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| 研究生： |
黃慧怡 |
|---|---|
| 論文名稱： |
Exchange-rate exposure : evidence from the electronic firms in Taiwan |
| 指導教授： | 朱美麗 |
| 學位類別： |
碩士
Master |
| 系所名稱： |
社會科學學院 - 經濟學系 Department of Economics |
| 論文出版年： | 2004 |
| 畢業學年度： | 92 |
| 語文別： | 英文 |
| 論文頁數： | 40 |
| 中文關鍵詞： | 匯率暴露風險 |
| 外文關鍵詞： | Exchange-rate exposure |
| 相關次數： | 點閱：86 下載：48 |
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The purpose of this study is to investigate the exchange-rate exposure of the electronic firms in Taiwan. Particularly, we consider the potential correlations between the market returns and the changes in exchange rates, which are two important variables when we examine the exchange-rate exposure, and try to examine the exchange-rate exposure via nonlinear model. In contrast to previous results which used U.S. data; however, the movements of the value of the electronic firms in Taiwan, as reflected in the stock returns, seem highly sensitive to changes in the exchange rates. Examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against US dollar, the ratio of long-term debt has significant effects, but the sign is not consistent with the hypothesis. Besides, further examining the effects of possible determinants on the exchange-rate exposure measured as NT dollars against Japan Yen, we found there are only showing weak evidence for the influence of the possible determinants.
1. Introduction 1
2. A review of literature on exchange-rate exposure 2
3. Exchange-rate exposure of individual firms 6
3.1. Corresponding model of the exchange-rate exposure 6
A. The basic regression of exchange-rate exposure 6
B. The lagged response hypothesis 7
C. Nonlinear exposure 8
3.2. Data descriptions and empirical results 10
Ⅰ. Data descriptions 10
Ⅱ. Empirical results 14
A. Results of the basic regression 14
B. Results of the lagged response hypothesis 15
C. Results of nonlinear exposure 17
4. Determinants of the exchange-rate exposure 19
4.1. Hypotheses and corresponding models 19
Ⅰ. Exports-to-sales ratio 19
Ⅱ. Incentives to hedge 20
Ⅲ. Corresponding model for determinants of the exchange- rate 23
exposure
4.2. Data descriptions and empirical results 24
Ⅰ. Data descriptions 24
Ⅱ. Empirical results 24
5. Conclusions 28
Reference 30
Appendix 32
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Xie, S. F. (2002), Master-Thesis (In Chinese)