新汇率制度下我国钢铁行业外汇风险暴露的实证研究

发布时间：2018-01-30 19:27

本文关键词： 新汇率制度钢铁行业外汇风险暴露　出处：《山东大学》2012年硕士论文　论文类型：学位论文

【摘要】：2005年7月21日,我国对人民币汇率形成机制进行了改革,人民币汇率不再盯住单一美元,而是实行以市场供求为基础、参考一篮子货币进行调节的、有管理的浮动汇率制度。人民币汇率制度改革以后,人民币汇率呈现出渐进式升值的趋势,汇率弹性不断加大,这对我国出口型企业影响较大。同时,伴随着国际金融危机和欧洲主权债务危机的发生,国际经济形势更加复杂多变,我国出口型企业所面临的形势更为严峻。钢铁行业在整个国民经济中具有十分重要的作用,近些年来,我国钢铁企业不断加大国际化步伐,所面临的外汇风险更加巨大,因此,本文将我国钢铁行业外汇风险暴露的情况作为研究重点。在企业外汇风险暴露这一问题上,国内外学者研究颇多,但大多是针对发达国家的跨国企业,尤其是美国跨国企业的研究,对发展中国家的研究相对较少。由于我国汇率制度改革起步较晚,外汇风险长期集中在国家层面,因此导致对微观经济主体所面临的外汇风险暴露的研究较为滞后。本文在前人研究和理论分析的基础之上,运用面板数据,从实证层面分析了我国钢铁行业外汇风险暴露情况以及钢铁行业外汇风险暴露的影响因素,在模型选取方面,既运用Jorion双因素模型来度量人民币实际有效汇率指数的波动对我国钢铁行业的影响,同时采用Williamson模型研究特定币种对钢铁行业企业价值的影响,较为全面的考察我国钢铁行业的外汇风险暴露情况。实证结果表明,不管是加权的人民币汇率指标,还是分币种指标,我国钢铁行业都面临着显著的外汇风险暴露。在分币种研究方面,人民币兑美元和日元升值会对我国上市钢铁行业企业的股票收益率带来不利影响,而人民币对欧元和港币升值会对我国上市钢铁行业企业的股票收益率带来有利影响,不同货币汇率的波动对我国钢铁行业的影响不同。与之前的大多研究结果不同,本文研究结果表明,国际金融危机爆发以后,我国钢铁行业企业所面临的外汇风险暴露水平反而降低了。对我国钢铁行业外汇风险暴露影响因素的实证研究结果显示,规模越小的企业所面临的外汇风险暴露越大；就外销比例来说,人民币对美元和港币汇率的波动却对高外销比例的钢铁企业影响更小；账面市值比对上市钢铁行业企业外汇风险暴露水平的影响是正向的；高负债比率钢铁企业面临的外汇风险暴露总体上要高于低负债比率的钢铁企业；流动比率较高的企业其外汇风险暴露越小,而流动比率较低的企业其外汇风险暴露较大。在理论分析的基础上,并结合实证结果,本文提出如下政策建议：稳步扩大企业的规模,实施区域多元化经营策略；不断提高企业的国际化水平,积极参与国际竞争；促进企业财务管理的多样化,分散投融资风险；降低企业的负债比率,提高企业的偿债能力；提高企业的风险防范意识和风险管理手段的灵活性。
[Abstract]:On July 21 , 2005 , China ' s RMB exchange rate formation mechanism has been reformed , the RMB exchange rate is no longer pegged to the single dollar , but the RMB exchange rate is adjusted with the market supply and demand . On the basis of the previous research and the theoretical analysis , the paper analyzes the effect of foreign exchange risk exposure in China ' s iron and steel industry and the influence factors of foreign exchange risk exposure in the steel industry . The empirical results show that China ' s steel industry faces significant foreign exchange risk exposure , regardless of whether it is a weighted RMB exchange rate index or a sub - currency index . In the case of currency research , the appreciation of RMB against the dollar and yen will have a favorable impact on the stock yield of Chinese listed steel industry enterprises . The results show that the exposure level of foreign exchange risk faced by enterprises in China ' s steel industry after the outbreak of the international financial crisis has decreased . The empirical research on the impact factors of foreign exchange risk exposure in China ' s steel industry shows that the greater the exposure of foreign exchange risk faced by enterprises with smaller scale , the effect of RMB on the exchange rate of USD and Hong Kong dollar is less than that of the iron and steel enterprises with high export ratio . On the basis of theoretical analysis and combining with the empirical results , this paper puts forward the following policy suggestions : steadily expanding the scale of enterprises , implementing diversified management strategies of the region , increasing the internationalization level of enterprises , actively participating in international competition , promoting diversification of enterprise financial management , diversifying investment and financing risks , lowering the debt ratio of enterprises , improving the debt service ability of enterprises , and improving the flexibility of enterprise risk prevention awareness and risk management means .

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F426.31;F832.6;F224

【参考文献】