發(fā)布時(shí)間：2018-07-04 23:10

  本文選題：匯率風(fēng)險(xiǎn)暴露 + 行業(yè)利潤��； 參考：《國際貿(mào)易問題》2012年03期

【摘要】：基于我國資本市場特征的資產(chǎn)定價(jià)假設(shè),構(gòu)建了基于時(shí)變風(fēng)險(xiǎn)溢價(jià)的條件期望資產(chǎn)定價(jià)模型,估計(jì)我國貿(mào)易行業(yè)的匯率風(fēng)險(xiǎn)暴露值,并進(jìn)一步借助面板數(shù)據(jù)固定效應(yīng)與隨機(jī)效應(yīng)方法估計(jì)了決定匯率風(fēng)險(xiǎn)暴露的影響因素。研究發(fā)現(xiàn),匯率波動(dòng)對我國進(jìn)出口行業(yè)利潤有著十分明顯的時(shí)變影響,尤其在匯改以后匯率波動(dòng)對行業(yè)利潤率的影響更大,受影響的行業(yè)面更廣。我國進(jìn)出口行業(yè)間的匯率風(fēng)險(xiǎn)暴露差異較大,存在著四種行業(yè)匯率風(fēng)險(xiǎn)暴露情況,各行業(yè)不同的暴露特征與海外銷售收入、企業(yè)規(guī)模、海外成本和流動(dòng)性水平等因素密切相關(guān)。
[Abstract]:Based on the asset pricing hypothesis of China's capital market characteristics, a conditional expectation asset pricing model based on time-varying risk premium is constructed to estimate the exposure value of exchange rate risk in China's trade industry. Furthermore, the determinants of exchange rate risk exposure are estimated by panel data fixation and random effect methods. It is found that the exchange rate fluctuation has a very obvious time-varying influence on the profit of the import and export industry in China, especially after the exchange rate reform, the exchange rate fluctuation has a greater impact on the profit margin of the industry, and the affected industries are more extensive. There are four kinds of foreign exchange rate risk exposure in China's import and export industries. The different exposure characteristics of different industries are closely related to overseas sales income, enterprise size, overseas cost and liquidity level.
【作者單位】： 華南理工大學(xué)經(jīng)濟(jì)與貿(mào)易學(xué)院;華南理工大學(xué)工商管理學(xué)院;
【基金】：廣東省普通高校人文社會(huì)科學(xué)重大攻關(guān)項(xiàng)目“國際金融危機(jī)背景下廣東經(jīng)濟(jì)的金融風(fēng)險(xiǎn)測定及管理研究” 華南理工大學(xué)中央高�；究蒲袠I(yè)務(wù)項(xiàng)目(2009SM0017)的資助
【分類號(hào)】：F224;F832.6;F752

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