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    题名: 新冠肺炎疫情下新台幣對美金遠期外匯的避險策略
    Hedging strategies using NTD/USD forward contracts during the COVID-19 pandemic period
    作者: 涂蕙蘭
    Tu, Huei-Lan
    贡献者: 張元晨
    涂蕙蘭
    Tu, Huei-Lan
    关键词: 避險策略
    外匯風險
    遠期外匯
    Hedging strategy
    Foreign exchange risk
    Forwards
    日期: 2022
    上传时间: 2022-08-01 17:35:04 (UTC+8)
    摘要: 台灣的「對外貿易依存度」長期保持在相當高的水準,顯示台灣與全球經濟的高度連結,然而匯率的波動卻容易對進出口商的績效造成影響。在新冠肺炎發生後,全球經濟遭受嚴重衝擊。因此,面對經營環境重大變化,進出口商應思考如何擬定有效外匯避險策略,管理外匯風險。

    本研究模擬台灣進出口商在2017年1月到2021年10月間9種外匯避險策略的成效,固定避險比例,包括完全不避險、25%避險、50%避險、75%避險及100%避險,與經星期效應調整後固定避險比例,包含完全不避險,25%避險,50%避險及75%避險等策略,運用新台幣對美金即期外匯與30天、60天、90天及120天遠期外匯,計算平均每日現金流量、標準差與變異係數,探討新冠肺炎疫情發生前後,進出口商的最佳外匯避險策略,研究結果顯示:

    若將固定避險比例與經星期效應調整後固定避險比例視為同一類型避險策略,對進口商與出口商而言,在新冠肺炎疫情發生前(2017/1/3至2019/12/31),均以避險比例25%(30天遠期外匯),及避險比例50%(60天、90天和120天遠期外匯)避險策略為最佳;而疫情發生後(2020/1/2至2021/10/29),皆以避險比例25%(30天和60天遠期外匯),及避險比例0%(90天和120天遠期外匯)避險策略為最佳。最佳避險策略確實在疫情前後有所改變。

    依星期效應(星期一新台幣兌美元較弱勢,星期四新台幣兌美元較強勢)對固定避險比例做出避險比例調整後,其避險績效並未明顯較無星期效應避險比例調整的固定避險比例為佳。
    Taiwan`s Degree of Foreign Trade Dependence has been at high level for a long time which indicates that Taiwan is highly connected to global economy. However, fluctuations of NTD/USD exchange rate will affect import and export companies` operation. After COVID-19 broke out, global economy has been badly damaged. Hence, confronting the material change in economic environment, import and export companies should consider how to set up effective hedging strategies to manage foreign exchange risk.

    This study simulates import and export companies hedging effectiveness during January 2017 to October 2021 using 9 different hedging ratios, fixed hedge ratios (0%, 25%, 50%, 75% and 100% hedge) and day-of-the week effect adjusted fixed hedge ratios (0%, 25%, 50%, and 75% hedge). Using New Taiwan Dollar against US Dollar spot and forwards (30-day, 60-day, 90-day and 120-day) contracts, I calculate average daily cashflow, standard deviation and coefficient of variation of different hedging strategies and evaluate hedging effectiveness before and after COVID-19 broke out for import and export companies in Taiwan. Results show that

    Regarding fixed hedge ratio with or without adjusting day-of-the week effect for both import and export companies, I find that before COVID-19 broke out (2017/1/3 to 2019/12/31), 25% hedge ratio (30-day forwards) and 50% hedge ratio (60-day, 90-day and 120-day forwards) are more effective; after COVID-19 broke out (2020/1/2 to 2021/10/29), 25% hedge ratio (30-day and 60-day forwards) and 0% hedge ratio (90-day and 120-day forwards) are better. The effective hedge strategies are different before and after COVID-19 broke out.

    Previous literature shows that NTD against USD tends to be weaker on Monday and NTD against USD tends to be stronger on Thursday. However, results show that hedge effectiveness are similar with or without adjusting for the day-of-the-week effect.
    參考文獻: 中央銀行全球資訊網,https://www.cbc.gov.tw/tw/sp-news-list-1.html。

    行政院主計總處,中華民國統計資料網,https://www.stat.gov.tw。

    經濟部中小企業處,中小企業白皮書,https://www.moeasmea.gov.tw/。

    經濟部國際貿易局,中華民國進出貿易統計,https://cuswebo.trade.gov.tw。

    衛生福利部疾病管制署,https://www.cdc.gov.tw。

    王彥能(2022),“探討新台幣兌美金匯率之季節性異常效應”,國立政治大學大學經營管理學程未出版之碩士論文。

    吳翰卿(2006),“外匯遠期匯率避險策略之績效評估”,國立高雄第一科技大學風險管理與保險系未出版之碩士論文。

    林育菁(2009),“企業匯率避險策略之研究”,東吳大學國際經營與貿易學系在職專班未出版之碩士論文。

    洪冠文(2012),“外匯策略風險研究:以個案電子公司為例”,國立台北大學學企業管理學系碩士在職專班未出版之碩士論文。

    洪國興(2010),“不同外匯避險部位、策略、工具及期間之避險效果”,國立中央大學財務金融研究所未出版之碩士論文。

    陳佳足(2015),“台灣非金融業上市櫃企業匯率避險調查研究–衍生性金融商品的運用、規範和最佳實務”,國立中興大學高階經理人在職專班研究所未出版之碩士論文。

    陳純姿(2015),“企業使用遠期外匯避險之有效性”,逢甲大學金融碩士在職專班未出版之碩士論文。

    陳國良(2011),“面對重大事件時之企業匯率避險研究:從台灣進出口企業的立場出發”,國立中興大學高階經理人碩士在職專班未出版之碩士論文。

    陳國裕(2006),“台灣企業外匯風險之研究”,國立中央大學財務金融學系碩士在職專班未出版之碩士論文。

    謝美玉(2002),“企業的匯率風險管理與策略”,國立中山大學管理學院國際高階經營碩士專班未出版之碩士論文。

    蔡哲聖(2012),“外匯避險效益之衡量以美元兌台幣為例”,國立交通大學管理學院財務金融學程未出版之碩士論文。

    鍾凱至(2015),“多元外匯避險策略之績效分析-案例探討”,國立台灣大學經濟學研究所未出版之碩士論文。

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    描述: 碩士
    國立政治大學
    經營管理碩士學程(EMBA)
    107932114
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0107932114
    数据类型: thesis
    DOI: 10.6814/NCCU202201071
    显示于类别:[經營管理碩士學程EMBA] 學位論文

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