匯率風險與管理策略研究-以個案公司為例; Exchange Rate Risk Management Strategy-A Case Study

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題名:	匯率風險與管理策略研究-以個案公司為例;Exchange Rate Risk Management Strategy-A Case Study
作者:	張小萍;Chang,Hsiao- Ping
貢獻者:	財務金融學系在職專班
關鍵詞:	換算風險;經濟風險;交易風險;translation exposure;economic exposure;transaction exposure
日期:	2013-06-27
上傳時間:	2013-07-10 12:01:47 (UTC+8)
出版者:	國立中央大學
摘要:	台灣經濟為典型的出口導向型國家，企業面臨了很大的匯率風險。本文研究目的係藉由個案探討方式，探討台灣多國籍企業面臨之匯率風險種類、避險工具、成本、匯率風險規避方法。本研究結果顯示： 1.避險工具交易成本：當外匯交易合約到期時之新台幣即期匯率較合約交割匯率升值時，以執行預售遠期外匯之交易成本最低；當新台幣匯率走貶時，則以即期交易之交易成本最低。 2.換算風險規避：個案公司之換算風險無法透過執行遠期外匯契約避險法及資產負債表避險法來規避，僅能透過資金管理避險法降低換算風險。 3.經濟風險規避：經濟風險的規避往往涉及非流動性之安排(例如：生產基地的移動)，影響長遠且執行後更改的可能性低，因此一般公司採取的可行性較低。個案公司執行的方法為縮小以美元計價之銷貨收入與銷貨成本的差額、改善生產製程以提升生產效率及增加美元借款以達到規避經濟風險之目的。 4.交易風險規避：個案公司採調整報價策略、交叉避險、調整資產與負債的幣別及分散資產或負債的幣別等來降低交易風險。以個案公司為例，若新台幣呈升值、貶值走勢或先升後貶的情形下，不論是執行遠期外匯或者買入新台幣買權美元賣權避險效果，均較不避險效果好。 Taiwan is an export-oriented economy and thus firms have foreign exchange rate exposures. By a case study, this dissertation examines the exchange risks, exchange risk management tools and costs of this specific multinational firm in Taiwan. This study has four findings. First, if the local currency (in this case, NTD) appreciates at the expiration date of the forward contract, the trading cost of the forward contract is the lowest one. However, if the local currency depreciates at the expiration of the forward contract, no hedge has the lowest trading cost. Second, in this case study, the translation exposure cannot be hedged by the forward contract or balance-sheet method. Rather, the risk is mitigated by the capital management. Third, hedging economic exposure usually involves in the rearrangement of tangible assets (for example, re-locate the manufacturing cite). Such method is inflexible and thus is less likely to be immediately and widely used by firms. To mitigate the economic exposure, the case company reduces the difference between sales revenue and sales costs in U.S. dollars, improves the production process, and increases USD-nominated loans. Finally, the case company adopts several strategies to mitigate the exchange rate exposure, and simulation results show that hedging through exercising forward contract or using call/put options can effectively mitigate the foreign exchange risks.
顯示於類別:	[財務金融學系碩士在職專班] 博碩士論文

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