外匯風險避險策略之研究

Abstract

匯率的變動對公司財務狀況的影響，一直扮演著重要的角色，故應妥適的設計與執 行匯率的避險策略，才能有效規避匯率變動對企業經營之衝擊。 本研究以台灣、歐元地區國家、日本及中國大陸及之出口商為觀點，利用遠期匯率 契約，設計了包括「無風險」、「選擇性」與「完全不避險」等三種不同的避險策略， 且利用平均數-變異數、期望利得信賴極限、吉尼係數及擴充式吉尼係數等四種法則， 針對上述三種不同的避險策略做評估，期能篩選出最佳的避險策略，作為出口商選擇避 險策略之參考。本研究的實證結果顯示在大部分評估法則下，歐元、人民幣與第二期台 幣，無論其遠匯契約期別為何，結果大多顯示選擇性避險及完全避險策略較佳。第一期 台幣的外匯避險策略，在期望利得信賴極限法則下，當λ值為0.1時，可判別出完全不 避險策略與完全避險策略較佳，其餘當λ值為0.5以上時，則與其他評估法則下一樣無 法判別策略之優劣。日幣由於之選擇性避險策略與完全不避險策略相同，故大多無法判 斷策略之優劣。

The purpose of this study is to evaluate three foreign exchange hedging strategies for exporters in Taiwan, European countries, Japan and China. Three possible hedging strategies, including “unhedged strategy”, “selective strategy” and “hedged strategy”, are considered in this study. Four evaluation criteria, including Mean-Variance (MV), Expected Gain Confidence Limit (EGCL) rule, Geometrical Mean (GM) rule, Mean-Gini Coefficient (MG) and Extended Mean-Gini Coefficient (EMG) , are applied to evaluate different foreign exchange hedging strategies in this study. The conclusions are summarized below: The results to the distribution of forward-rate adjusted returns for three strategies for every horizon show that the selective strategy and hedged strategy dominate the unhedged strategy for Euro、Renminbi and 2ed period New Taiwanese dollar. Furthermore, in the 1st period the results applying EGCL rule show that hedged strategy and unhedged strategy dominate the selective strategy if the variable-λ is o.1. If λis higher than 0.5, no strategy dominates nor is dominated by another strategy. Finally, the results of selective strategy and unhedged strategy for Japanese yen are the same.