| Summary: | 博士 === 中原大學 === 商學博士學位學程 === 99 === This dissertation contains three essays related to exchange rate exposure to proceed:
(1) The impacts of macroeconomic and oil price surprises on exchange rate: A consideration of cross effects and business cycle.
(2) Do firm characteristics matter for firm value?－A consideration of exchange rate exposure.
(3) Exchange Rate Exposure: Linear or Nonlinear Model?
The first essay examines the relationship between macroeconomic news, oil price and exchange rate. Different from previous studies, we highlight the joint impacts of these two variables on NTD/USD. Empirical results show that oil price has the strongest effect on exchange rate, though the sign is contrary to expected result. This reveals the importance of oil price and incompleteness in foreign exchange market. Furthermore, the cross term of bad news about consumer price index and high oil price generates the greatest depreciation effect of NTD. However, the interaction term of good news about money supply and low oil price procure the largest appreciation effect of NTD. Finally, there is a notable difference for NTD/USD reaction to macroeconomic news between expansion and contraction period.
The second essay links up exchange rate exposure, firm characteristic and exchange rate regimes together, less investigated in previous studies. Empirical results reveal that about 43% of Taiwanese sample firms have significant exposure at contemporaneous period. Lagged effects of exchange rate exposure can persist for four periods. Moreover, the size effect and book-to-market ratio effect exist in group with positive exposure during the appreciation and depreciation periods of NTD. However, the reverse size and book-to-market ratio effect occur in group with negative exposure. Finally, there exists nonlinear relationship between firm value and exchange rate to some extent. Both events of SARS disease and global financial crisis affect firm value negatively.
The third essay analyzes the relationship between stock returns and changes in exchange rate in Taiwanese firms by using linear and nonlinear models. Then, we utilize cross section regression to investigate how firm characteristics affect exchange rate exposure. Empirical results exhibit that in linear models, current and lagged effects of exchange rate exposure exist synchronously. Moreover, most firms’ stock returns display nonlinear adjustment; namely, stock returns exhibit nonlinear adjustment as exchange rate within different regimes. This may explain the reason why many prior studies used linear way tend to get lowly significant ratio of exchange rate exposure. Finally, the effects of foreign sale ratio and debt ratio on exchange rate exposure are contrary to expectation. The former may be attributed to the fact that the situation with stable exchange rate and low foreign sale ratio can mitigate exchange rate exposure. The latter may be the result of the intervention of the government in developing country.
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