發(fā)布時(shí)間：2019-06-21 03:31

【摘要】：在人民幣升值和人民幣匯率波動(dòng)幅度增加的背景下,我國(guó)企業(yè)和宏觀經(jīng)濟(jì)面臨日益增強(qiáng)的外匯風(fēng)險(xiǎn)。因此準(zhǔn)確評(píng)估企業(yè)匯率風(fēng)險(xiǎn)的研究顯得越來(lái)越重要。 針對(duì)當(dāng)前我國(guó)企業(yè)匯率風(fēng)險(xiǎn)暴露估計(jì)結(jié)果存在較多不一致性的問(wèn)題,本文考察了目前我國(guó)學(xué)者研究中的常用方法以及國(guó)外這一領(lǐng)域研究方法的最新發(fā)展。從資本市場(chǎng)法角度,選擇了最常用的和最新的三種企業(yè)匯率風(fēng)險(xiǎn)暴露估計(jì)的統(tǒng)計(jì)模型——Jorion模型、正交化Jorion模型以及GJR-GARCH模型。從理論和經(jīng)驗(yàn)兩個(gè)方面,比較了這三種模型在測(cè)度我國(guó)企業(yè)匯率風(fēng)險(xiǎn)暴露方面的適用性。這對(duì)于我國(guó)開(kāi)展該領(lǐng)域的應(yīng)用研究具有重要的指導(dǎo)意義,對(duì)于推進(jìn)該領(lǐng)域的方法研究具有一定的理論價(jià)值。 研究發(fā)現(xiàn)：①三種模型在測(cè)度我國(guó)企業(yè)匯率風(fēng)險(xiǎn)暴露時(shí)具有較好的一致性,但在研究精度上仍然存在差異；②Jorion模型和GJR-GARCH模型測(cè)度的是企業(yè)未預(yù)期到的匯率風(fēng)險(xiǎn)暴露。與其它兩種模型不同,正交化Jorion模型的估計(jì)結(jié)果同時(shí)包含了直接匯率風(fēng)險(xiǎn)暴露和間接匯率風(fēng)險(xiǎn)暴露,這使得該方法的經(jīng)濟(jì)學(xué)意義與其它兩種模型存在差異；③檢驗(yàn)結(jié)果表明,我國(guó)金融市場(chǎng)數(shù)據(jù)具有尖峰厚尾性、異方差性和非對(duì)稱波動(dòng)性等特征,因此在選擇測(cè)度模型時(shí)需要考慮上述數(shù)據(jù)特征,從理論上看GJR-GARCH模型是最適宜測(cè)度我國(guó)企業(yè)匯率風(fēng)險(xiǎn)暴露的模型。④實(shí)證分析證明,在三種模型中,GJR-GARCH模型具有最小的擬合殘差,擬合優(yōu)度最高。從擬合結(jié)果看GJR-GARCH模型是最適宜測(cè)度我國(guó)企業(yè)匯率風(fēng)險(xiǎn)暴露的模型。
[Abstract]:Under the background of RMB appreciation and RMB exchange rate fluctuation, Chinese enterprises and macroeconomy are facing increasing foreign exchange risk. Therefore, it is more and more important to accurately evaluate the exchange rate risk of enterprises. In view of the fact that there are many inconsistency in the estimation results of exchange rate risk exposure of Chinese enterprises, this paper investigates the common methods in the research of Chinese scholars and the latest development of foreign research methods in this field. From the point of view of capital market method, three kinds of statistical models, Jorion model, orthogonal Jorion model and GJR-GARCH model, which are the most commonly used and the latest statistical models for enterprise exchange rate risk exposure estimation, are selected. This paper compares the applicability of these three models in measuring the exposure of exchange rate risk of Chinese enterprises from two aspects of theory and experience. This has important guiding significance for the application research in this field in our country, and has certain theoretical value for promoting the method research in this field. It is found that: (1) the three models have good consistency in measuring the exchange rate risk exposure of Chinese enterprises, but there are still differences in the research accuracy, and the 2Jorion model and GJR-GARCH model measure the unexpected exchange rate risk exposure of enterprises. Different from the other two models, the estimation results of orthogonal Jorion model include both direct exchange rate risk exposure and indirect exchange rate risk exposure, which makes the economic significance of this method different from the other two models. The test results show that the financial market data in China have the characteristics of sharp peak and thick tail, heteroscedasticity and asymmetric volatility, so it is necessary to consider the above data characteristics when selecting the measurement model. Theoretically, GJR-GARCH model is the most suitable model to measure the exchange rate risk exposure of Chinese enterprises. 4 empirical analysis shows that among the three models, GJR-GARCH model has the smallest fitting residual and the highest goodness of fit. From the fitting results, the GJR-GARCH model is the most suitable model to measure the exchange rate risk exposure of Chinese enterprises.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.6

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本文編號(hào)：2503753