双边汇率波动与汇率风险在供应链中的传导

发布时间：2018-04-06 21:25

本文选题：供应链　切入点：双边汇率波动性　出处：《电子科技大学》2014年硕士论文

【摘要】：本文利用批发价合同构建了一个包含零售商、制造商与供应商的供应链运作博弈模型,并在该模型的基础上进行了扩展(即将单个国外零售商扩展为国外和国内两个零售商),其中制造商面临着进出口双边汇率风险。基于两个模型均衡及相应的比较静态分析,研究了双边汇率波动性及其相关性结构对供应链节点企业运作变量的波动性、期望业绩和业绩波动性的影响,并给出了影响节点企业之间相对风险承担的因素。结果表明:(1)当进出口汇率波动负相关时,随着进(出)口汇率波动性程度的增加,有(1-a)供应商和国外零售商运作变量的波动性、期望业绩和业绩方差,制造商对供应商和国外零售商的均批发价方差,制造商的期望业绩和业绩方差均增加;(1-b)制造商对国内零售商的均衡批发价方差,国内零售商运作变量的波动性、期望业绩和业绩方差均先降低后增加,此时风险传导呈现出U-型特征;(2)当进出口汇率波动正相关时,随着进(出)口汇率波动性程度的增加,有(2-a)供应商和国外零售商运作变量的波动性、期望业绩和业绩方差,制造商对供应商和国外零售商的均衡批发价方差,制造商的期望业绩和业绩方差均先降低后增加,此时风险传导也呈现出U-型特征;(2-b)制造商对国内零售商的均衡批发价方差,国内零售商运作变量的波动性、期望业绩和业绩方差均增加;(3)在基础模型中,供应链节点企业之间的风险承担水平(用利润方差之比测度)取决于各自的决策灵活性,与汇率波动的相关性无关。这些结果,从理论上可以克服“价格传导方面的研究局限于识别汇率风险的单向传导”和“供应链管理文献只考虑汇率风险对供应链节点运作决策的影响而缺乏对汇率风险的传导机理和相应结果的研究”这两个缺陷;同时也可以为实践中供应链节点企业的决策者评估由于汇率波动而导致的风险和识别风险承担水平的影响因素提供一个参考。
[Abstract]:In this paper, a game model of supply chain operation involving retailers, manufacturers and suppliers is constructed by means of wholesale price contract.On the basis of this model, we extend the model (that is to say, a single foreign retailer is extended to two foreign and domestic retailers, in which manufacturers are faced with the risk of bilateral exchange rate of import and export.Based on the equilibrium of the two models and the comparative static analysis, the effects of bilateral exchange rate volatility and its correlation structure on the volatility, expected performance and performance volatility of supply chain node firms are studied.The factors that affect the relative risk assumption among nodal enterprises are also given.The results show that when import and export exchange rate fluctuations are negatively correlated, there is a volatility of operational variables, expected performance and performance variance of suppliers and foreign retailers with the increase of exchange rate volatility.The average wholesale price variance of manufacturers to suppliers and foreign retailers, the expected performance and performance variance of manufacturers increase 1-b) the equilibrium wholesale price variance of manufacturers to domestic retailers, and the volatility of domestic retailers' operational variables.Expected performance and performance variance decrease first and then increase. At this time, risk conduction presents a U- type characteristic. When import and export exchange rate fluctuations are positively correlated, the degree of exchange rate volatility increases with the increase of entry / exit exchange rate volatility.The volatility of operating variables of suppliers and foreign retailers, the variance of expected performance and performance, the equilibrium wholesale price variance of manufacturers to suppliers and foreign retailers, the expected performance and variance of manufacturers decrease first and then increase.At this time, risk transmission also presents U- type characteristics: the equilibrium wholesale price variance of manufacturers to domestic retailers, the volatility of domestic retailers' operational variables, and the increase of expected performance and performance variance in the basic model.The risk-bearing level (measured by the ratio of profit variance) between supply chain node enterprises depends on their decision flexibility and has nothing to do with the correlation of exchange rate fluctuations.These results,Theoretically, it can be overcome that the research on price transmission is limited to the one-way transmission of identifying exchange rate risk "and" supply chain management literature only considers the influence of exchange rate risk on the operational decision of supply chain node, but lacks of exchange rate risk.The two defects are the study of the conduction mechanism and the corresponding results.At the same time, it can also provide a reference for decision makers of supply chain node enterprises to evaluate the risk caused by exchange rate fluctuation and identify the risk bearing level in practice.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F274;F832.6;F752.6

【相似文献】