外汇风险对冲和公司价值:基于中国跨国公司的实证研究

发布时间：2018-04-10 08:20

本文选题：汇率风险　切入点：对冲　出处：《经济研究》2012年09期

【摘要】：2005年7月人民币汇改以来,人民币升值,特别是相对于美元大幅升值,其不利影响开始显现,我国不少跨国公司使用外汇衍生品来对冲人民币汇率升值带来的风险。然而,尽管不少国外学者对金融衍生品使用和公司价值的关系进行了深入研究,但以中国公司为样本的研究仍很少见。中信泰富等衍生品投机事件和2008年金融危机的发生使得我国学者对金融衍生工具的作用和性质争议不断,使用外汇衍生品对冲外汇风险是否增加公司价值仍是一个有待深入研究的问题。本文基于2007年至2009年968家中国跨国公司的数据,实证检验了外汇衍生品使用和公司价值的关系,发现外汇衍生品使用带来了约10%的价值溢价,这一重要发现和基于发达国家的不少研究相一致。该研究成果支持了外汇衍生品在汇率风险管理中的积极作用和加快发展我国外汇衍生品市场特别是交易所市场以掌握人民币汇率定价权的重要性和紧迫性。
[Abstract]:Since July 2005, the RMB exchange rate reform of RMB appreciation, especially relative to the dollar appreciated, its adverse effects began to appear in China, many multinational companies use derivatives to hedge foreign currency appreciation of the RMB exchange rate risk. However, although many foreign scholars on the relationship between the use of financial derivatives and the value of the company conducted in-depth research, but to China company the research sample is still very rare. CITIC Pacific derivatives speculation event and the 2008 financial crisis makes Chinese scholars dispute on the role and nature of financial derivatives, foreign exchange derivatives to hedge foreign exchange risk will increase the value of the company is still one of the problems to be further studied in this paper. From 2007 to 2009 968 Chinese of multinational companies based on the data, the paper examines the relationship of foreign exchange derivatives and the value of the company, found that the use of foreign exchange derivatives The value premium of about 10%, which is one of the most important discoveries and many developed countries based on consistent. The research results support the positive effect of foreign exchange derivatives in the management of exchange rate risk and accelerate the development of China's foreign exchange derivatives market especially the importance of the exchange market to grasp the RMB exchange rate pricing and urgency.

【作者单位】：中南财经政法大学会计学院;
【基金】：国家自然科学基金面上项目“中国跨国公司汇率风险管理研究:敞口测度、影响因素和对冲效果”(项目批准号:71172220)的阶段性成果
【分类号】：F832.6;F276.7;F224

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