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系統識別號 U0026-2111201520414300
論文名稱(中文) 衍生金融工具、利率風險曝露水準與公司績效之分量迴歸分析-以美國壽險公司為例
論文名稱(英文) Quantile Regression Analysis of Derivatives, Interest Rate Risk Exposure and Performance: Evidence from the U.S. Life Insurance Industry
校院名稱 成功大學
系所名稱(中) 企業管理學系
系所名稱(英) Department of Business Administration
學年度 104
學期 1
出版年 104
研究生(中文) 劉憓諠
研究生(英文) Hui-Hsuan Liu
學號 R48971012
學位類別 博士
語文別 中文
論文頁數 54頁
口試委員 共同指導教授-許永明
指導教授-劉宗其
口試委員-張詔基
口試委員-周百隆
口試委員-余祖慰
口試委員-利菊秀
中文關鍵字 衍生金融工具  利率風險曝露水準  公司績效  分量迴歸 
英文關鍵字 Derivatives  Interest rate risk exposure  Performance  Quantile regression 
學科別分類
中文摘要 壽險公司普遍使用衍生金融工具來管理公司的利率風險曝露水準,然從過去研究結果發現,使用衍生金融工具後的管理效果並不一致,最小平方迴歸估計忽略使用衍生金融工具及各特徵屬性對利率風險曝露水準分配的差異。本研究乃以分量迴歸法,旨在探討不同利率風險曝露程度下的壽險公司使用衍生金融工具對其風險曝露及績效水準的影響。研究期間為2000-2009年。
實證結果發現以最小平方迴歸模型估計相較於使用分量迴歸法,對於衍生金融工具的使用及公司特徵等變數有高估或低估的情形。另外,利用分量迴歸法所建立的績效水準模型中,使用衍生金融工具及公司特徵對於不同績效水準分量亦具有顯著差異。在實證方面,本文改進以最小平方迴歸模型對兩尾端利率風險曝露及公司績效水準高估或低估問題;實務應用方面,隨著監理機關對衍生金融工具使用要求的增加,以及壽險公司對高利率風險曝露水準的需求,分量迴歸模型可提升尾分量估計的精確度,可作為另一種利率風險曝露水準評估及公司績效管理的方法。
英文摘要 Interest rate derivatives are used by life insurers as a means of adjusting their exposure to interest rate risk. However, prior evidence on the effects of derivative usage by firms on their exposure to risk remains inconclusive. The ordinary least square regression cannot signify the variation caused by different quantile functions of a conditional distribution. This paper is based on the 26 American life insurance firms during the period of 2000-2009. We use the quantile regression and empirically investigate the effects of derivatives use on interest rate risk exposure and performance of life insurance firms. Specifically, we examine whether life insurers’ observed risk exposure varies with the level of derivatives, and whether their performance varies with the level of derivatives use.
Empirical results reveal that the distributions of some variables, such as interest rate derivatives use, leverage, firm size, mismatch of asset and liabilities, reserve, and reinsurance are different between the two models. These differences are easily underestimated or overestimated when applying ordinary least square regression. Also, this study estimates the performance level by quantile regression, the results show that the significant positive effects between the derivatives use and their company's performance.
Based on these results, the implications and practical suggestions for the quantile regression estimates is more accurately than ordinary least square regression on two-tailed distribution. For appraisal applications, the derivatives regulations has emphasized by insurance intermediaries; meanwhile, life insurance firms use derivatives to pursue high level of observed risk exposure. The quantile regression advances the estimate on two-tailed distribution, and provides a new reevaluation method for interest rate risk exposure and performance.
論文目次 第一章、緒論 --------------------------------------------1
一、研究動機 --------------------------------------------1
二、研究目的 --------------------------------------------3
三、研究架構與流程 ---------------------------------------4
第二章、文獻探討------------------------------------------6
一、衍生性金融工具相關法規---------------------------------6
二、避險動機四、衍生金融工具對公司績效的影響-----------------7
三、衍生金融工具對利率風險曝露水準的影響--------------------8
四、衍生金融工具對公司績效的影響--------------------------10
第三章、研究設計----------------------------------------12
一、研究樣本--------------------------------------------12
二、研究方法--------------------------------------------16
(一)、分量迴歸------------------------------------------16
(二)、利率風險曝露水準之衡量------------------------------17
(三)、衍生金融工具使用量之衡量----------------------------17
(四)、公司績效之衡量-------------------------------------18
三、變數之定義------------------------------------------19
(一)、利率風險曝露水準迴歸式之控制變數---------------------19
(二)、公司績效迴歸式之控制變數----------------------------22
四、內生性檢定------------------------------------------24
第四章、實證分析研究結果---------------------------------25
一、敘述統計 -------------------------------------------25
二、實證結果 -------------------------------------------28
(一)、是否使用衍生金融工具與利率風險曝露水準之實證----------28
(二)、衍生性金融商品使用量與利率風險曝露水準之實證結果-------32
(三)、衍生金融工具的使用量與公司績效的實證結果--------------35
第五章、穩健性測試---------------------------------------39
一、以有使用避險性衍生金融工具公司之衍生金融商品使用量與利率風險曝露水準的關係------------------------------------------39
二、以高風險曝露公司之衍生性金融工具使用量與利率風險曝露水準之影響關係-------------------------------------------------39
三、調整後的股東權益報酬率為公司績效的替代變數--------------40
四、不同內生性檢定方法之再測試----------------------------40
第六章、結論與建議---------------------------------------45
第七章、參考文獻-----------------------------------------47
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