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標題: 美國多國籍企業外匯風險曝露與匯率區間及產業結構關係之研究
The Effect of Exchange Regimes and Industrial Structure on the Exchange Exposure of US Multinationals
作者: 楊聲勇
關鍵字: 應用研究;Multinationals;財政(含金融,保險);多國籍企業;外匯風險暴露;風險管理;企業策略;SWARCH 模型;Foreign Exchange Exposure;Risk Management;Corporate Policies;SWARCH Model
近年來,隨著歐元區形成所帶來的經濟效益,中國大陸的崛起,區域整合下貿易障礙降低的嶄新市場型態,使得美國多國籍企業所面臨的競爭壓力與挑戰更勝以往。在全球化的同時,因匯率變動所導致的公司價值變化,為當前多國籍企業須積極面對管理的課題,如何透過有效的匯率風險控管與營運策略的操作,來降低公司的外匯風險暴露及增加公司的國際競爭力,也成為國際財務管理中重要的一環。檢視過去文獻,多國籍企業外匯風險曝露程度,受顯著影響的公司不如預期的多(如Jorion, 1990; Choi and Prasad, 1995; Chow, Lee, andSolt, 1997; He and Ng, 1998 等);但實務上,從企業策略的角度出發,企業外匯風險曝露會因市場呈現出不同的波動狀態(風險)、匯率升貶值情形、與市場結構與產業競爭的程度而受影響,但文獻對市場結構狀態、全球市場結構與外匯風險暴露的著墨亦相當有限。因此本計劃將藉由不同的方法(SWARCH),劃分不同時點下匯率變動狀態(升、貶值亦或高、低波動狀態),並針對市場結構與產業競爭程度更進一步探究美國多國籍企業實際的外匯風險曝露情形為何。實證結果,將有助於多國及企業的決策的定訂,避險的時機的選擇,進而有助於跨國企業及投資人規避匯率風險所可能帶來的影響。

Exchange rate variability is a major source of macroeconomic uncertainty affecting firms inopen economy. Exchange rate fluctuations affect operating cash flows and firm value through thetransaction, translation, and economic effects of exchange rate exposure. Therefore, it isreasonable to expect a connection between exchange rate changes and firm value. The importanceof exchange rate variability is also evidenced by the growing emphasis on corporations place onexchange risk measurement and management strategies.We develop a model of valuation to examine the exchange risk sensitivity of USmultinational corporations (MNCs). In contrast to previous studies, we focus on how theexchange rate regime, market structure, and industrial competition affect the exposures of MNCsthat involve different degrees of globalization and industrial competition in different exchange rateregimes. More specifically, we will (1) using Markov-switching ARCH model and empiricalinvestigations, separate the exchange rate regimes into appreciation-and-depreciation states andhigh-and-low volatility states to see the different effect of foreign exchange rate exposures on theMNCs; (2) investigate the effect of using different frequency data (daily, weekly, and monthly) onthe significance of the exposure; (3) separate the sample into three groups based on the MNCs』foreign sales and foreign competition to see the effect of different degrees of globalization andindustrial competition on exposures; (4) apply a second-stage cross-section regression to examinethe determinants of exchange exposure of MNCs in different exchange regimes.The empirical results will show the effect of exchange exposures on the MNCs in differentexchange rate regimes and market structure, and provide rich implications for corporate policymaking and risk management.
其他識別: NSC93-2416-H005-027
Appears in Collections:財務金融學系所

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