An Analysis for the Impacts of the Exchange Rates Uncertainty on the Corporate Earnings：Evidence from Taiwan
學年 90
學期 1
發表日期 2001-11-23
作品名稱 An Analysis for the Impacts of the Exchange Rates Uncertainty on the Corporate Earnings：Evidence from Taiwan
作品名稱（其他語言）
著者 Nieh, Chien-Chung;Lin, Jeng-Bau
作品所屬單位 淡江大學財務金融學系
出版者
會議名稱 2001現代財務論壇學術研討會=2001 Conference of Contemporary Issues of Finance
會議地點 臺中, 臺灣
摘要 This paper analyzes theoretically and empirically the impacts of theexchange rates uncertainty (EXU) on the Taiwan's exporting corporateearnings. The theoretical model shows that there is a positiverelationship between this uncertainty and the earnings given that themarginal revenue product of capital is the strictly convex function ofdomestic output prices and that the discount rate is large enough. Inthis paper, EXU is extracted by applying the GARCH modeling. Theempirical results are summarized in that: (1) From the cointegrationtest and the VECM, there exist long-run equilibrium relationshipsbetween EXU and the earnings among the industries of food, glass,electricity, paper, rubber and steel. (2) The Granger causality testsshow that only one-way causal relationships are found for all theearnings of four industries considered (chemistry, electron, plastic,and textile) to be significantly preceded by EXU, whereas no causalrelation exists in the opposite direction. (3) The time-varyingrelationships from Markov switching model show that, with theexception of the textile industry, EXU shows strong influences on theearnings of all the industries, which is consistent with the findingsof previous causal tests. The positive impacts of EXU on the earningsof most industries also support the findings of the OLS estimation.
關鍵字 不確定性;匯率;公司盈餘;共整合;Granger因果關係;馬可夫轉換模型;Uncertainty;Exchange Rate;Corporate Earnings;Cointegration;Granger Causality;Markov Switching Model
語言 en
收錄於
會議性質 國內
校內研討會地點
研討會時間 20011123~20011123
通訊作者
國別 TWN
公開徵稿 Y
出版型式 紙本
出處 2001現代財務論壇學術研討會論文集=Proceedings of 2001 Conference of Contemporary Issues of Finance，26頁
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