換匯交易 (FX swap) 是具有新台幣資金需求的出口廠商進行外匯管理最適當的工具之一。因此，本研究探討以換匯交易做為外匯管理工具之最適操作策略，並進一步分析透過換匯交易進行外匯管理，是否有助於出口廠商獲得較佳之換匯價格、降低匯率風險，以期在匯率波動無法準確預測走勢之時，為企業擬定及規劃具體有效的外匯管理策略，進而提升企業的財務操作績效。 本文提出三種換匯交易策略，分別是以移動平均匯率、遠期匯率及特定匯率作為操作訊號之換匯策略，並比較此三種策略之操作績效。研究結果顯示，以即期匯率是否觸及特定匯價做為操作訊號之換匯策略，不但可以獲得較佳之平均兌換價格，其換匯價格之標準差亦較消極匯率管理策略小，顯示應用此策略不僅有助於增加企業營業外收入、提高財務操作績效，亦可降低企業的換匯風險。此外，本研究亦發現，以觸及特定匯價-美元匯率29.5元及30.5元，做為操作訊號之換匯策略，不論在提高平均兌換價格以及降低匯兌風險的效果上，均優於其他策略，此亦可由央行對外匯匯率的管理態度看出端倪。 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.
