本文主要利用多項式遞延分配模型捕捉半導體業現金流量受外匯波動的影響，分析非預期的營業利益與匯率波動之間的關係。選用樣本期間2003年到2012年10年的季資料進行實證分析，發現台灣半導體產業現金流量受長期匯率變動的影響，而受美元、日圓及歐元等三種幣別與新台幣之匯率變動的顯著影響公司之比例超過50%，表示外匯的波動高度影響到台灣半導體產業實質的經營結果及企業營運活動的現金流量。另外，曝險程度與企業規模大小則無明顯關係。平均曝險反應係數，美元與歐元呈現正向效果，顯示當台幣對美元及歐元貶值時，企業現金流量會增加，而日圓則呈現負向反應。短期的平均曝險反應係數大於長期的平均曝險反應係數。;This thesis studies the effect of exchange rate changes on the cash flows of companies in the semiconductor industry, using the polynomial distributed lag model. Using the quarterly data from the period of 2003-2012, we find the evidence of the long-term effect of foreign exchange rate changes on the cash flows of the semiconductor industry in Taiwan. For exchange rate exposure of USD, JPY and EUR, there are more than 50% of companies with significant foreign exchange exposure. The results show that the net income and operating cash flow for the semiconductor industry in Taiwan are highly affected by the fluctuation of foreign exchange rates. Nonetheless, the exposure level has no significant relationship with company size. The coefficients signaling the average exposure reaction also provide evidence that cash flow increases when NTD (new Taiwan dollar) depreciates against USD and EUR, in contrast to decreasing cash flows when NTD appreciates against JPY. In addition, the short-term foreign exchange exposures are higher than long-term exposures.
