The impact on the domestic banks' performance to exchange rate risk and the management of exchange-rate risk

• Main Authors: Mei-Wen Wang, 王美文
• Other Authors: Hsin-Hong Kang
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/95893012078351542508

碩士 === 國立成功大學 === 企業管理學系碩博士班 === 92 === 　　The main purpose of this study is to explore (1) the sensitivity of the domestic banks' performance to exchange rate risk (2) the sensitivity of the domestic banks' performance to the management of exchange- rate risk (3) the decisive factors have the significance of influence on the management of exchange- rate risk. 　　This study is with monthly data of Jan.1996 to Dec.2003，econometrics methods are adopted . The empirical results are indicated as follows： 　　1. (The model with the stock returns/ net operating income as the banks’ performance): The empirical results reveal the domestic banks in the samples have significant negative exposure in the NTD/USD and NTD/YEN exchange rate；Contrariwise，have significant positive exposure in NTD/EUR。(The model with profit on exchange-net): only has the significant positive exposure in NTD/USD exchange rate。 　　2. (The model with the stock returns/ net operating income): the management of exchange- rate risk has a positive contribution to the banks’ performance in USD and YEN currencies, but a negative contribution in EUR currency 。(The model with profit on exchange-net): the management of exchange- rate risk has a negative contribution to the banks’ performance in USD currency；as for the results can’t been estimated in YEN and EUR currencies。 　　3. The banks subordinate to the holding company、with the higher volume of foreign- currency transactions、negotiation 、foreign-currency deposits ，with Offshore Banking Unit which have stronger motives to execute the management of exchange- rate risk；Contrariwise , BIS has the significant negative influence on the management of exchange- rate risk。