論文題目：台灣銀行業外匯暴險及其影響因子之研究 校(院)所組別：國立中央大學管理學院財務管理研究所 研究生：程嘉瑩 指導教授：何中達 博士 總頁數：51 論文摘要內容： 我國自民國七十六年外匯市場日漸自由化與國際化後，使得企業面臨更多外匯上的不確定性，同時也出現了許多研究我國企業的外匯暴險的研究。然而對於銀行業外匯暴險的研究則較少。因此本文嘗試以系統性的方式對我國上市上櫃銀行業的外匯暴險程度加以衡量，並進一步找出可能影響銀行外匯暴險程度的因子。 本研究以兩種不同的匯率指標來衡量近年來銀行的外匯暴險程度。一是新台幣有效匯率指數，另一是新台幣兌美元的雙邊匯率。研究顯示，當以新台幣有效匯率指數衡量時，有75%的銀行具有顯著的外匯暴險；而以新台幣兌美元雙邊匯率衡量時，則有21.88%的銀行具有顯著的外匯暴險。在暴險方向上，都是正向，表示當新台幣升值時，銀行價值會較高。 在個別銀行影響外匯暴險的因子研究方面，有使用外幣衍生性金融商品的銀行其暴險程度會較低，為負向關係；而由於外匯存款在新台幣貶值時有增加的趨勢，因此與銀行外匯暴險是呈反向的關係。 Abstract Since 1987, the foreign exchange market of Taiwan has been freer and more international, and this makes the companies in Taiwan face more foreign exchange exposure. There are many studies about foreign exchange exposures faced by Taiwanese companies; however, few studies are about the exposure faced by banks in Taiwan. In order to get more understandings of foreign exchange exposures by banks in Taiwan, we conduct a systematic study to estimate the degrees of exposures and the determinants of the exposures. This study uses two different kinds of foreign exchange variables, one is foreign exchange index, and another is USD-NTD bilateral exchange rate. Both of them are nominal rates. When measured by foreign exchange index, there are about 75% of banks have significant foreign exchange exposures, while this is about 21.88% of banks when measured by bilateral rate. And exposures are all positive, this means when New Taiwan Dollars appreciate, the value of banks increase. For determinants, we found that foreign exchange derivatives will help to decrease the exposures. And the foreign deposits tend to increase as NT depreciates, thus it has negative relation with foreign exchange exposure of banks in Taiwan.
