發(fā)布時(shí)間：2018-02-27 04:25

  本文關(guān)鍵詞： 匯率風(fēng)險(xiǎn) GARCH模型 匯率差 匯率風(fēng)險(xiǎn)管理　出處：《西南交通大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：在經(jīng)濟(jì)全球化和世界經(jīng)濟(jì)一體化的大背景下,中國(guó)在世界經(jīng)濟(jì)中扮演著越來(lái)越重要的角色,成為歐洲、美國(guó)、日本等國(guó)家和地區(qū)的重要貿(mào)易伙伴,中國(guó)的經(jīng)濟(jì)發(fā)展和其他國(guó)家的經(jīng)濟(jì)發(fā)展聯(lián)系得越來(lái)越緊密,在這樣的環(huán)境下,作為推動(dòng)我國(guó)經(jīng)濟(jì)發(fā)展的各個(gè)行業(yè)的公司也日益參與到世界市場(chǎng)中來(lái),謀求更寬廣的發(fā)展空間。自2005年7月21日起,我國(guó)開始實(shí)行有管理的浮動(dòng)匯率制度。在此背景下,我國(guó)各個(gè)涉外經(jīng)營(yíng)公司面臨著不同程度的匯率風(fēng)險(xiǎn),同時(shí)匯率風(fēng)險(xiǎn)也逐漸被公司管理層所重視。管理好匯率風(fēng)險(xiǎn)能使企業(yè)在面對(duì)國(guó)際市場(chǎng)和來(lái)自國(guó)際市場(chǎng)的競(jìng)爭(zhēng)者時(shí)從容應(yīng)對(duì),發(fā)揮自我優(yōu)勢(shì),將匯率風(fēng)險(xiǎn)帶來(lái)的不利影響降到最低,增強(qiáng)公司的國(guó)際競(jìng)爭(zhēng)力。 基于我國(guó)與世界其他國(guó)家經(jīng)濟(jì)聯(lián)系愈來(lái)愈緊密的背景,本文的研究對(duì)象是廣泛參與世界經(jīng)濟(jì)市場(chǎng)的我國(guó)涉外經(jīng)營(yíng)上市公司,這些研究的樣本公司來(lái)自22個(gè)行業(yè),總共522家。研究的目的就是利用歷史數(shù)據(jù)對(duì)這些樣本公司面臨的匯兌風(fēng)險(xiǎn)情況作統(tǒng)計(jì)分析,同時(shí)利用匯率風(fēng)險(xiǎn)暴露系數(shù)估計(jì)模型來(lái)分析樣本公司面臨的匯率風(fēng)險(xiǎn)暴露系數(shù)和暴露方向,最后針對(duì)不同類型的匯率風(fēng)險(xiǎn)提出管理建議和具體操作方法。 本文的結(jié)構(gòu)安排是第一章對(duì)所研究的問(wèn)題進(jìn)行說(shuō)明,同時(shí)陳述了國(guó)內(nèi)外關(guān)于匯率風(fēng)險(xiǎn)管理的文獻(xiàn)資料。第二章對(duì)匯率風(fēng)險(xiǎn)理論作介紹。第三章運(yùn)用統(tǒng)計(jì)分析方法,使用圖表對(duì)22個(gè)行業(yè)的522家涉外經(jīng)營(yíng)上市公司面臨的匯兌風(fēng)險(xiǎn)作分析,主要從會(huì)計(jì)折算風(fēng)險(xiǎn)和交易風(fēng)險(xiǎn)兩個(gè)角度展開。第四章構(gòu)建模型對(duì)樣本中的250家涉外經(jīng)營(yíng)上市公司的匯率風(fēng)險(xiǎn)暴露情況作估計(jì)和分析,和其他估計(jì)模型直接使用即期匯率作為影響公司價(jià)值的因素不同的是本文引入了遠(yuǎn)期人民幣匯率,利用遠(yuǎn)期人民幣匯率和對(duì)應(yīng)日期的即期人民幣匯率之差作為影響公司價(jià)值的因素進(jìn)行分析。該匯率差額揭示了人們未預(yù)期到的匯率變動(dòng),因?yàn)楣驹趯?duì)匯率風(fēng)險(xiǎn)進(jìn)行套期保值時(shí)主要參考遠(yuǎn)期人民幣匯率,未能進(jìn)行保值的那部分人民幣匯率的變動(dòng)最能反映公司面臨的匯率風(fēng)險(xiǎn)暴露狀況。第五章就分門別類的對(duì)匯率風(fēng)險(xiǎn)細(xì)分下的會(huì)計(jì)風(fēng)險(xiǎn)、交易風(fēng)險(xiǎn)和經(jīng)濟(jì)風(fēng)險(xiǎn)的管理措施提出了建議,并結(jié)合示例對(duì)其原理進(jìn)行了闡述。 通過(guò)以上的分析和梳理,本文研究的結(jié)果表明金融保險(xiǎn)業(yè),采掘業(yè)和交通運(yùn)輸倉(cāng)儲(chǔ)業(yè)相比于其他行業(yè)面臨的會(huì)計(jì)折算風(fēng)險(xiǎn)非常高,同時(shí),匯率變動(dòng)對(duì)金融保險(xiǎn)業(yè)和交通運(yùn)輸倉(cāng)儲(chǔ)業(yè)的現(xiàn)金流量的負(fù)面影響比較嚴(yán)重。在測(cè)算匯率風(fēng)險(xiǎn)暴露系數(shù)時(shí),遠(yuǎn)期匯率和即期匯率的差額能很好的擬合企業(yè)股價(jià)的波動(dòng)。測(cè)算結(jié)果表明在所估計(jì)的250家涉外經(jīng)營(yíng)上市公司中,64.4%的公司匯率風(fēng)險(xiǎn)暴露系數(shù)的估計(jì)結(jié)果通過(guò)了5%顯著性水平下的顯著性檢驗(yàn),其中有91家公司匯率風(fēng)險(xiǎn)暴露方向?yàn)檎?70家公司匯率風(fēng)險(xiǎn)暴露方向?yàn)樨?fù)。
[Abstract]:In the context of economic globalization and world economic integration, China is playing an increasingly important role in the world economy and has become an important trading partner in Europe, the United States, Japan and other countries and regions. The economic development of China is more and more closely linked with the economic development of other countries. In such an environment, companies in various industries that promote China's economic development are increasingly participating in the world market. Since July 21st 2005, China began to implement a managed floating exchange rate system. In this context, foreign companies in China are faced with exchange rate risks of varying degrees. At the same time, exchange rate risk has gradually been attached importance to by the management of the company. Managing the exchange rate risk can enable enterprises to deal with the international market and competitors from the international market calmly and give play to their own advantages. The adverse effects of exchange rate risk will be minimized to enhance the international competitiveness of the company. Based on the background that our country is more and more closely connected with other countries in the world, the research object of this paper is our foreign listed companies, which are widely involved in the world economic market. The sample companies in these studies come from 22 industries. A total of 522. The purpose of the study was to make a statistical analysis of the exchange risks faced by these sample companies using historical data. At the same time, we use the model to estimate the exposure coefficient of exchange rate risk to analyze the exposure coefficient and direction of exchange rate risk faced by the sample companies. Finally, we put forward some management suggestions and specific operation methods for different types of exchange rate risk. The structure of this paper is as follows: in chapter one, the problems studied are explained, and the literature on exchange rate risk management at home and abroad is presented. Chapter two introduces the theory of exchange rate risk. Chapter three uses statistical analysis method. Using the chart to analyze the exchange risks faced by 522 foreign-owned listed companies in 22 industries, Chapter 4th constructs a model to estimate and analyze the exposure of 250 foreign-owned listed companies in the sample to exchange rate risk. Different from other estimation models, which directly use spot exchange rate as the influence factor of company value, this paper introduces forward RMB exchange rate. The difference between forward RMB exchange rate and spot RMB exchange rate on the corresponding date is used to analyze the factors that affect the value of the company. The difference reveals unexpected changes in exchange rate. Because the company mainly refers to the forward RMB exchange rate when hedging the exchange rate risk. The changes in the RMB exchange rate that fail to maintain their value can best reflect the exposure of exchange rate risks faced by companies. Chapter 5th provides a breakdown of accounting risks under exchange rate risks. The management measures of transaction risk and economic risk are put forward, and the principle of them is illustrated with examples. Through the above analysis and combing, the results of this study show that the financial and insurance industry, extractive industry and transportation and warehousing industry face a very high risk of accounting conversion compared with other industries, at the same time, The negative impact of exchange rate changes on the cash flow of the financial, insurance and transportation and warehousing industries is relatively serious. The difference between forward exchange rate and spot exchange rate can well fit the fluctuation of enterprise stock price. The results show that the estimated exchange rate risk exposure coefficient of 64.4% of the 250 foreign-owned listed companies is estimated to be 5%. Significance test at the level of sex, Among them 91 companies exchange rate risk exposure direction is positive 70 companies exchange rate risk exposure direction is negative.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6;F279.2

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