外匯衍生品對外匯風(fēng)險暴露的影響研究——基于中國跨國公司的實證分析
發(fā)布時間：2018-10-31 08:26
【摘要】：浮動匯率制及全球經(jīng)濟一體化加劇了人民幣匯率波動,使國際貿(mào)易匯率風(fēng)險凸顯;目前中國一些跨國公司正使用外匯衍生品管控匯率風(fēng)險暴露。國內(nèi)對外匯衍生品能否降低企業(yè)的外匯風(fēng)險暴露的理論研究相對較少,同時個別外匯衍生品風(fēng)險事件引起了業(yè)界對其使用效果的廣泛關(guān)注。文章以中國2007-2015年221家非金融類上市跨國公司為樣本,運用Jorion兩因素模型,研究樣本公司股票收益率對匯率波動的敏感程度,以此作為其外匯風(fēng)險暴露的大小。文章通過非平衡面板數(shù)據(jù)模型分析了外匯衍生品使用與跨國公司外匯風(fēng)險暴露的關(guān)系,結(jié)果表明:中國每年平均有11.7%的跨國公司面臨顯著的外匯風(fēng)險暴露;外匯衍生品使用可以有效降低中國跨國公司的匯率風(fēng)險。
[Abstract]:Floating exchange rates and global economic integration have exacerbated the volatility of the renminbi, highlighting the risk of exchange rates in international trade, as some Chinese multinationals are using foreign exchange derivatives to control exposure to currency risks. There are relatively few theoretical studies on whether foreign exchange derivatives can reduce the exposure of foreign exchange risk to enterprises, and some foreign exchange derivatives risk events have aroused widespread concern about the effect of foreign exchange derivatives in the industry. Taking 221 non-financial listed multinational corporations in China from 2007 to 2015 as a sample, using Jorion two-factor model, this paper studies the sensitivity of stock return rate to exchange rate fluctuation, which is regarded as the magnitude of exposure to foreign exchange risk. This paper analyzes the relationship between the use of foreign exchange derivatives and the exposure of multinational companies to foreign exchange risk through non-equilibrium panel data model. The results show that on average 11.7% of multinational companies in China face significant exposure to foreign exchange risk every year. The use of foreign exchange derivatives can effectively reduce the exchange rate risk of Chinese multinationals.
【作者單位】： 重慶理工大學(xué)經(jīng)濟金融學(xué)院;
【基金】：國家社會科學(xué)基金項目“我國企業(yè)匯率風(fēng)險承受能力基本應(yīng)急機制研究”(12XJY030)
【分類號】：F276.7;F832.6
本文編號：2301513
[Abstract]:Floating exchange rates and global economic integration have exacerbated the volatility of the renminbi, highlighting the risk of exchange rates in international trade, as some Chinese multinationals are using foreign exchange derivatives to control exposure to currency risks. There are relatively few theoretical studies on whether foreign exchange derivatives can reduce the exposure of foreign exchange risk to enterprises, and some foreign exchange derivatives risk events have aroused widespread concern about the effect of foreign exchange derivatives in the industry. Taking 221 non-financial listed multinational corporations in China from 2007 to 2015 as a sample, using Jorion two-factor model, this paper studies the sensitivity of stock return rate to exchange rate fluctuation, which is regarded as the magnitude of exposure to foreign exchange risk. This paper analyzes the relationship between the use of foreign exchange derivatives and the exposure of multinational companies to foreign exchange risk through non-equilibrium panel data model. The results show that on average 11.7% of multinational companies in China face significant exposure to foreign exchange risk every year. The use of foreign exchange derivatives can effectively reduce the exchange rate risk of Chinese multinationals.
【作者單位】： 重慶理工大學(xué)經(jīng)濟金融學(xué)院;
【基金】：國家社會科學(xué)基金項目“我國企業(yè)匯率風(fēng)險承受能力基本應(yīng)急機制研究”(12XJY030)
【分類號】：F276.7;F832.6
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