汇率波动对我国企业影响的meta分析

发布时间：2018-08-14 13:15

【摘要】：2005年7月中央银行宣布我国将实行以市场需求为主导,参考一揽子货币的有管理的浮动汇率制度,这标志中国汇率市场开始进入了有管理的浮动汇率制度时期。此后,人民币波动幅度增加、并持续升值,这给我国企业和宏观经济稳定带来新的冲击和挑战。随着我国市场经济的深化,中国经济与全球经济的结合更为紧密,更多的中国企业走出国门,参与国际经济贸易活动。人民币汇率的不稳定性,必然加剧我国企业的汇率风险。因此,有效地评价我国企业的外汇风险暴露,对于人们认识和规避汇率风险显得尤为必要。考察现有的研究可以发现,主要是利用资本市场法或现金流量法对单一企业的汇率风险暴露进行实证检验,然后对检验结果进行主观总结来判断我国企业总体外汇风险暴露情况,而没有进行进一步的统计检验。本文的贡献在于,利用合并(Meta)统计检验技术,对单一企业的汇率风险暴露的实证检验结果进行合并再检验,从而大大提高了检验的客观性和科学性。本文首先采用目前较流行的考虑汇率滞后影响的Williamson模型,度量我国单一企业的汇率风险暴露,确定每个企业的风险暴露方向。然后根据调查获得的企业经营信息,将企业划分为出口型企业和非出口型企业。最后,对出口型和非出口型企业及其汇率风险暴露进行合并检验分析。分析结果表明,我国大多数企业存在显著的外汇风险暴露,并且无论出口型还是进口型企业与外汇风险暴露的方向都没有显著关联性。表面上看,这一结论与传统经济理论相悖。但我们进一步的调查分析发现,样本中我国的出口型企业,在实际经营中也存在大量的外汇用款情况。这使得其同时在出口和进口两个方向,受到汇率风险的影响,这是导致与经济理论相悖的根本原因。
[Abstract]:In July 2005, the Central Bank announced that China will implement a managed floating exchange rate system, which is based on market demand and refers to a basket of currencies. This indicates that the Chinese exchange rate market has begun to enter the period of managed floating exchange rate system. Since then, the volatility of RMB has increased and continued to appreciate, which brings new impact and challenge to Chinese enterprises and macroeconomic stability. With the deepening of China's market economy, the combination of Chinese economy and global economy is closer, more and more Chinese enterprises go abroad to participate in international economic and trade activities. The instability of RMB exchange rate will inevitably aggravate the exchange rate risk of Chinese enterprises. Therefore, it is necessary for people to understand and avoid exchange rate risk by effectively evaluating foreign exchange risk exposure of Chinese enterprises. After reviewing the existing research, we can find that capital market method or cash flow method is mainly used to test the exchange rate risk exposure of a single enterprise. Then subjective summary of the test results is carried out to judge the overall foreign exchange risk exposure of Chinese enterprises, but no further statistical test is carried out. The contribution of this paper is that, by using the combined (Meta) statistical test technology, the empirical test results of the exchange rate risk exposure of a single enterprise are combined and re-tested, which greatly improves the objectivity and scientific nature of the test. This paper first uses the popular Williamson model considering the influence of exchange rate lag to measure the exchange rate risk exposure of a single enterprise in China and determine the risk exposure direction of each enterprise. Then, according to the business information obtained from the investigation, the enterprises are divided into export enterprises and non-export enterprises. Finally, the combined inspection and analysis of export-oriented and non-export-oriented enterprises and their exposure to exchange rate risk are carried out. The results show that most enterprises in China have significant exposure to foreign exchange risk, and there is no significant correlation between export and import enterprises and the direction of foreign exchange risk exposure. On the face of it, this conclusion runs counter to traditional economic theory. However, our further investigation and analysis show that there is also a large amount of foreign exchange funds in the actual operation of the export-oriented enterprises in our sample. This causes it to be affected by the exchange rate risk in both export and import directions, which is the fundamental reason that leads to the contradiction with economic theory.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.6;F279.2

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