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題名：現金流量風險值之估計
書刊名：管理與系統
作者：潘聖潔／黃永昇／吳博欽 引用關係
作者(外文)：Pan, Sheng-chieh／Huang, Yong-sheng／Wu, Po-chin
出版日期：2011
卷期：18:1
頁次：頁35-70
主題關鍵詞：現金流量風險值；平滑轉換自我迴歸；外生平滑轉換自我迴歸；蒙地卡羅模擬；Cash flow at risk；STAR；STAR X；Monte Carlo simulation
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本文分別建立線性的AR與多元迴歸模型，以及非線性的STAR與STARX等四種模型，以求得公司的最適現金流量預測模型，並透過蒙地卡羅模擬估計公司的CFaR，以期更精確地評估公司營運的風險衝擊。研究對象爲台灣50指數中，上市長達十年以上的21家非金融公司，研究期間爲1996年第4季至2007年第3季。實證結果顯示，無論就時間序列或多元迴歸模型而言，絕大多數公司的現金流量變化爲一非線性過程，且與景氣領先指標綜合指數、消費者物價指數、新台幣兌美元匯率與一銀三個月期定期存款利率等總體經濟變數落後期間存在非線性關係。在樣本內估計結果上，STAR模型與STARX模型較線性的AR模型與多元迴歸模型皆提供較佳的配適度；惟樣本外預測結果則顯示，超過70%的樣本公司適合採用線性模型估計CFaR。
This paper first sets up linear AR and multiple regression, nonlinear STAR and STARX models to find out the optimal cash flow forecasting model, then utilizes Monte Carlo simulation to evaluate company's CFaR. The sample objects are 21 non-financial component companies in TSEC Taiwan 50 index. Sample period spans from the 1996. 4Q to 2007. 3Q. Empirical result shows that for time series or multiple regression models almost all companies’ cash flow are fitted by nonlinear process and the relationship between cash flow and macroeconomic variables (Composite Leading Index, Consumer Price Index, TWD/USD Exchange Rate, and 3-month Deposit Rate) is also nonlinear. STAR and STARX models provide better goodness of fit than linear models. But for over 70% companies are suitable to adopt linear model to forecast their CFaRs.
期刊論文
1.吳博欽、申志偉、潘聖潔(20090300)。匯率的非線性調整、套利與經濟價值可預測性。人文及社會科學集刊，21(1)，101-142。new window  延伸查詢new window
2.Andrén, N.、Jankensgård, H.、Oxelheim, L.。Exposure-based Cash-Flow-at-Risk: An Alternative to VaR for Industrial Companies。Journal of Applied Corporate Finance，17(3)，76-86。  new window
3.Brooks, C.(1997)。Linear and Nonlinear Forecastability of High-Frequency Exchange Rates。Journal of Forecasting，16(2)，125-145。  new window
4.Dacco, R.、Satchell, S.(1999)。Why do Regime Switching Models Forecast so Badly?。Journal of Forecasting，18(1)，1-16。  new window
5.Engle, C.、Hamilton, J. D.(1990)。Long Swings in the Dollar: Are They in the Data and Markets Know It?。The American Economic Review，80(4)，689-713。  new window
6.Ku, A.(2001)。Value at risk: Variations on a Theme。Global Energy Business，12-19。  new window
7.Largay, A.、Stickney, P.(1985)。Pitfalls in Calculating Cash Flow from Operations。The Accounting Review，60(2)，314-328。  new window
8.Linsmeier, Thomas J.、Pearson, Neil D.(2000)。Value at Risk。Financial Analysis Journal，56(2)，47-67。  new window
9.Michael, P.、Nobay, A. R.、Peel, D. A.(1997)。Transactions Costs and Nonlinear Adjustment in Real Exchange Rate: An Empirical Investigation。Journal of Political Economy，105(4)，862-879。  new window
10.Öcal, N.、Osborn, D. R.(2000)。Business Cycles Non-linearities in UK Consumption and Production。Journal of Applied Econometrics，15(1)，27-43。  new window
11.Shimko, D.(1998)。Cash before Value。Risk，11(7)，45。  new window
12.Skalin, J.、Teräsvirta, T.(1999)。Another Look at Swedish Business Cycles, 1861-1988。Journal of Applied Econometrics，14(4)，359-378。  new window
13.Stein, J. C.、Usher, S. E.、LaGattuta, D.、Youngen, J.(2001)。A Comparables Approach to Measuring Cash Flow at Risk for Non-financial Firms。Journal of Applied Corporate Finance，13(4)，100-109。  new window
14.Teräsvirta, T.、van Dijk, D.、Medeiros, M. C.(2005)。Linear Models, Smooth Transition8 Autoregressions, and Neural Networks for Forecasting Macroeconomic Time Series: A Re-examination。International Journal of Forecasting，21(4)，755-774。  new window
15.Turner, C.(1996)。VaR as an Industrial Tool。Risk，9(3)，38-40。  new window
16.Brooks, Christopher(1996)。Testing for Non-linearity in Daily Sterling Exchange Rates。Applied Financial Economics，6(4)，307-317。  new window
17.Chen, S. L.、Wu, J. L.(2000)。A Re-examination of Purchasing Power Parity in Japan and Taiwan。Journal of Macroeconomics，22(2)，271-284。  new window
18.Stulz, René M.(1996)。Rethinking Risk Management。Journal of Applied Corporate Finance，9(3)，8-25。  new window
19.Meese, Richard A.、Rogoff, Kenneth S.(1983)。Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?。Journal of International Economics，14(1/2)，3-24。  new window
20.Lin, Chien-Fu Jeff、Teräsvirta, Timo(1994)。Testing the Constancy of Regression Parameters against Continuous Structural Change。Journal of Econometrics，62(2)，211-228。  new window
21.Chow, Gregory C.(1960)。Tests of Equality Between Sets of Coefficients in Two Linear Regressions。Econometrica，28(3)，531-534。  new window
22.Teräsvirta, Timo(1994)。Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models。Journal of the American Statistical Association，89(425)，208-218。  new window
23.Teräsvirta, T.、Anderson, H. M.(1992)。Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models。Journal of Applied Econometrics，7(2)，119-136。  new window
24.McMillan, D. G.(2001)。Nonlinear predictability of stock market returns: evidence form nonparametric and threshold models。International Reviews of Economics and Finance，10，353-368。  new window
25.Sarantis, Nicholas(1999)。Modeling Non-linearities in Real Effective Exchange Rates。Journal of International Money and Finance，18(1)，27-45。  new window
26.Sarno, L.、Taylor, M. P.、Peel, D. A.(2003)。Nonlinear equilibrium correction in U.S. real money balances, 1869-1997。Journal of Money, Credit, and Banking，35(5)，787-799。  new window
27.Lehn, Kenneth、Poulsen, Annette(1989)。Free Cash Flow and Stockholder Gains in Going Private Transactions。The Journal of Finance，44(3)，771-787。  new window
28.Jensen, Michael C.(1986)。Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers。The American Economic Review，76(2)，323-329。  new window
學位論文
1.岑宜潔(2006)。現金流量風險值之研究(碩士論文)。朝陽科技大學。  延伸查詢new window
2.許弘杰(2005)。企業評價模式與財務危機公司之投資風險預警(碩士論文)。國立中山大學。  延伸查詢new window
3.陳宏裕(2005)。估計現金流量風險值之比較模型-台灣資料實證(碩士論文)。國立成功大學。  延伸查詢new window
4.黃珮純(2007)。總體因素與現金流量風險值 —台灣半導體產業之實證分析(碩士論文)。中原大學。  延伸查詢new window
圖書
1.Hayt, G.、Song, S.(1997)。Handle with Sensitivity, VAR: Understanding and Applying Value-at-Risk。London：Risk Publications。  new window
2.Lecocq, D.(2003)。Cash Flow at Risk Models: Principle, Application and a Case Study。The Institute of Actuaries in Australia Biennial Convention。  new window
3.Morgan , J. P.(1994)。RiskMetrics-Technical Document。New York：J. P. Morgan Bank。  new window
4.Morgan , J. P.(1999)。Corporate Metrics Technical Document。New York：Risk Metrics Group。  new window
5.Jorion, P.(2001)。Value at Risk: The New Benchmark for Managing Financial Risk。McGraw-Hill。  new window
 
 
 
 
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