中国涉外经营上市公司的汇率风险分析与测度

发布时间：2018-02-27 04:25

本文关键词： 汇率风险 GARCH模型汇率差汇率风险管理　出处：《西南交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：在经济全球化和世界经济一体化的大背景下,中国在世界经济中扮演着越来越重要的角色,成为欧洲、美国、日本等国家和地区的重要贸易伙伴,中国的经济发展和其他国家的经济发展联系得越来越紧密,在这样的环境下,作为推动我国经济发展的各个行业的公司也日益参与到世界市场中来,谋求更宽广的发展空间。自2005年7月21日起,我国开始实行有管理的浮动汇率制度。在此背景下,我国各个涉外经营公司面临着不同程度的汇率风险,同时汇率风险也逐渐被公司管理层所重视。管理好汇率风险能使企业在面对国际市场和来自国际市场的竞争者时从容应对,发挥自我优势,将汇率风险带来的不利影响降到最低,增强公司的国际竞争力。基于我国与世界其他国家经济联系愈来愈紧密的背景,本文的研究对象是广泛参与世界经济市场的我国涉外经营上市公司,这些研究的样本公司来自22个行业,总共522家。研究的目的就是利用历史数据对这些样本公司面临的汇兑风险情况作统计分析,同时利用汇率风险暴露系数估计模型来分析样本公司面临的汇率风险暴露系数和暴露方向,最后针对不同类型的汇率风险提出管理建议和具体操作方法。本文的结构安排是第一章对所研究的问题进行说明,同时陈述了国内外关于汇率风险管理的文献资料。第二章对汇率风险理论作介绍。第三章运用统计分析方法,使用图表对22个行业的522家涉外经营上市公司面临的汇兑风险作分析,主要从会计折算风险和交易风险两个角度展开。第四章构建模型对样本中的250家涉外经营上市公司的汇率风险暴露情况作估计和分析,和其他估计模型直接使用即期汇率作为影响公司价值的因素不同的是本文引入了远期人民币汇率,利用远期人民币汇率和对应日期的即期人民币汇率之差作为影响公司价值的因素进行分析。该汇率差额揭示了人们未预期到的汇率变动,因为公司在对汇率风险进行套期保值时主要参考远期人民币汇率,未能进行保值的那部分人民币汇率的变动最能反映公司面临的汇率风险暴露状况。第五章就分门别类的对汇率风险细分下的会计风险、交易风险和经济风险的管理措施提出了建议,并结合示例对其原理进行了阐述。通过以上的分析和梳理,本文研究的结果表明金融保险业,采掘业和交通运输仓储业相比于其他行业面临的会计折算风险非常高,同时,汇率变动对金融保险业和交通运输仓储业的现金流量的负面影响比较严重。在测算汇率风险暴露系数时,远期汇率和即期汇率的差额能很好的拟合企业股价的波动。测算结果表明在所估计的250家涉外经营上市公司中,64.4%的公司汇率风险暴露系数的估计结果通过了5%显著性水平下的显著性检验,其中有91家公司汇率风险暴露方向为正,70家公司汇率风险暴露方向为负。
[Abstract]:In the context of economic globalization and world economic integration, China is playing an increasingly important role in the world economy and has become an important trading partner in Europe, the United States, Japan and other countries and regions. The economic development of China is more and more closely linked with the economic development of other countries. In such an environment, companies in various industries that promote China's economic development are increasingly participating in the world market. Since July 21st 2005, China began to implement a managed floating exchange rate system. In this context, foreign companies in China are faced with exchange rate risks of varying degrees. At the same time, exchange rate risk has gradually been attached importance to by the management of the company. Managing the exchange rate risk can enable enterprises to deal with the international market and competitors from the international market calmly and give play to their own advantages. The adverse effects of exchange rate risk will be minimized to enhance the international competitiveness of the company. Based on the background that our country is more and more closely connected with other countries in the world, the research object of this paper is our foreign listed companies, which are widely involved in the world economic market. The sample companies in these studies come from 22 industries. A total of 522. The purpose of the study was to make a statistical analysis of the exchange risks faced by these sample companies using historical data. At the same time, we use the model to estimate the exposure coefficient of exchange rate risk to analyze the exposure coefficient and direction of exchange rate risk faced by the sample companies. Finally, we put forward some management suggestions and specific operation methods for different types of exchange rate risk. The structure of this paper is as follows: in chapter one, the problems studied are explained, and the literature on exchange rate risk management at home and abroad is presented. Chapter two introduces the theory of exchange rate risk. Chapter three uses statistical analysis method. Using the chart to analyze the exchange risks faced by 522 foreign-owned listed companies in 22 industries, Chapter 4th constructs a model to estimate and analyze the exposure of 250 foreign-owned listed companies in the sample to exchange rate risk. Different from other estimation models, which directly use spot exchange rate as the influence factor of company value, this paper introduces forward RMB exchange rate. The difference between forward RMB exchange rate and spot RMB exchange rate on the corresponding date is used to analyze the factors that affect the value of the company. The difference reveals unexpected changes in exchange rate. Because the company mainly refers to the forward RMB exchange rate when hedging the exchange rate risk. The changes in the RMB exchange rate that fail to maintain their value can best reflect the exposure of exchange rate risks faced by companies. Chapter 5th provides a breakdown of accounting risks under exchange rate risks. The management measures of transaction risk and economic risk are put forward, and the principle of them is illustrated with examples. Through the above analysis and combing, the results of this study show that the financial and insurance industry, extractive industry and transportation and warehousing industry face a very high risk of accounting conversion compared with other industries, at the same time, The negative impact of exchange rate changes on the cash flow of the financial, insurance and transportation and warehousing industries is relatively serious. The difference between forward exchange rate and spot exchange rate can well fit the fluctuation of enterprise stock price. The results show that the estimated exchange rate risk exposure coefficient of 64.4% of the 250 foreign-owned listed companies is estimated to be 5%. Significance test at the level of sex, Among them 91 companies exchange rate risk exposure direction is positive 70 companies exchange rate risk exposure direction is negative.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F279.2

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