央行公開市場操作對利率變動影響與公司避險效果分析

• Main Authors: 李卿企, Lee ,Chin Chi
• Language: 中文
• Published: 國立政治大學
• Subjects: 公開市場操作; 流動性效果; 利率變動; 公司避險; Open Marekt Operation; Liquidity effect; interest rate; hedge performance
• Online Access: http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0893525051%22.

本研究分為兩大部份，第一部份為探討利率的變動，主要研究央行每日公開市場操作對利率的影響，此部份包含了兩篇文章，分別為「以門檻自我迴歸模型(TAR，Threshold auto-regression model，Tong(1983)，Tsay(1989))估計央行公開市場操作對利率的影響」及「以Multiple Criteria Selection Model (Maddala,1983)估計央行公開市場操作對利率的影響」，研究樣本為日資料。在第一篇文章利用門檻自我迴歸模型估計用以區分央行動態性或防禦性公開市場操作的指標 的門檻值，利用估計出的 推論央行進行動態性或防禦性操作。第二篇文章利用第一篇文章所估計出的 將樣本區分為央行進行防禦性操作或動態性操作的樣本，並同時考慮央行是否進行公開市場操作反應函數及央行一旦決定進行公開市場操作後其要採取防禦性或動態性公開市場操作的反應函數，以Multiple Criteria Selection Model估計，同時本文更進一步考慮央行對於公開市場操作態度改變對此影響效果的影響，實證結果發現在央行總裁表示將更積極公開市場操作後，即2003年3月14日之後，發現當央行進行動態性公開市場操作可以有效的改變市場利率，而當央行進行防禦性操作則可以有效的沖銷準備金市償的干擾因子，降低市場利率的波動。 本論文第二部份為分析衍生性金融產品避險對公司價值的影響，比較與檢定有避險公司與無避險公司其公司價值差異，並討論公司以衍生性金融商品避險的動機，同時也比較當公司決定避險後，選擇大範圍避險與小範圍避險對公司價值是否也有影響。研究的對象為台灣上市公司中的529家公司，結果發現出口比率與公司規模是公司選擇避險重要的考慮因素，同時發現避險公司的Tobin’s Q、ROA、ROE與PMS皆大於無避險公司。 === There are two issues we concern in this paper. The first one is to investigate the daily effect of open market operation on short-term interest rate. The second one is to analysis the effect of hedging with derivatives by the firms on the firm’s value. About the first issue, the net issue of central bank’s certificates of deposit (CD) is functioned as the open market operation instrument. At beginning, employing a simple linear regression model, the benchmark model in our paper, the counter-intuitive evidence that issuance of DC decreases the short-term interest rate is found. To solve this puzzle, first, we define an index of open market operation to disentangle the effect of the defensive operation from the dynamic operation and use TAR model to estimate the value of . Next, we apply the Multiple Criteria Selection Model (MCSM) to solve the problems of selection bias and to estimate the two decision functions and the effects of daily open market operations. At last, we also consider the change of central bank’s attitude toward the open market operations. We separate the sample by the date (13-April-2003) of the speech of the governor of CBC, Fai-Nan Perng. We find that after 13-April-2003, the issuance of CD increase the short-term interest rate under dynamic O.M.O. and the coefficient is significantly different from zero, which means the daily liquidity effect exists. About the second issue, we compare and test the firm’s value difference between the firms hedging with derivatives and the firms without hedging. We also try to find the determinants of firm’s hedging. Our sample is the 529 firms listed in TSEC (Taiwan stock exchange corp.).