外匯風險管理向來為企業所重視之課題，尤其是經濟成長高度仰賴進出口貿易的台灣，國際經濟情勢的風吹草動都攸關著匯率變動，因此建立一良好適當的外匯風險管理機制，將有助於降低匯率風險對企業的影響，其中核心關鍵當屬避險策略之應用。本文以個案公司採用之「選擇性避險」策略進行探討，其位居該產業之領導地位，成立時間久公司規模大，產品外銷比例高達九成，具備專責之風險管理部門，且長期累積避險操作經驗，有良好的避險成效。透過研究個案公司之避險操作策略，提供企業管理外匯風險之參考。 本研究並以個案公司2010~2018年之外匯交易資料套用完全避險策略、完全不避險策略，與其所採用之選擇性避險策略，配合匯率走勢，探討避險績效優劣。在不論是否考慮交易成本並以累積匯兌損益視整體避險效果時，個案研究結果顯示：一、當美元升貶值幅度相當且期間在一至二年時，採完全避險策略效果最佳。二、當美元升貶值幅度相當且期間持續二年以上時，由於避險成本隨著期間增加，導致選擇性避險策略效果優於完全避險策略。三、匯率劇烈波動時，由於美元屬明顯眨值趨勢，有利完全避險策略；匯率在區間震盪時，因無一確定走勢方向，升貶相互作用影響下，三種策略之避險效果各有優劣。;Foreign exchange risk management has always been a topic of important for companies, especially in Taiwan whose economic growth is heavily reliant on import and export. The global economic situation is closely related to exchange rate changes, and hence a good and suitable risk management mechanism will reduce the effect of foreign exchange risk on the enterprise. The key for an effective mechanism lies in the application of hedging strategy. This study explores and discusses the selective hedging strategy adopted by the case company. The case company is the leader in the industry, of a large scale and has been established for a long period. Up to 90% of the products from the company has been exported and has a specialized risk management department with accumulated years of hedging experience and excellent hedging results. By analyzing the hedging strategy of the case company, the study can provide a reference for an enterprise to manage foreign exchange risk.
This study furthermore uses fully hedging, no hedging and selective hedging strategies on the foreign exchange data from the case company between 2010 and 2018, along with the trend in exchange rate to discuss the hedging performance. The case study result has shown that regardless of whether or not to consider transaction costs, assessing hedging performance based on accumulated exchange gains and losses has on the following conclusions. 1. It is best to adopt a fully hedging strategy when the margin of USD appreciation and depreciation is similar and between one to two years. 2. Due to an increase in hedging cost with time, the selective hedging strategy is excellent than the fully hedging strategy when the margin of USD appreciation and depreciation is similar and continues for more than two years. 3. When the exchange rate shows drastic fluctuation, it is best to adopt fully hedging as USD is clearly depreciating. In addition, when exchange rate oscillates in ranges, each hedging strategy has its pros and cons due to the interaction between appreciation and depreciation as well as the uncertain trend.
