Currency Risk Facing Taiwan's Financial Institutions

[[abstract]]臺灣金融機構的短期外匯風險（通常為明顯且立即的）受到金融監理機構嚴格的規範，然而對於長期外匯風險（通常是潛在且間接的）則未在要求之列，這可能是因為傳統的資本市場法尚未檢測出長期外匯曝險之存在。本文採現金流量法來分析金融機構的長、短期外匯風險，結果發現金融機構對於貿易加權匯率指數之外匯曝險呈顯著者達61.54%，此比率超過傳統資本市場法平均不到四成的顯著比例。無論是由平均最適落後期數或長、短期顯著比例的比較，本文研究結果均指出長期外匯風險的確是存在著。此外，在外匯風險值影響方向性的結果上，本文實證顯示出美元（臺灣最大出口國貨幣）以及日圓（臺灣最大進口國貨幣）的兩組貨幣對立效果。為求結論的穩健性，本文進一步納入利率因素來衡量非預期的匯率變動，並再次評估其對金融業現金流量的衝擊，結果同樣證實長期外匯風險的存在性。這些結果意謂著不僅金融監理當局應將長期外匯曝險納入風險管理之規範，金融機構更應正視因匯率風險所延伸之訂價因子對銀行價值之衝擊。[[abstract]]Regulators only require banks to manage their short-term exchange rate risk. A possible reason is that the prevailing capital-market methodology fails to identify the long-term currency exposure. Using operating incomes generated by banks, this paper investigates the impact of fluctuating foreign exchange rates on the values of Taiwanese banking institutions, and decomposes the overall currency exposure into short-term and long-term components. We not only overcome the deficiency of prior studies that have limited success in detecting significant currency exposure, but also measure the magnitude of economic exposure that banks are faced with. In contrast to the capital market approach, the cash flow approach finds that 61.54% of the sample firms have a significant currency exposure, which is more than the percentage documented by prior research. Our results also show that the existence of significant long-term exchange rate risk is prevalent among banking institutions in Taiwan. Furthermore, the US dollar (the currency of a nation which is Taiwan's largest export market) has an opposite effect as opposed to the Japanese Yen (the currency of a nation which is Taiwan's largest source of imports). Our results have policy implications that banking institutions should manage long-term currency exposure