NTEREST RATE DERIVATIVES, RISK EXPOSURE AND PERFORMANCE - 政大學術集成

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5 ì ü í ` î ï ð ` é Partsô , Part A:ñ ; Å ò ó 5 ì õ 7 # ó ì õ 7 ô ó 5 ä 9 þ õ ò ó 5 ; Part B:ñ ; Å ò ó 5 ì õ 7 # ó ì õ 7 ô ó ì ä 9 þ õ ò ó 5 ; Part C:ñ ; Å õ 7 ö ÷ Ä ç ì õ 7 ø ù 5 ú þ > ç ; Part D:ñ ; Å þ õ > ç 5 ä 9 þ õ > ç ; Part E:ñ ; Å æ ç Ö û ü " ý × ö þ ]

(10)

1

Panel A: 45 ! " # $ 1.! " # $ % & ' ( ) * + , , - 3a 2.! " # . / 0 1 2 3 1b 3.! " 4 5 # 6 , + 7 8 , 1c 4.9 : ? $ , - < = & $ % # > ? @ 75% 3d A 37 Panel B:B C D E F G H I J K L M N O P C Q R S 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 D T U V D E 6 5 8 11 11 13 14 15 15 14 2009G W Q X Y Z _ é \ ] L ^ _ ` a b ô c d e f g h i j Y k Q G l m n a Panel C:o p B C U V D E q r e Aegon N. V. 428,112f _{January 2004} ₂₆

Allstate Life Insurance Company of New York 3,503 January 2000

American Equity Investment Life Holding Company 21,312 January 2000

American National Insurance Company 20,150 January 2001

China Life Insurance Company Ltd. ADS 8,375,948 January 2007

Citizens Financial Corporation 147 January 2000

Citizens, Inc. 927 January 2000

FBL Financial Group, Inc. 14,259 January 2000

Genworth Financial, Inc. 108,187 January 2003

Hartford Financial Services Group, Inc. 307,717 January 2000

ING Group N. V. ADS 1,163,643 January 2000

Investors Heritage Capital Corporation 419 January 2004

Kansas City Life Insurance Company 4,176 January 2000

Lincoln National Corporation 177,433 January 2000

Manulife Financial Corporation 195,821 January 2000

MetLife, Inc. 539,314 January 2003

National Western Life Insurance Company 7,519 January 2002

(11)

1

é v ô 2009w x # A y z { é | } ~ ô ' y # w Panel C: e

Phoenix Companies, Inc. 24,582 January 2000

Presidential Life Corporation 3,765 January 2000

Principal Financial Group Inc. 137,759 January 2001

Protective Life Corporation 42,312 January 2000

Prudential Financial, Inc. 480,203 January 2000

Prudential PLC ADS 227,754 January 2000

Sun Life Financial Inc. 66,900 January 2006

Torchmark Corporation 16,024 January 2000

UTG, Inc. 431,519 January 2002

: 1. Aegon N. V.; ING Group N. V. ADS; Prudential PLC ADS # y

¡ é EURO dollarô ( ¢ £ ; Manulife Financial Corporation; Symetra

Financial Corporation ¤ ¥ é CAD dollarô ( £ , ¦ § w ¨ y

2. a. American International Group, Delphi Financial Group Corporate, Yadkin Valley

Financial Corporation$ % # ! " & ' 8 * + # , - ² ³ ; b. Canada Life

Financial Corporation ¤ ´ µ ,¶ 3 2003w 7 10· ¸ The Great-West Life

Assurance Company¹ º ; c. Berkeley Technology Ltd.-ADR » ¼ y ½ ¾ ,

§ , - ¿ À ,Á Â : Berkeley International Capital Corporationé BICCô

and Berkeley VC LLCé BVCô ( : ¯ » ¼ y Ã Ä Å ¼ y Æ Ç , # ! " ½ È

É Ê Ë Ì Í Î ,3 2010w 1 § # $ , - Ï Ð Ñ = Ò Ó ¸ Ô Õ ; d. Ö × Shiué 2011ô | # 9 : ? $ , - < = & $ % # > Ø ( Ù Ú Û Ü ? $ , Ý > Ø @ 75%Þ ß | à " , à " Annuity & Life Reé Holdingsô

Ltd., Scottish Re Group Ltd., Reinsurance Group America Inc. á ; e.

Ó â # ã ,ä " 3 2000–2009w å 3 æ ã ç ¯ # Þ

8 è ,é : Manulife Financial Corporation, ¶ + ,ê ë 3 2003w ì ¿ |

í ° í & º î ï } ð ñ - ò é John Hancockô ,ó Ü ô õ µ # ö ÷ ; f.

Aegon N. V.3 2007–2009w ø å , # 9 : ? $ , - < = & $ % # > ? @ 75%,

(12)

112 ; 109

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1

6

Panel B

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2003

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Panel C

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r Á y E F O P Q R H I y E G

,

L à à H I º J H I O P Q R y K + H I @ A 5 5 Í

2 ,

¨ s t O P Q R y H I Ò ¯ @ A

,

2000

2.09%

é

US$ 4,006 million

ô

,

Ó E

2009

14.43%

é

US$ 27,723 million

ô | L }

Á

1

6

Panel B

B H I O P Q R H I L S Ò ¤

,

2000

E

2001

6

,

H I O P Q R y s t W M Õ / l

,

¿ N H I O N Ó

,

Á

2001

P

5

à ¨ s t å 9 Ó O P Q R y H I

;

2001

¾

,

Q R S R W y s t H I O P Q R

, 2001–2003

H I S Ó

; 2004

E

2005

,

T Ó

2

à ¨ s t H I O P Q R

,

H I j Ó

;

U E

2005

,

~ s t £ å 9 H I ® ¯ O P Q R

; 2007–2008

N ¨ s t H I 2 W ` O P Q R y

; 2008

O P Q R y H I { N ¥ D

31,286

é

US$ million

ô

,

¿ V W é

2009

ô

,

O P Q R y H I X Ø E u

2006

y

,

¦ B { P Y Z

,

2 : P ¸ - \ k Ë + ¹ y P Q R

,

£ ¦ § ` r O P Q R y H I L ] A y . /

3.2

c © ª ^ _ k l ` ³ " ~ n f

,

/ 0 S 7 8 a ) ¦ ¡ Z j k

,

÷ l ) * + , - ¦ n o

,

) * + , - " l 1 g Ã P t u / 0 S 7 8

,

> ? Z ¦ r b ~ c

,

' 1 d e f g ¨ Ó

,

h i 0 5 6 l 1 ) * ( % ' ( / 0 1 2 3 4 " t u

,

¬ j k 5 6 " 7 8 3 4

,

! £ S ) * ( " l 1 ) ¦ Z 6 " Æ # 9 # y ñ ò $ þ 4 á ,% & È d ' ( ) * Õ " x ! ñ ; ñ ò þ " # " $ , % & $ Edgar| 10–Kü í 5 ñ ò ' ü # Å x ! å p æ ç Ö û ü Ñ ü | } ( ] í ) þ 4 á Å # y ñ ò * ù + í } ( ,> å Ü $ , ô y ,- . & $ þ 4 á / # y | 0 k # 9 ñ ò 1 ã 2 $ á ,ï 3 ¿ 4 g 5 6 é survivorship biasô | 9 : ] 7 0 k # 9 ñ ò å p å p æ ç Ö Ý è û ü ,ù ú # ! & ý × [ | < ï 9 ,- í 5 = > | æ ç Ö Ý è û ü } ( ,? / " ï 9 ! [ | ]

(13)

4,006 4,214 10,657 17,475 17,835 25,415 27,863 28,596 31,286 27,723 2.09 2.19 5.55 9.1 9.29 13.23 14.51 14.89 16.34 14.43 0 2 4 6 8 10 12 14 16 18 0 5,000 10,000 15,000 20,000 25,000 30,000 35,000 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

%

(US$ million)

2 2000–2009

l m n o p q r s t u v w x y z

IRRE

_i,t

= f1(IRD

_i,t

, CV1

_,i,t−1

) + e1

_,i,t

,

(1)

RAR

_i,t

= f2(IRD

_i,t

, CV2

_,i,t−1

) + e2

_,i,t

.

(2)

% »

, IRD

` ' ( ) * + , - l 1 { J

,

j K / § ! £ l 1 ' ( ) * + , - © S § ' ( ) * + , - l 1 V © 4 | V

; IRRE

` ' ( / 0 1 2

, RAR

` / 0 } x b " (

, CV

! W q { J

;

e

! ~ I ~ Z

3.2.1

¦ R ) * ( l 1 V " | V

,

Z 1 5 6 ¶ ½ ' ( ) * + , - " P

,

/ 5 6 6 7 Z 8

3.2.2

: : é X Y

: Bali et al., 2007

Shiu and Liu, 2013

ô y K

,

® I M Ç

S Ñ ® ¯

:

8

í ( ) Colquitt and Hoyté 1997ô Ç Sinkey and Carteré 2000ô å p Ñ | , ' Ã 6 ß æ ç Ö Ý è û ü | å p ' ,> ¡ Å ¢ þ Ç £ þ | æ ç Ö Ý è û ü | ð ¤ ù ¥ ,6 7 Ì Ý ¦ ö § ù ¥

(14)

SR

_i,t

= γ0

_,t

+ γ1

_,i,t

IR

_t

+ γ2

_,i,t

R

_m,t

+ e

_i,t

.

(3)

SR

_i,tB ¨ s t

i

N

t

¨ y Ñ z r s

; IR

tB N

t

¨ 6 © ª ¨ «

¬ 9 1 ® ® ¯ 6 / # ¯ U Ò é

six-month LIBOR rate

ô é

Hentschel and Kothari,

2001

ô

;

R

m,t N

t

¨ 6 b c È u 7 y r s ¯

,

: : H I

CRSP

6

NYSE

AMEX

NASDAQ

R b c ( ~ W é

equal-weighted index

ô

,

B b c

r s 6 Â U / W

;

e

i,t @ B n á Ç T O ¦ È > ,

,

? ° ± Ü ! s t Ñ z

r s ¯ y / #

,

ã C Í b c È u 7 y r s ¯ ² ³ G 8

,

? ´ Â 4 Í ® ¯

y / # S ² ³

;

2 M

,

Ç

(3)

y

γ1

iÂ Á ® ¯ B / # L ª µ Û

,

À s t y Ñ z

/ # ¶ ª µ Û

,

Ì § S Ñ À s t y ® ¯

3.2.3

· ¸

Ý y ¹ W é X Y

: Amit and Livant, 1988; Pottier and Sommer, 1999; Browne

et al., 2001

ô

,

return on assets, ROA

ô

,

B Ñ s t

y ~ Ù

,

Õ Ö § ~ Ù º Á s t Ð y {

,

] »

,

¦ §

Browne et al.

é

2001

ô

Elango et al.

é

2008

ô

,

H I Z ¼ g h ¾ y

r s ¯ \ é

risk-adjusted returns

ô

,

B s t y ~ Ù § ~ Ù Ü G À A u v r s ¯ ã G ½ O À A 6 r s ¯ Ù y Ò { S Ñ

3.3

c ¾ ¿ À Á Â Z l d Ã S 5 6 , + ) ¦ " W q { J

,

¬ Ä o ) Å Æ Ç Å Æ { J ª È

,

É x R ´

2

Z

4.

Ê Ë Ì Í ¥ ¦ Î Ï

4.1

c Ð Ñ Ò Ó m ® ] Ô Y 5 6 ~ { J " ¨ Õ U . g U . g U 8 4 I Ö e ³ ² 6 ®

,

¦ r s É x R ´

3

Z ´

3

» " × X Ø ~ P ! Ù Æ \ ] U " Ö e + ³ ²

,

Ú )

221

Û \ ] U

;

3

(15)

2

Ü Ý Þ ß à á â ã ä å æ ç è é ê ë ì í î ï ê ð ñ ò ó ô õ ö ÷ ø ù

1%

ç è ã ú û ü è ð ñ ý þ õ ö è õ ö è î û ü è ç è ! " # $ ç è ! " #

= 1;

% $ ç è ! " #

= 0

ç è ! " # & ù ' ò ç è ! ( ) " # û * + , ( - û ü è . ! " # $ % & - ' ( ) * + ô , û ü è - ú ! . ( / 0 1 . ( 2 ó 3 / & 4 ò 5 $ 6 7 û - ( ' - û ü è ø 8 9 : ó I ( ) û < = ô , ( ) * + ô , û ü è ð ñ > ? - ' @ A B C ä

( ï ê î D ( E ( ï ê é

individual life insurance and annuities

ô F

-G H I J ê î D ( ò K L ü

M N ( O ê î D ( M N ( é

group annuity

ô F - G H I J ê î D ( ò K L ü

P Q O R S 0 î D ( P Q O R S 0 é

guaranteed investment contracts

ô F - G

H I J ê î D ( ò K L ü

% & T U V 8 W 8 W X 8 W % & ò , - é Y Z i ,

,

\ ] % & ^ _ W ` 8 W

,

a ] %

,

b ] % & ^ _ W ` 8 W % & ô

% & T U V 8 W % & 8 W X 8 W % & ò , - é Y Z % ,

,

b @ c C ,

,

\ ] % & ^ _ W ` 8 W % &

,

a d e ] i ,

,

b ] % & ^ _ W ` 8 W ô f O ê ü è f O ê g h i ' - O g j k l m L n f O ê g é

reinsurance assumed

ô ò ü è ç o O p q ä o r s t u v w ç ç o g û ü , ( ) x 9 ð ñ ^ _ y

2008–2009

,

ä ,

1

z {

,

b ]

0

(16)

3

| } ~ é = 22 1 ô ¡ é = 11 2 ô ¢ ¡ é = 109 ô t-£ ¤ ¥ ¦ § ¨ © ª « £ ¤ ¬ ® ¯ ° ± ² ³ ± ´ ³ ¬ ® ¯ ° ± ² ³ ± ´ ³ ¬ ® ¯ ° ± ² ³ ± ´ ³ ¬ p -v al u e µ ¶ Z ³ p -v alue · ¸ ¹ º » ¼ ¯ 0 .06 51 0 .11 75 0 .00 39 1 7.7 11 9 0 .085 1 0.1 52 0 0 .27 05 17 .71 19 0.0 381 0 .0 591 0.0 03 9 6.5 60 8 2 .99 61 ** * 0 .00 31 0.3 20 6 2 .778 9* ** 0. 002 7 ½ ¾ 0 .11 76 0 .38 48 0 .01 16 0.5 89 8 0 .127 3 0.4 26 2 0 .03 42 0 .58 98 0.1 079 0 .3 386 0.0 11 6 0.3 51 8 2 .74 51 ** * 0 .00 25 0.0 65 1 2 .018 3* ** 0. 001 5 ¿ À Á Â Ã Ä 1 .33 28 2 .30 84 0 .00 17 2 1.4 74 5 1 .359 5 2.6 62 5 0 .02 49 21 .47 45 1.3 064 1 .8 928 0.0 01 7 1 8.4 82 1 1 .71 21 ** * 0 .00 29 0.8 55 1 1 .924 8* ** 0. 016 2 Å Æ 0 .63 43 0 .84 11 0 .00 43 1 1.0 75 6 0 .457 9 0.8 44 8 0 .00 43 11 .07 56 0.8 091 0 .7 998 0.0 06 7 6.0 12 4 3 .24 92 ** * 0 .00 52 0.3 79 0 3 .491 6* ** 0. 000 2 Ç È É Ê 0 .82 98 30 .04 01 0 .00 23 7.3 60 3 1 .516 9 2.4 73 7 0 .00 23 7 .36 03 0.1 354 42 .3 054 0.0 05 6 4.6 53 7 1 .99 34 ** * 0 .04 73 1.5 80 6 2 .281 7* ** 0. 011 3 Ë Ì 4 .56 78 8 .21 95 0 .00 89 9.4 38 3 6 .505 4 1.9 13 6 2 .16 34 9 .43 83 2.6 476 11 .1 119 0.0 08 9 6.3 82 5 9 .52 71 ** * 0 .00 00 5.4 84 8 8 .744 4* ** 0. 000 0 Í Î Ï ¯ Ð Ñ Ï 0 .35 55 0 .32 28 0 .00 06 0.8 96 9 0 .462 2 0.3 26 6 0 .00 36 0 .89 69 0.2 459 0 .2 801 0.0 00 6 0.4 35 4 4 .86 04 ** * 0 .00 00 0.3 70 4 4 .332 5* ** 0. 000 0 Ò Ó Î Ï Ô Ð ¯ Ñ Ï 0 .42 34 0 .33 73 0 .00 08 0.9 37 4 0 .446 0 0.3 27 5 0 .00 29 0 .93 74 0.4 010 0 .3 453 0.0 00 8 0.3 87 6 1 .11 51 ** * 0 .12 68 0.3 09 1 1 .937 1* ** 0. 074 3 Õ Ö Ô × Ø Ù Ð Ú ¯ Ñ Ï 0 .66 88 1 .49 91 0 .00 03 8.9 98 7 0 .114 0 1.0 86 6 0 .00 35 8 .99 87 0.8 945 1 .7 895 0.0 00 3 3.9 94 4 2 .30 81 ** * 0 .02 31 0.4 32 1 3 .644 1* ** 0. 000 1 Ø Û Ü Ý Þ ß Ð à È á Ø Û 0 .50 44 0 .85 93 0 .00 61 5.9 79 2 0 .722 6 1.0 85 3 0 .01 87 5 .97 92 0.2 882 0 .4 582 0.0 06 1 1.8 15 5 3 .80 83 ** * 0 .00 00 0.3 28 7 2 .991 3* ** 0. 001 4 Ø Û Ü Ý Þ ß Ð à È á Ü Ý 0 .14 04 0 .49 96 0 .00 44 4.5 49 1 0 .277 9 0.6 82 2 0 .01 60 4 .54 91 0.0 537 0 .1 433 0.0 04 4 1.1 13 1 1 .96 22 ** * 0 .08 54 0.3 79 2 1 .960 8* ** 0. 027 2 â Ô ã ¸ 1 .12 81 3 .19 59 0 .00 43 7.8 51 2 2 .138 8 4.2 98 3 0 .01 24 7 .85 12 0.1 265 0 .1 028 0.0 04 3 3.8 55 1 4 .94 54 ** * 0 .00 00 0.1 09 6 6 .586 3* ** 0. 000 0 · ä Ô å æ 49 .43 02 54 .22 02 − 4 .57 13 14 2.2 75 6 3 9. 795 1 5 1.5 52 6 − 9 .57 26 142 .27 56 5 8.9 486 56 .9 148 − 4.5 71 3 9 8.3 62 8 2 .27 79 ** * 0 .00 34 8.5 48 6 3 .960 1* ** 0. 047 3 Ï ç è É 0 .22 62 0 .41 83 0 .00 00 1.0 00 0 0 .263 6 0.4 40 6 0 .00 00 1 .00 00 0.1 892 0 .3 917 0.0 00 0 1.0 00 0 2 .15 89 ** * 0 .04 47 0.0 00 0 1 .904 9* ** 0. 039 7 é :* * * ê ë ì í 0 .01 î ï ð ñ ò ;* * ê ë ì í 0.0 5 î ï ð ñ ò ;* ê ë ì í 0.1 î ï ð ñ ò ó ô ê õ ö ÷ ø ù ú û ü , ý þ ê 2 ó

(17)

,

112

109 ,

t-

! " # $ é

Wilcoxon signed-rank test

ô

,

%

& ' ( ) * + , - . /

,

0 1 2 3 4 ' ( 5 6 7 8 9 : : <

,

= > ? + @ A 0 B C D

,

E F 0 . / G G H

4

I J " é

Pearson

ô K L M + N O P Q

,

R S T U V W X B C Y Z @ \

,

@

1%

0 B C D E ] ^ K L

,

K L M +

0.486

S

0.398

@ = > ? + _ `

,

5 6 7 8 9 : ? + : <

,

= > a ? + E

10%

0 B C : b K L % c d e a f g ? + ? / h i M

+ é

variance inflation factor, VIF

ô

,

j k a ? +

VIF

l m n

10,

0 1 ? +

o p q r s t u é

Gujarati, 1995

ô G G H n v Y Z w x S T U V W X B C P y z é

endogeneity

ô { |

,

} v Y Z w x ~ ~

,

: ( T U V W X

;

v Y Z ( W X T U V : w x

,

% & z é

Wooldridge, 2013

ô

,

K L ] k @

5,

1 0 1

:

T U V W X B C S Y Z @ \ T U

,

@ z r s

,

t

Galloway et al.

é

1997

ô S

Guay

é

1999

ô

,

f g ? + c

,

¡ ¢ £

¤ ? + o P y j ¥ ¦ § ¨ é

simultaneity bias

ô r s

,

% & ® ¯ ° ±

4.2

c ² ³ ´ µ

4.2.1

¶ · ¸ ¹ º » ¼ ½ ¾ ¿ À Á Â Ã $ Ä I ´

6

o ¹

,

' ( / 0 1 2 3 4 S 7 8 Å Æ ª

Adjusted-

R

2

,

j K `

0.4555

S

0.2908, F

U ·

0.01

" 3 4 ^ ¸ º

,

´ ¹ ~ c x Æ ³ ² d " Ç F f é

overall

statistical goodness of fit

ô È Z Z B ½

:

' ( / 0 1 2 3 4 " Å Æ »

,

!

£ l 1 ' ( ) * + , - ª { J

,

¡ ã ä å

0.05

3 4 ^ ¸ º

;

7 8 Å Æ

»

,

{ J l ! ã ä

,

¬

0.01

3 4 ^ ¸ º Z ? r s ´ ¹

,

l 1 ' ( ) * +

, -

,

´ . / ¯ 5 6 7 8 é

Froot et al., 1993; Nguyen and Faff, 2003;

(18)

4

É Ê Ë Ì Í ~ Î Þ (1 ) (2) (3 ) (4 ) (5 ) (6) (7 ) (8 ) (9) (1 0) (11 ) (12) (1 3) (1 4) (1 (1) – (2) 0 .48 6* ** – (3) 0 .39 8* ** − 0. 21 9** * – (4) 0 .23 6* ** − 0. 24 8** * − 0.4 52 *** – (5) − 0 .16 3* ** − 0. 14 6** * − 0.1 22 *** − 0 .26 8* ** – (6) − 0 .03 5* * − 0. 02 3** * − 0.1 59 *** − 0 .22 4* ** − 0 .20 2** * – (7) 0 .26 9* ** − 0. 22 7** * − 0.2 99 *** − 0 .22 9* ** − 0 .23 9** * − 0.1 88 ** * – (8) 0 .16 1* ** − 0. 17 4** * − 0.1 98 *** − 0 .10 4* ** − 0 .19 1** * − 0.0 49 ** * − 0 .1 84* ** – (9) 0 .17 6* ** − 0. 16 6** * − 0.1 79 *** − 0 .15 9* ** − 0 .03 5** * − 0.0 20 ** * − 0 .0 65* ** − 0 .22 2** * – (10 ) 0 .15 6* ** − 0. 15 9** * − 0.2 36 *** − 0 .10 1* ** − 0 .01 1** * − 0.0 51 ** * − 0 .0 38* ** − 0 .16 5** * − 0.2 83 ** * – (11 ) 0 .21 4* ** − 0. 20 5** * − 0.2 51 *** − 0 .19 6* ** − 0 .11 6** * − 0.1 39 ** * − 0 .1 97* ** − 0 .04 6** * − 0.1 81 ** * − 0.2 11* ** – (12 ) 0 .19 1* ** − 0. 19 7** * − 0.2 19 *** − 0 .18 7* ** − 0 .10 2** * − 0.1 10 ** * − 0 .1 14* ** − 0 .03 8** * − 0.0 21 ** * − 0.1 09* ** − 0 .23 3* ** – (13 ) 0 .22 7* ** − 0. 21 5** * − 0.2 88 *** − 0 .19 1* ** − 0 .21 8** * − 0.1 21 ** * − 0 .0 09* ** − 0 .00 5** * − 0.0 42 ** * − 0.0 29* ** − 0 .42 9* ** − 0. 474 ** * – (14 ) 0 .19 8* − 0. 14 8** * − 0.1 61 *** − 0 .24 9* ** − 0 .18 8** * − 0.0 58 ** * − 0 .1 99* ** − 0 .18 5** * − 0.1 68 ** * − 0.1 67* ** − 0 .39 9* ** − 0. 281 ** * − 0.2 16* ** – (15 ) 0 .20 1* ** − 0. 12 7** * − 0.1 89 *** − 0 .12 3* ** − 0 .14 8** * − 0.0 37 ** * − 0 .1 87* ** − 0 .17 8** * − 0.1 89 ** * − 0.1 48* ** − 0 .19 8* ** − 0. 217 ** * − 0.2 98* ** − 0 .13 7 é :( 1 ) Ï Ð Ñ Ò ð Ó Ô Õ Ö × ; (2) Ï Ð Ø Ù Ú Û ñ ò ;( 3 ) Ü Ý Þ ß ; (4) à á â ã ä å ; (5) æ ç ð ; (6) è é ê ë ;( 7 ) Ü Ý ì í ;( 8 ) î ï ð Ù ò ñ ï ;( 9 ) ò ó î ï ò ñ ï ; (10 ) ô õ ö ÷ ø ù ú ò ñ ï ; (11 ) ø û ü ý þ é ø û ; (12) ø û ü ý þ é ü ý ;( 1 3 ) ö Ù Ð ;( 1 4 ) Ï ö ù ;( 1 5 ) ï ê ** * ê ë ì í 0 .01 î ï ð ñ ò ;* * ê ë ì í 0.0 5 î ï ð ñ ò ;* ê ë ì í 0.1 î ï ð ñ ò ó ô ê õ ö ÷ ø ù ú û ü , ý þ ê 2 ó

(19)

5

~ ! ~ Î Þ ¸ " # $ % ® » & ' ( $ ) * + # $ , + # $ , - . / 0.0432 0.1934 0.0632 0.0976 Û % ® 0 1 2 3 4 0.0002** 0.0000 0.0569** 0.0212 % ® 0 1 2 3 4 { 0.0757*** 0.0062 0.1547** 0.0679 ν1 0.0506** 0.0211 ν2 0.0723* 0.0673 ν3 0.0729** 0.0271 ν4 0.0931* 0.0574 - 5 6 ¨ 0.0039 0.5451 0.0078 0.0104 7 8 2 0.0186 0.1361 ó 9 : ; 0.0002 0.0049 0.0274 0.3673 < = 0.0004** 0.0002 0.0054** 0.0023 w } $ > } 0.0462** 0.0216 0.3925** 0.1456 ÷ ? w } $ $ > } 0.0032* 0.0025 0.0944*** 0.0199 = @ $ ¼ y A B $ > } 0.0084*** 0.0018 0.0310* 0.0167 y z C D 2 E F 9 ø y z 0.0126 0.0199 0.0758* 0.0544 y z C D 2 E F 9 ø C D 0.0256 0.0334 0.1753* 0.1319 ? $ > ® 0.0053** 0.0012 0.0271* 0.0104 % G $ H I 0.0001 0.0002 } ð J : 0.0433 0.0506 AdjustR2 _0.1989 _0.2126 K 1 2 FL { 7.23*** 8.34*** K 1 2 LMM Ó 16.8436 18.2129 é : ***, **N *O P ê ë 1%, 5%Q 10%ú î ï ñ ò ó

(20)

6

R S ~ à Í T 2SLS " # $ ¸ " # $ =% ® » & ' ( $ ¸ " # $ = ) * + # $ U + # $ U - . / 0.0445** 0.0202 0.0107*** 0.0026 Û % ® 0 1 2 3 4 0.0563** 0.0183 0.0142*** 0.0038 - 5 6 ¨ 0.0072* 0.0048 0.0062** 0.0029 7 8 2 −0.0061 0.0073 ó 9 : ; −0.0000 0.0012 0.0000 0.0000 < = 0.0216** 0.0111 0.0014** 0.0007 w } $ > } 0.0429** 0.0186 0.0046** 0.0018 ÷ ? w } $ $ > } 0.0229** 0.0101 0.0039* 0.0015 = @ $ ¼ y A B $ > } 0.0169* 0.0144 0.0004 0.0004 y z C D 2 E F 9 ø y z 0.0683*** 0.0221 0.0078** 0.0033 y z C D 2 E F 9 ø C D 0.0361*** 0.0106 0.0059** 0.0021 ? $ > ® 0.0482*** 0.0147 0.0169*** 0.0049 % G $ H I −0.0001 0.0026 } ð J : 0.0029 0.0029 AdjustR2 0.4555 0.2908 F test 2.40*** 2.16*** No. of Obs. 221 221 é : ***ê ë ì í 0.01î ï ð ñ ò ; **ê ë ì í 0.05î ï ð ñ ò ; *ê ë ì í 0.1î ï ð ñ ò ó

2009

ô n T U w x S T U V W X

,

] k ^ \ L M

,

= ] ^ _ ¤ ` P y a b f g c

:

T U w x v Y Z

,

] ^ y c d e f W X n K ] ^ T U V c f g

,

g h

Shiu

é

2010

ô j k

:

w x Y Z

,

W X ^ i j y k é

solvency

ô @ l m ? + _ `

,

n o

:

p q r s t Y Z u v t C w t x y z t { _ S | } ] U # ? +

,

S T U V W X B C @ \

,

* ] k ^ \ ` 0 L M

(21)

7

~ ~ à Í T 2SLS " # $ ¸ " # $ =% ® » & ' ( $ ¸ " # $ = ) * + # $ U + # $ U - . / 0.0577** 0.0282 0.0151*** 0.0044 % ® 0 1 2 3 4 { 0.0644** 0.0298 0.0183*** 0.0057 - 5 6 ¨ 0.0282** 0.0135 0.0158** 0.0065 7 8 2 −0.0075 0.0096 ó 9 : ; −0.0000 0.0024 0.0000 0.0000 < = 0.0331** 0.0145 0.0026** 0.0010 w } $ > } 0.0541** 0.0234 0.0055** 0.0022 ÷ ? w } $ $ > } 0.0338** 0.0125 0.0048* 0.0034 = @ $ ¼ y A B $ > } 0.0195* 0.0178 0.0038* 0.0021 y z C D 2 E F 9 ø y z 0.0864*** 0.0262 0.0088** 0.0042 y z C D 2 E F 9 ø C D 0.0415** 0.0202 0.0071** 0.0028 ? $ > ® 0.0795*** 0.0225 0.0192*** 0.0059 % G $ H I −0.0002 0.0034 } ð J : 0.0038 0.0051 AdjustR2 0.4701 0.3427 F test 3.39*** 3.21*** No. of Obs. 221 221 é : ***ê ë ì í 0.01î ï ð ñ ò ; **ê ë ì í 0.05î ï ð ñ ò ; *ê ë ì í 0.1î ï ð ñ ò ó

4.2.2

~

7

] k T U w x R S T U V W X B C Y Z @ \ L M

,

T U V W X B C S @ \ ® ¯

F

,

E @

0.01

B C D 0

,

Adjusted-R

2

0.4701

S

0.3427

@ 3 ® ¯

,

T U w x R M + l , ^ ` 0

,

1 T U w x ~ v Y Z

,

= T U V W X S @ \ * ^ @ l m ? + _ `

,

j k

:

p q r s ] ^ t C w ] ^ ~ t Y Z u v ] ^ u t x y z t { _ ] ^ | } ] U ] ^ Y Z

,

] ^ V S @ \

(22)

8

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INTEREST RATE DERIVATIVES,

RISK EXPOSURE AND PERFORMANCE

Hui- Hsuan Liu

Department of Finance

Ling Tung University

Yung- Ming Shiu

Department of Risk Management and Insurance

National Chengchi University

Chi- Feng Wang

∗

Department of International Business

National Kaohsiung University of Applied Sciences

Keywords: Interest rate derivatives, Interest rate risk exposure, Performance

JEL classification: G32

∗ _{Correspondence: Chi-Feng Wang, Department of International Business, National Kaohsiung} Uni-versity of Applied Sciences, Kaohsiung 807, Taiwan. Tel: (07) 381-4526 ext. 6100; Fax: (07) 615-2783; E-mail: [email protected].

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ABSTRACT

5 5 The purpose of this paper is to examine the relations between life insurers’ use of

interest rate derivatives and their both risk exposure and performance. Using structural equations and two-stage least square approach, we examine whether and how interest rate derivative use affects interest rate exposure and is related to firm performance. Overall, our results show that the use of interest rate derivatives is positively related to both interest rate risk exposure and firm performance. Several robustness checks have been conducted and results remain qualitatively unchanged. Based on our results, we offer several implications for practitioners and policymakers.