國立高雄大學圖資館 |

是熱錢效應還是外匯暴險？台灣產業外匯暴險及其決定因子之研究 = Hot Money or Exchange Rate Exposure？The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan

Record Type:	Language materials, printed : monographic
Paralel Title:	Hot Money or Exchange Rate Exposure？The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan
Author:	劉家和,
Secondary Intellectual Responsibility:	國立高雄大學
Place of Publication:	[高雄市]
Published:	撰者;
Year of Publication:	2012[民101]
Description:	76面圖，表格 : 30公分;
Subject:	外匯暴險
Subject:	foreign exchange rate exposure
Online resource:	http://handle.ncl.edu.tw/11296/ndltd/16954034686204734863
Notes:	參考書目：面44-47
Notes:	103年12月16日公開
[NT 15001349]:	是熱錢效應還是外匯暴險?台灣產業外匯暴險及其決定因子之研究
[NT 15001349]:	是熱錢效應還是外匯暴險台灣產業外匯暴險及其決定因子之研究
[NT 15001349]:	Hot Money or Exchange Rate Exposure?The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan
Summary:	本篇文章使用2001至2010年台灣不同產業的指數資料，估計這些產業於不同資料頻率下的外匯暴險，並加入熱錢效應對於外匯暴險的影響。發現若僅以產業股價報酬與匯率變動率來估計時，全部產業的外匯暴險值都是顯著的; 而當加入市場系統性風險當作控制變數，顯著程度則會大幅下降，表示股價報酬受到匯率變動的影響並非全部來自外匯暴險。而進而加入外資買賣超因子後，更發現本國幣價值的變動對於股價報酬的正向影響，很可能是由於外資湧入台灣股市的熱錢效應所造成的股匯市齊揚的現象。此外，本文亦得到資產頻率愈長則外匯暴險值會愈顯著，表示外匯暴險中經濟暴險的影響層面較不容易規避。本文的實證結果更進一步顯示除了電子業以外，所有產業的股匯市相關較傾向於熱錢的效應而非外匯暴險。所以本研究續以電子業的個別公司資料去探討外匯暴險的決定因子，結果發現公司的出口比率與規模占有顯著的影響，當公司出口比率越高或是公司規模愈大則其外匯暴險越大，代表公司的出口比率越大，則愈容易具有外匯暴險，而公司規模越小，基於避險概念愈可能去積極管理公司所承受的外匯暴險。 This paper analyzes the foreign exchange rate exposure for nineteen industries in Taiwan during the period of January 2001 to December 2010. We not only usedifferent data horizon to estimate exchange rate exposure, but also consider the “Hot Money” factor. First, after controlling the “hot money” factor, we find that the significance of exchange rate exposure decreased. that is, the exchange rate exposure might be affected by the flow of short-term capital. Second, as the data horizon became longer, the industries’ significance ratio of exchange rate exposure is increased. Third, we also find the hot money effect is greater than exchange rate exposure in most of the industries except the electronic industry. Fourth, we use the electronic individual companies to estimate their exchange rate exposure and find that the exposure is greater if the export rate is higher or the scale of company is bigger

是熱錢效應還是外匯暴險？台灣產業外匯暴險及其決定因子之研究 = Hot Money or Exchange Rate Exposure？The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan
劉, 家和

是熱錢效應還是外匯暴險？台灣產業外匯暴險及其決定因子之研究 = Hot Money or Exchange Rate Exposure？The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan / 劉家和撰 - [高雄市] : 撰者, 2012[民101]. - 76面 ; 圖，表格 ; 30公分.
參考書目：面44-47103年12月16日公開.
外匯暴險foreign exchange rate exposure

是熱錢效應還是外匯暴險？台灣產業外匯暴險及其決定因子之研究 = Hot Money or Exchange Rate Exposure？The Analysis of Foreign Exchange Rate Exposure and its Determinants in Taiwan
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