台灣企業美元外匯避險策略之探討

Abstract

本研究分別從進口商及出口商的立場，引用台灣企業使用最頻繁的避險工具—遠期外匯契約來探討外匯避險策略，以美元兌新台幣匯率為實證樣本作情境模擬分析，同時採用五種避險策略：不避險、完全避險、50%比率避險、選擇性避險、移動平均成本避險，在30天、60天、90天、180天的避險期間下，觀察外匯避險策略對進口商購匯支出及出口商售匯收入與風險之影響。 實證結果顯示，不論站在進口商或出口商進行外匯避險的角度，考量交易風險產生之損益，採用選擇性避險策略可以降低平均購匯支出及提高平均售匯收入，避險效果較佳；從降低風險面考量，採用50%避險策略能降低避險後購匯支出或售匯收入之變異數，避險績效最佳。企業採用不同之外匯避險策略，可以影響外匯損益與風險，而且避險期間愈長，避險效果越顯著。

We stand in importer and exporter’s point of view to investigate the efficiency of currency hedging strategies. This study simulates hedging results by using the USD/NTD forward contracts, which most enterprises used in Taiwan for hedging foreign exchange risk. The strategies are- full hedge, 50% proportional hedge, selective hedge, and moving average hedge under the period of 30 , 60 , 90 , and 180 days. We compare these strategies with un-hedged strategy and analyze the amounts of importer’s paying, exporter’s receiving, and exchange risk. The empirical results show that, from the perspective of profit and loss, selective hedging strategy generally performs better than others for reducing average paying amount of importer and raising average receiving amount of exporter. But from the perspective of risk, 50% hedging strategy reduces hedged variance of foreign exchange paying or receiving and gets the best performance. Different currency hedging strategies can be implemented according to how much return and risk enterprises are willing to take. Longer hedging periods lead to more significant hedging effects.