《保险研究》20260203-《利率潮汐中的“缓冲垫”：中国台湾地区寿险业海外投资损益影响机理分析》（刘刚、蒋华君、周楠）

［摘   要］自2022年美联储开启激进加息周期，至2024年又快速转向降息周期，全球利差格局剧烈变化，引发中国台湾地区寿险业海外投资损益大幅波动，暴露出其“外币资产、本币负债” 套息交易结构在宏观利差“缓冲垫”受冲击时的脆弱性。本文通过实证检验，探究在不同利率周期中，海外利率与汇率变动对中国台湾地区寿险业海外投资损益的影响机理，并引入汇率与利率对冲成本探究其调节效应。研究结果表明，美元兑新台币汇率和10年期美债利率均对中国台湾地区寿险业海外投资损益具有显著影响，其中汇率表现为持续的正向影响，而美债利率受会计平滑与风控止损机制的共同作用，其影响在不同利率周期中呈现出结构性差异。调节效应表明，汇率对冲成本在利率下行周期中具有更强的调节效力，呈现出鲜明的周期异质性；而利率对冲成本的调节作用由于“成本-意愿”错配则在全周期内均表现微弱。本文可为正处于低利率环境下正稳步扩大海外投资的我国寿险业提供风险预警和管理经验。

［关键词］中国台湾地区；寿险业；利率风险；汇率风险；对冲成本

［作者简介］刘刚（通讯作者），广东财经大学金融学院教授，硕士生导师，研究方向：国际金融、金融科技；蒋华君，广东财经大学金融学院硕士研究生；周楠，广东财经大学金融学院硕士研究生。

The “Cushion” in the Interest Rate Tide：An Analysis of the Impact Mechanism of Overseas Investment Profit and Loss of Life Insurance in Taiwan，China

LIU Gang，JIANG Hua-jun，ZHOU Nan

Abstract：Since the US Federal Reserve entered the aggressive interest rate hike cycle in 2022 and then reverted to rate cutting in 2024，the global interest rate spread pattern has changed rapidly，triggering sharp fluctuations in the overseas investment profits and losses of the life insurance industry in Taiwan，China，and exposing the fragility of its carry trade structure of “foreign currency assets and local currency liabilities when the cushion of the macro interest rate spread is impacted”.This paper explores the impact mechanism of interest rates and exchange rates on the overseas investment profits and losses of life insurance in Taiwan，China through empirical tests in different interest rate cycles，and introduces exchange rate and interest rate hedging costs to explore their moderating effects.The results show that both the US dollar to New Taiwan dollar exchange rate and the 10-year US Treasury bond interest rate have significant impacts on the overseas investment profits and losses of life insurance.Among them，the exchange rate shows a continuous positive impact，while the impact of US Treasury bond interest rate presents structural differences in different interest rate cycles due to the combined effect of accounting smoothing and risk control stop-loss mechanisms.The moderating effect indicates that the exchange rate hedging cost has a stronger moderating effect in the interest rate downward cycle，showing distinct cyclical heterogeneity；while the moderating effect of interest rate hedging cost is weak throughout the cycle due to the “cost-willingness” mismatch.The research results on the impact mechanism of overseas investment profits and losses of life insurance in Taiwan can provide forward-looking risk early warning and management experience for China’s life insurance industry that is expanding overseas investment in a low interest rate environment.

Key words：Taiwan；life insurance；interest rate risk；exchange rate risk；hedging cost