企業在向銀行借貸時，可以藉由選擇固定式利率來減少利率風險的威脅，因為在短期它會受到較小的利率波動，讓企業的資產負債表較穩定。過去的研究中，較少討論此議題，而大多以衍生性金融商品來當作企業主要的風險管理手段。而以台灣的資料來分析此議題更是少之又少。
　　本文將以普羅比模型（Probit model）作為研究方法，研究銀行特性，企業特性和貸款特性如何影響借貸時固定式利率的機率。本文還將驗證企業在規模較小，財務上較受到限制的企業會增加使用固定式利率以規避利率風險；此外，若企業能夠與銀行保持持續的往來關係，將讓企業減少使用固定式利率借貸，因此銀行往來關係的強度對企業風險管理是很重要的；最後我們將以三階段迴歸法考量此模型的內生性，並再加以探討考慮內生性問題後，是否還能得到與原本模型相同之結論。

Firms can manage interest rate shock by using fixed-rate loan when they borrow money from banks, because fixed-rate loans face less interest rate fluctuations in the short-term, and make firms’ balance-sheet more stable. There’s no so many studies about this issue, most of them discuss about financial derivatives as the main risk manage method. And it’s even lesser when the data is from Taiwan.
This paper will construct a simple Probit model to study how the characteristics of bank, firm and loan effect the probability of the choice of fixed-rate loan. We will also prove that small and credit-constrained firms are found to match often with fixed rate to avoid interest rate risk. Besides, if firms can maintain a strong lending relationship with banks, they will reduce using fixed-rate loans, so lending relationship is a very important issue for firms’ interest rate risk management. Finally, we will consider endogenous problem using three-stage regression, to examine that after we consider the endogenous problem, whether can we have the same conclusion.

英文

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