| Summary: | 碩士 === 東海大學 === 財務金融學系碩士在職專班 === 102 === Foreign exchange swap (FX swap) is one of the most adequate financial instrument in foreign exchange management for exporting companies that have the demand for New Taiwan (NT) dollars. Thus, this research investigates the best strategy of FX swap for foreign exchange management. We also analyze whether FX swap is helpful to achieve a better realized price in exchanging foreign exchange and lower the exchange rate risk for businesses.
This study proposes three FX-swap strategies that use the moving average spot exchange rates, forward exchange rates, and specified spot exchange rates as signals for operating FX swap, respectively, and compares performances of these strategies. Based on empirical evidences, the strategy using specified spot exchange rates as signals for operating FX swap not only leads to a higher average exchange price, but also results in smaller exchange rate volatility. It indicates that adopting this stretagy helps businesses to increase the non-operating revenue, enhance financial performances, and lower exchange rate risk. Among various specified spot exchange rates, strategies using 29.5 and 30.5 NT/USD as trigger prices are found to perform relatively well in raising average exchange price and reducing exchange rate risk. It also reflects the foreign exchange rate policy deploied by Central Bank of Taiwan.
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