【摘要】：2005年7月中央銀行宣布我國將實(shí)行以市場需求為主導(dǎo),參考一攬子貨幣的有管理的浮動(dòng)匯率制度,這標(biāo)志中國匯率市場開始進(jìn)入了有管理的浮動(dòng)匯率制度時(shí)期。此后,人民幣波動(dòng)幅度增加、并持續(xù)升值,這給我國企業(yè)和宏觀經(jīng)濟(jì)穩(wěn)定帶來新的沖擊和挑戰(zhàn)。隨著我國市場經(jīng)濟(jì)的深化,中國經(jīng)濟(jì)與全球經(jīng)濟(jì)的結(jié)合更為緊密,更多的中國企業(yè)走出國門,參與國際經(jīng)濟(jì)貿(mào)易活動(dòng)。人民幣匯率的不穩(wěn)定性,必然加劇我國企業(yè)的匯率風(fēng)險(xiǎn)。因此,有效地評價(jià)我國企業(yè)的外匯風(fēng)險(xiǎn)暴露,對于人們認(rèn)識(shí)和規(guī)避匯率風(fēng)險(xiǎn)顯得尤為必要。考察現(xiàn)有的研究可以發(fā)現(xiàn),主要是利用資本市場法或現(xiàn)金流量法對單一企業(yè)的匯率風(fēng)險(xiǎn)暴露進(jìn)行實(shí)證檢驗(yàn),然后對檢驗(yàn)結(jié)果進(jìn)行主觀總結(jié)來判斷我國企業(yè)總體外匯風(fēng)險(xiǎn)暴露情況,而沒有進(jìn)行進(jìn)一步的統(tǒng)計(jì)檢驗(yàn)。本文的貢獻(xiàn)在于,利用合并(Meta)統(tǒng)計(jì)檢驗(yàn)技術(shù),對單一企業(yè)的匯率風(fēng)險(xiǎn)暴露的實(shí)證檢驗(yàn)結(jié)果進(jìn)行合并再檢驗(yàn),從而大大提高了檢驗(yàn)的客觀性和科學(xué)性。 本文首先采用目前較流行的考慮匯率滯后影響的Williamson模型,度量我國單一企業(yè)的匯率風(fēng)險(xiǎn)暴露,確定每個(gè)企業(yè)的風(fēng)險(xiǎn)暴露方向。然后根據(jù)調(diào)查獲得的企業(yè)經(jīng)營信息,將企業(yè)劃分為出口型企業(yè)和非出口型企業(yè)。最后,對出口型和非出口型企業(yè)及其匯率風(fēng)險(xiǎn)暴露進(jìn)行合并檢驗(yàn)分析。 分析結(jié)果表明,我國大多數(shù)企業(yè)存在顯著的外匯風(fēng)險(xiǎn)暴露,并且無論出口型還是進(jìn)口型企業(yè)與外匯風(fēng)險(xiǎn)暴露的方向都沒有顯著關(guān)聯(lián)性。表面上看,這一結(jié)論與傳統(tǒng)經(jīng)濟(jì)理論相悖。但我們進(jìn)一步的調(diào)查分析發(fā)現(xiàn),樣本中我國的出口型企業(yè),在實(shí)際經(jīng)營中也存在大量的外匯用款情況。這使得其同時(shí)在出口和進(jìn)口兩個(gè)方向,受到匯率風(fēng)險(xiǎn)的影響,這是導(dǎo)致與經(jīng)濟(jì)理論相悖的根本原因。
[Abstract]:In July 2005, the Central Bank announced that China will implement a managed floating exchange rate system, which is based on market demand and refers to a basket of currencies. This indicates that the Chinese exchange rate market has begun to enter the period of managed floating exchange rate system. Since then, the volatility of RMB has increased and continued to appreciate, which brings new impact and challenge to Chinese enterprises and macroeconomic stability. With the deepening of China's market economy, the combination of Chinese economy and global economy is closer, more and more Chinese enterprises go abroad to participate in international economic and trade activities. The instability of RMB exchange rate will inevitably aggravate the exchange rate risk of Chinese enterprises. Therefore, it is necessary for people to understand and avoid exchange rate risk by effectively evaluating foreign exchange risk exposure of Chinese enterprises. After reviewing the existing research, we can find that capital market method or cash flow method is mainly used to test the exchange rate risk exposure of a single enterprise. Then subjective summary of the test results is carried out to judge the overall foreign exchange risk exposure of Chinese enterprises, but no further statistical test is carried out. The contribution of this paper is that, by using the combined (Meta) statistical test technology, the empirical test results of the exchange rate risk exposure of a single enterprise are combined and re-tested, which greatly improves the objectivity and scientific nature of the test. This paper first uses the popular Williamson model considering the influence of exchange rate lag to measure the exchange rate risk exposure of a single enterprise in China and determine the risk exposure direction of each enterprise. Then, according to the business information obtained from the investigation, the enterprises are divided into export enterprises and non-export enterprises. Finally, the combined inspection and analysis of export-oriented and non-export-oriented enterprises and their exposure to exchange rate risk are carried out. The results show that most enterprises in China have significant exposure to foreign exchange risk, and there is no significant correlation between export and import enterprises and the direction of foreign exchange risk exposure. On the face of it, this conclusion runs counter to traditional economic theory. However, our further investigation and analysis show that there is also a large amount of foreign exchange funds in the actual operation of the export-oriented enterprises in our sample. This causes it to be affected by the exchange rate risk in both export and import directions, which is the fundamental reason that leads to the contradiction with economic theory.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.6;F279.2

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