我国纺织企业汇率风险和利率风险的同步管理研究
发布时间：2018-09-10 14:50
【摘要】：纺织行业属于劳动密集型行业，在我国行业中具有传统优势，纺织产品是我国重要的外贸产品，出口依存度高，超过50%。因此对大多数纺织企业来说，在外汇交易、国际贸易、国际投资以及国际结算等经济活动中，面临着汇率不断变动的风险。我国利率市场化不断推进的过程中，纺织企业对外贸易，除了受汇率波动的风险外，在面临融资需求时，还会受到利率波动的影响，融资成本将难以预测。国内外研究证明，汇率和利率的影响越来越明显，，在汇率与利率双重风险的影响下，如何更有效地管理汇率风险和利率风险具有重要的实践意义。 本文借鉴了国内外的研究成果，以汇率和利率相互影响为基础，根据套期保值理论，分别采用定性和定量的研究方法，研究我国纺织企业管理汇率风险和利率风险，同时比较了同步管理策略和独立管理策略的差异性，得出更具有优势的方法。在实证研究中，根据我国金融市场的实际情况，运用远期汇率和远期利率协议规避汇率和利率的双重风险，构建常相关系数多元GARCH模型，运用Eviews软件估计模型参数和动态套期保值比率。最后，进行效率的比较，得出同步管理要优于独立管理，同时比较了常相关系数多元GARCH模型与静态套期保值模型、传统套期保值模型的效率，得出常相关系数多元GARCH模型要优于其他模型；并给出建议,在面临汇率风险和利率风险时，我国纺织企业应当采取同步管理。
[Abstract]:Textile industry is a labor-intensive industry with traditional advantages in China. Textile products are an important foreign trade product of our country. The export dependence of textile industry is high, more than 50%. Therefore, for most textile enterprises, the exchange rate is constantly changing in the economic activities such as foreign exchange trading, international trade, international investment and international settlement. In the process of marketization of interest rate in our country, the foreign trade of textile enterprises is not only subject to the risk of exchange rate fluctuation, but also affected by the fluctuation of interest rate in the face of financing demand, and the financing cost will be difficult to predict. Studies at home and abroad have proved that the influence of exchange rate and interest rate is more and more obvious. Under the influence of exchange rate and interest rate double risk, how to manage exchange rate risk and interest rate risk more effectively has important practical significance. Based on the mutual influence of exchange rate and interest rate, this paper studies the exchange rate risk and interest rate risk of Chinese textile enterprises by using qualitative and quantitative research methods according to hedging theory. At the same time, the difference between synchronous management strategy and independent management strategy is compared, and a more advantageous method is obtained. In the empirical study, according to the actual situation of the financial market in China, using forward exchange rate and forward interest rate agreement to avoid the double risk of exchange rate and interest rate, we construct the multiple GARCH model with constant correlation coefficient. Eviews software is used to estimate model parameters and dynamic hedging ratio. Finally, the efficiency of synchronous management is better than that of independent management. At the same time, the efficiency of multivariate GARCH model with constant correlation coefficient, static hedging model and traditional hedging model is compared. It is concluded that the multivariate GARCH model with constant correlation coefficient is superior to other models, and it is suggested that China's textile enterprises should adopt synchronous management in the face of exchange rate risk and interest rate risk.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F272.3;F426.81;F832.6;F822.0
[Abstract]:Textile industry is a labor-intensive industry with traditional advantages in China. Textile products are an important foreign trade product of our country. The export dependence of textile industry is high, more than 50%. Therefore, for most textile enterprises, the exchange rate is constantly changing in the economic activities such as foreign exchange trading, international trade, international investment and international settlement. In the process of marketization of interest rate in our country, the foreign trade of textile enterprises is not only subject to the risk of exchange rate fluctuation, but also affected by the fluctuation of interest rate in the face of financing demand, and the financing cost will be difficult to predict. Studies at home and abroad have proved that the influence of exchange rate and interest rate is more and more obvious. Under the influence of exchange rate and interest rate double risk, how to manage exchange rate risk and interest rate risk more effectively has important practical significance. Based on the mutual influence of exchange rate and interest rate, this paper studies the exchange rate risk and interest rate risk of Chinese textile enterprises by using qualitative and quantitative research methods according to hedging theory. At the same time, the difference between synchronous management strategy and independent management strategy is compared, and a more advantageous method is obtained. In the empirical study, according to the actual situation of the financial market in China, using forward exchange rate and forward interest rate agreement to avoid the double risk of exchange rate and interest rate, we construct the multiple GARCH model with constant correlation coefficient. Eviews software is used to estimate model parameters and dynamic hedging ratio. Finally, the efficiency of synchronous management is better than that of independent management. At the same time, the efficiency of multivariate GARCH model with constant correlation coefficient, static hedging model and traditional hedging model is compared. It is concluded that the multivariate GARCH model with constant correlation coefficient is superior to other models, and it is suggested that China's textile enterprises should adopt synchronous management in the face of exchange rate risk and interest rate risk.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F272.3;F426.81;F832.6;F822.0
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