淡江大學機構典藏:Item 987654321/23709
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    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/23709


    Title: 匯率不確定性與臺灣出口導向企業盈餘之動態關係研究
    Other Titles: The Dynamic Relationships between Exchange Rate Volatility and Corporate Earnings of Taiwan's Exporting Industries
    Authors: 聶建中;林正寶;鄭志宏
    Contributors: 淡江大學財務金融學系
    Keywords: 匯率不確定性;企業盈餘;共整;因果關係;衝擊反應函數 Exchange rate volatility;Corporate earnings;Cointegration;Granger causality;Impulse response
    Date: 2001-01
    Issue Date: 2013-04-17 11:21:13 (UTC+8)
    Publisher: 臺北市：中華民國證券暨期貨市場發展基金會
    Abstract: 本文探討台灣出口企業之盈餘與匯率之不確定性間的動態關係。理論模型推導發現：在資本的邊際生產收益是產品價格之嚴格凸函數以及折現率足夠大的條件下，匯率波動性與企業盈餘有正向關係存在。本文實證運用GARCH模型衡量匯率不確定性，更進一步以時間序列多項方法，探討兩者變數間之互動，研究結果：由共整關係，發現匯率波動與企業盈餘存在長期均衡關係；由誤差修正模型發現所有產業均僅受自身前期盈餘影響，唯有電子及出口比例在50%以上之企業盈餘會受匯率波動影響；因果關係測試發現，除電子產業外，匯率波動對企業盈餘不存在領先效果；(4)由衝擊反應函數分析可知，匯率波動僅對紡織業之盈餘具有持續性的衝擊，而對其它產業的衝擊均屬短期。
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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