ROA、ROE與PMS皆大於無避險公司。
There are two issues we concern in this paper. The first one is to investigate the daily effect of open market operation on short-term interest rate. The second one is to analysis the effect of hedging with derivatives by the firms on the firm’s value. About the first issue, the net issue of central bank’s certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we define an index of open market operation to disentangle the effect of the defensive operation from the dynamic operation and use TAR model to estimate the value of . Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bank’s attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero, which means the daily liquidity effect exists.
     About the second issue, we compare and test the firm’s value difference between the firms hedging with derivatives and the firms without hedging. We also try to find the determinants of firm’s hedging. Our sample is the 529 firms listed in TSEC (Taiwan stock exchange corp.).
參考文獻 沈中華、陳華倫,民國85年,「貨幣政策指標的建立與貨幣政策反應函數」, 經濟論文,24:4,559-590。
馬黛,民國87年,「公司使用金融工具避險的決定因素」,中國財務學刊,第6卷,49-63。
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黃薏萍,民國89年,「上市公司使用衍生性金融商品避險動機與行為之研究」,國立成功大學國際企業研究碩士論文。
盧婉甄,台灣電子業使用衍生性金融商品避險之研究,國立台灣大學會計研究所碩士論文,2001年6月。
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描述 博士
國立政治大學
金融研究所
89352505
93
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0893525051
資料類型 thesis
dc.contributor.advisor 沈中華zh_TW
dc.contributor.author (Authors) 李卿企zh_TW
dc.contributor.author (Authors) Lee ,Chin Chien_US
dc.creator (作者) 李卿企zh_TW
dc.creator (作者) Lee ,Chin Chien_US
dc.date (日期) 2004en_US
dc.date.accessioned 14-Sep-2009 09:32:37 (UTC+8)-
dc.date.available 14-Sep-2009 09:32:37 (UTC+8)-
dc.date.issued (上傳時間) 14-Sep-2009 09:32:37 (UTC+8)-
dc.identifier (Other Identifiers) G0893525051en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/31212-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 89352505zh_TW
dc.description (描述) 93zh_TW
dc.description.abstract (摘要) 本研究分為兩大部份,第一部份為探討利率的變動,主要研究央行每日公開市場操作對利率的影響,此部份包含了兩篇文章,分別為「以門檻自我迴歸模型(TAR,Threshold auto-regression model,Tong(1983),Tsay(1989))估計央行公開市場操作對利率的影響」及「以Multiple Criteria Selection Model (Maddala,1983)估計央行公開市場操作對利率的影響」,研究樣本為日資料。在第一篇文章利用門檻自我迴歸模型估計用以區分央行動態性或防禦性公開市場操作的指標 的門檻值,利用估計出的 推論央行進行動態性或防禦性操作。第二篇文章利用第一篇文章所估計出的 將樣本區分為央行進行防禦性操作或動態性操作的樣本,並同時考慮央行是否進行公開市場操作反應函數及央行一旦決定進行公開市場操作後其要採取防禦性或動態性公開市場操作的反應函數,以Multiple Criteria Selection Model估計,同時本文更進一步考慮央行對於公開市場操作態度改變對此影響效果的影響,實證結果發現在央行總裁表示將更積極公開市場操作後,即2003年3月14日之後,發現當央行進行動態性公開市場操作可以有效的改變市場利率,而當央行進行防禦性操作則可以有效的沖銷準備金市償的干擾因子,降低市場利率的波動。
     本論文第二部份為分析衍生性金融產品避險對公司價值的影響,比較與檢定有避險公司與無避險公司其公司價值差異,並討論公司以衍生性金融商品避險的動機,同時也比較當公司決定避險後,選擇大範圍避險與小範圍避險對公司價值是否也有影響。研究的對象為台灣上市公司中的529家公司,結果發現出口比率與公司規模是公司選擇避險重要的考慮因素,同時發現避險公司的Tobin’s Q、ROA、ROE與PMS皆大於無避險公司。
zh_TW
dc.description.abstract (摘要) There are two issues we concern in this paper. The first one is to investigate the daily effect of open market operation on short-term interest rate. The second one is to analysis the effect of hedging with derivatives by the firms on the firm’s value. About the first issue, the net issue of central bank’s certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we define an index of open market operation to disentangle the effect of the defensive operation from the dynamic operation and use TAR model to estimate the value of . Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bank’s attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero, which means the daily liquidity effect exists.
     About the second issue, we compare and test the firm’s value difference between the firms hedging with derivatives and the firms without hedging. We also try to find the determinants of firm’s hedging. Our sample is the 529 firms listed in TSEC (Taiwan stock exchange corp.).
en_US
dc.description.tableofcontents 第一章、緒 論 5
     第二章 以門檻迴歸模型(TAR)估計央行公開市場操作對利率的影響
      第一節 前言
      第二節 台灣公開市場操作簡介
      第三節 動態性與防禦性公開市場操作
      第四節 模型建構及實證分析
      第五節 結論
     第三章 以MULTIPLE CRITERIA SELECTION MODEL估計公開市場操作對利率的影響
      第一節 前言
      第二節 央行貨幣政策工具簡介
      第三節 模型及估計方法
      第四節 動態性與防禦性公開市場操作定義
      第五節 實證結果
      第六節 結論
     第四章 以衍生性金融產品避險對公司價值的影響
      第一節 前言
      第二節 公司避險與否的考量因素
      第三節 樣本資料介紹
      第四節 單變數分析法
      第五節 SELECTION MODEL分析法
      第六節 SELECTION MODEL實證結果
      第七節 結論
     第五章 總 結
     參考文獻
zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0893525051en_US
dc.subject (關鍵詞) 公開市場操作zh_TW
dc.subject (關鍵詞) 流動性效果zh_TW
dc.subject (關鍵詞) 利率變動zh_TW
dc.subject (關鍵詞) 公司避險zh_TW
dc.subject (關鍵詞) Open Marekt Operationen_US
dc.subject (關鍵詞) Liquidity effecten_US
dc.subject (關鍵詞) interest rateen_US
dc.subject (關鍵詞) hedge performanceen_US
dc.title (題名) 央行公開市場操作對利率變動影響與公司避險效果分析zh_TW
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) 沈中華、陳華倫,民國85年,「貨幣政策指標的建立與貨幣政策反應函數」, 經濟論文,24:4,559-590。zh_TW
dc.relation.reference (參考文獻) 馬黛,民國87年,「公司使用金融工具避險的決定因素」,中國財務學刊,第6卷,49-63。zh_TW
dc.relation.reference (參考文獻) 洪裕勝、沈宜蒨,民國88年,「上市電子科技公司運用匯率衍生性金融商品之研究」,產業金融,第110期,63-81。zh_TW
dc.relation.reference (參考文獻) 黃薏萍,民國89年,「上市公司使用衍生性金融商品避險動機與行為之研究」,國立成功大學國際企業研究碩士論文。zh_TW
dc.relation.reference (參考文獻) 盧婉甄,台灣電子業使用衍生性金融商品避險之研究,國立台灣大學會計研究所碩士論文,2001年6月。zh_TW
dc.relation.reference (參考文獻) Abowd, J. M., and H. S. Farber, 1982, “Job Queues and the Union Status of Workers”, Industrial and Labor Relations Review, 35(3), 354-367.zh_TW
dc.relation.reference (參考文獻) Abrams, R. F., and Waud, R. N., 1980, “Monetary Policy Reaction Function, Consistent Expectations and Thee Burns Era”, Journal of Money, Credit and Banking, 12(1) February 30-42.zh_TW
dc.relation.reference (參考文獻) Allayannis, G., and Ofek, E., 2001, “Exchange rate exposure, hedging, and the use of foreign currency derivatives.”, Journal of International Money and Finance, 20, 273-296.zh_TW
dc.relation.reference (參考文獻) Allayannis, G, and Weston, J., 2001, “The use of foreign currency derivatives and firm market value.”, Review of Financial Studies, 14, 243-276.zh_TW
dc.relation.reference (參考文獻) Bernanke, Ben S. and Blinder, Alan S., 1992, “The Federal Funds rate and the Channels of Monetary Transmission”, American Economic Review, September, 82(4): 901-21.zh_TW
dc.relation.reference (參考文獻) Bessembinder, H., 1991, “Forward contracts and firm value: Investment incentive and contracting effects.”, Journal of Financial and Quantitative Analysis, 26, 519-523.zh_TW
dc.relation.reference (參考文獻) Brown, G., W., 2001, “Managing foreign exchange risk with derivatives.”, Journal of Financial Economics, 60, 401-448.zh_TW
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