本研究即在於探討在匯率波動性大,避險成本高,廠商毛利微薄的情況,使用遠期外匯為避險工具時, 是否有某些操作策略的結果,有可能會優於其他的避險策略,以使出口廠商提高淨利。考量避險理論、 風險產生時點、 風險部位金額、風險期間, 設計出四種避險策略,以虛擬情境方式,從近五年的美元對台幣匯率的歷史資料, 近五年海關三旬匯率, 近五年的台幣與美元各月30天、 60天、 90天避險成本,去推算四種避險策略每一日之避險效果,累計五年結果及各策略結果每一年變化越小越好,來驗證各策略表現,以確認何種策略為較佳策略。
;For Taiwan’s economic growth in recent twenty years, the electronic exporter played a very important role. Foreign exchange risk has a great influence to revenues of the electronic exporter. The volatility of foreign exchange rate results in the increasing or decreasing of an enterprise’s currency assets. Most of the exporter in Taiwan always use US dollar as a calculate currency. Thus, the risk management in NT & Dollars is tremendously important.
Most of enterprises use forward contract as a hedging tool. However, due to the following three reasons, enterprises hesitate about hedging in recent years. It is often heard that CFO resign because of a enormous loss of foreign exchange.
(1)International Hot Money flees hither and thither. The affluence of Hot Money results in the currency appreciation and an effluence results a depreciation. Although to forecast a currency value, based on economic situation, is not exactly correct, it can still justify itself. Nowadays, due to a shortly affluence or effluence of Hot Money, volatility of exchange rate is much more huge than before. Financial officers often sold at the worst price. Hedging action even loss much more.
(2)An expanding interest gap between Dollars and NT result in that hedging cost grows than ever. That is because the hedging cost is calculated by two currency’s interest gap. In recent three years, FED raise interest rate for couple times. In contrast, Taiwan Central Bank is too cautious about raising interest rate. It results to that the interest gap expanded to about 3.6%.
(3) Due to the intense competition between enterprises, gross margin decreased from about 20% to 5-10% in recent years. The earning corroded by hedging cost was a great impact to enterprises.
This result is to treat that when using forward contract to hedge, under the situation of high volatility of exchange rate and hedging cost but low gross margin, if there is a better strategy to raise net profit. Four hedging strategy is designed based on hedging theory, risk arise timing, position of risk amount, and period of risk. By virtual simulation, daily results of the four hedging strategy is gained from the following conditions: (i) the exchange rate of Dollars and NT in recent five years. (ii) Customs regulation exchange rate in recent five years. (iii) Monthly hedging cost of exchange of Dollars and NT at 30 days forward, 60 days forward and 90 days forward, in recent five years. The better strategy is verified by the results of the five years data.
After verification, this research suggests that, when forward contract of exchange as a sole hedging tool, strategy D is the best one (on shipping date, 1/3 risk position sold by 90 days forward contract, another 1/3 risk position sold by 60 days forward contract after 30 days, the last 1/3 risk position sold by 30 days forward contract after 60 days ).