發(fā)布時(shí)間：2018-09-10 14:50

【摘要】：紡織行業(yè)屬于勞動(dòng)密集型行業(yè)，在我國(guó)行業(yè)中具有傳統(tǒng)優(yōu)勢(shì)，紡織產(chǎn)品是我國(guó)重要的外貿(mào)產(chǎn)品，出口依存度高，超過(guò)50%。因此對(duì)大多數(shù)紡織企業(yè)來(lái)說(shuō)，在外匯交易、國(guó)際貿(mào)易、國(guó)際投資以及國(guó)際結(jié)算等經(jīng)濟(jì)活動(dòng)中，面臨著匯率不斷變動(dòng)的風(fēng)險(xiǎn)。我國(guó)利率市場(chǎng)化不斷推進(jìn)的過(guò)程中，紡織企業(yè)對(duì)外貿(mào)易，除了受匯率波動(dòng)的風(fēng)險(xiǎn)外，在面臨融資需求時(shí)，還會(huì)受到利率波動(dòng)的影響，融資成本將難以預(yù)測(cè)。國(guó)內(nèi)外研究證明，匯率和利率的影響越來(lái)越明顯，，在匯率與利率雙重風(fēng)險(xiǎn)的影響下，如何更有效地管理匯率風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)具有重要的實(shí)踐意義。 本文借鑒了國(guó)內(nèi)外的研究成果，以匯率和利率相互影響為基礎(chǔ)，根據(jù)套期保值理論，分別采用定性和定量的研究方法，研究我國(guó)紡織企業(yè)管理匯率風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)，同時(shí)比較了同步管理策略和獨(dú)立管理策略的差異性，得出更具有優(yōu)勢(shì)的方法。在實(shí)證研究中，根據(jù)我國(guó)金融市場(chǎng)的實(shí)際情況，運(yùn)用遠(yuǎn)期匯率和遠(yuǎn)期利率協(xié)議規(guī)避匯率和利率的雙重風(fēng)險(xiǎn)，構(gòu)建常相關(guān)系數(shù)多元GARCH模型，運(yùn)用Eviews軟件估計(jì)模型參數(shù)和動(dòng)態(tài)套期保值比率。最后，進(jìn)行效率的比較，得出同步管理要優(yōu)于獨(dú)立管理，同時(shí)比較了常相關(guān)系數(shù)多元GARCH模型與靜態(tài)套期保值模型、傳統(tǒng)套期保值模型的效率，得出常相關(guān)系數(shù)多元GARCH模型要優(yōu)于其他模型；并給出建議,在面臨匯率風(fēng)險(xiǎn)和利率風(fēng)險(xiǎn)時(shí)，我國(guó)紡織企業(yè)應(yīng)當(dāng)采取同步管理。
[Abstract]:Textile industry is a labor-intensive industry with traditional advantages in China. Textile products are an important foreign trade product of our country. The export dependence of textile industry is high, more than 50%. Therefore, for most textile enterprises, the exchange rate is constantly changing in the economic activities such as foreign exchange trading, international trade, international investment and international settlement. In the process of marketization of interest rate in our country, the foreign trade of textile enterprises is not only subject to the risk of exchange rate fluctuation, but also affected by the fluctuation of interest rate in the face of financing demand, and the financing cost will be difficult to predict. Studies at home and abroad have proved that the influence of exchange rate and interest rate is more and more obvious. Under the influence of exchange rate and interest rate double risk, how to manage exchange rate risk and interest rate risk more effectively has important practical significance. Based on the mutual influence of exchange rate and interest rate, this paper studies the exchange rate risk and interest rate risk of Chinese textile enterprises by using qualitative and quantitative research methods according to hedging theory. At the same time, the difference between synchronous management strategy and independent management strategy is compared, and a more advantageous method is obtained. In the empirical study, according to the actual situation of the financial market in China, using forward exchange rate and forward interest rate agreement to avoid the double risk of exchange rate and interest rate, we construct the multiple GARCH model with constant correlation coefficient. Eviews software is used to estimate model parameters and dynamic hedging ratio. Finally, the efficiency of synchronous management is better than that of independent management. At the same time, the efficiency of multivariate GARCH model with constant correlation coefficient, static hedging model and traditional hedging model is compared. It is concluded that the multivariate GARCH model with constant correlation coefficient is superior to other models, and it is suggested that China's textile enterprises should adopt synchronous management in the face of exchange rate risk and interest rate risk.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F272.3;F426.81;F832.6;F822.0

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