金融衍生工具在企业汇率风险管理中的应用研究

发布时间：2018-01-21 03:00

本文关键词： 风险管理汇率风险套期保值金融衍生产品　出处：《华东交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着1973年布雷顿森林体系的崩溃，以美元为本位的固定汇率体系解体，浮动汇率制成为国际汇率市场的主要形式之一；从此之后，世界金融及经济发生了一系列深刻且巨大的变化：中国从1978年实行改革开放之后，国内金融市场逐步与国际接轨，经过将近十年的谈判，于2003年加入世界贸易组织（WTO）之后，此接轨有加速的趋势；2008年之后，根据国际国内经济政治形势的需要，，人民币升值加速，屡创新高，这对于对拥有大量外币业务尤其是出口依赖性型企业来说，负面影响不容小觑；2010年从希腊开始的欧债危机，导致汇率变动愈来愈不稳定。但是，由于长期以来人民币汇率处于的一种“与世隔绝”的状态，国内企业汇率风险防范意识普遍比较淡薄，缺乏对人民币汇率风险管理的重视与行之有效的管理方法。这既是本文的研究背景，也是其理论及现实意义所在。本文把是否使用金融衍生工具这一角度，汇率风险管理分为2类：第一是不适用衍生产品，我们称之为“经营性套期保值”，其使用的方法是财务报表，加强经营管理，市场策略等方法来管理汇率风险；第二种就是本文所研究的使用衍生产品的套期保值方法，也叫“金融性套期保值”，此方法在国内应用的比较少，但是在国外市场比较完善的市场，取得了卓有成效的效果，从而成为我们研究的重点。本文所说的套期保值并不是狭义的对冲，而是广义的金融风险管理。本文研究的目的是为国内有关主体提供切实可行可靠的汇率风险管理策略。基于对“确定最佳保值比率是套期保值工作的首要前提”的认识，本文首先介绍了金融衍生产品的发展历史，整理和分析了国内外有关套期保值比率研究的相关文献，对一些经典的方法进行了回顾；之后本文建立了套期保值的一个理论框架，来为后面的实证研究做好铺垫；最后的实证研究部分利用汇率数据与期货数据使用构建模型对比来得出利用金融衍生工具能够很好的控制汇率风险。本文得出的结论是，在当今的国际国内金融环境下，汇率变得越来越不稳定，愈来愈难以预测，国内有关主体按照一定的策略使用衍生工具可以消除大部分的汇率风险。企业使用有效而经济的衍生工具应对企业面临的汇率风险对国内的有关主体来说显得尤为重要。本文的创新表现在有效的结合了我国的具体国情，考虑了世界经济金融环境，提出了适合我国有关主体汇率风险管理简单易行的避险策略。
[Abstract]:With the collapse of the Bretton Woods system in 1973 and the disintegration of the dollar-based fixed exchange rate system, the floating exchange rate system became one of the main forms of the international exchange rate market. Since then, a series of profound and huge changes have taken place in the world finance and economy: after China carried out the reform and opening up in 1978, the domestic financial market gradually connected with the international, after nearly a decade of negotiations. After joining the World Trade Organization (WTO) in 2003, this convergence has a tendency to accelerate. After 2008, according to the needs of the international and domestic economic and political situation, the appreciation of the RMB accelerated to record high, which for a large number of foreign currency business, especially export-dependent enterprises. The negative effects should not be underestimated; The European debt crisis, which began in Greece in 2010, has led to an increasingly unstable exchange rate. However, the exchange rate of the RMB has been in a state of "isolation" for a long time. The awareness of foreign exchange rate risk prevention in domestic enterprises is generally weak, lacking of attention to RMB exchange rate risk management and effective management method, which is not only the research background of this paper, but also its theoretical and practical significance. This paper divides the exchange rate risk management into two categories: the first is not suitable for derivative products, which we call "operational hedging", and the method used is financial statements. Strengthen management, market strategy and other methods to manage exchange rate risk; The second is the method of using derivative products, also known as "financial hedging", which is seldom used in China, but more perfect in foreign markets. The hedging in this paper is not a narrow hedge, but a broad sense of financial risk management. The purpose of this study is to provide a feasible and reliable exchange rate risk management strategy for domestic stakeholders. Based on the understanding that "determining the best hedge ratio is the first prerequisite of hedging". This paper first introduces the development history of financial derivatives, collates and analyzes the relevant literature of hedging ratio research at home and abroad, and reviews some classical methods. Then this paper establishes a theoretical framework of hedging to pave the way for the subsequent empirical research. In the last part of the empirical study, we use the exchange rate data and futures data to build a model to compare the use of financial derivatives to control the exchange rate risk. The conclusion of this paper is that, in the current international and domestic financial environment, the exchange rate is becoming more and more unstable, more and more difficult to predict. Most of the exchange rate risk can be eliminated by using derivative instruments according to certain tactics. Enterprises use effective and economical derivatives to deal with the exchange rate risks faced by enterprises, especially for domestic related subjects. Is important. The innovation of this paper is to effectively combine the specific conditions of our country, consider the world economic and financial environment, and put forward a simple and easy risk avoidance strategy suitable for our country's main body exchange rate risk management.
【学位授予单位】：华东交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F272.3

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