基于双变量GJR-GARCH模型的汇率风险暴露研究——关于对外投资企业的实证分析

发布时间：2018-05-05 21:28

本文选题：汇率波动 + 对外投资企业　；参考：《社会科学家》2015年02期

【摘要】：近年来,中国与全球经济的联系更加密切,对外投资规模持续扩大。而伴随着人民币汇率波动的不断加剧,作为对外投资参与主体的对外投资企业直接承受着较大的汇率风险。文章以境外资产总额和对外投资存量较大的30家中国对外投资上市企业为研究样本,针对对外投资过程中使用得最多的三种外币——欧元、美元和日元兑人民币汇率的波动,运用双变量GJR-GARCH模型考察对外投资企业的汇率风险暴露。实证结果表明:上述对外投资企业存在显著滞后一期的汇率风险暴露,其中80%、60%和67%的企业分别面临人民币兑欧元、兑美元和兑日元的汇率风险暴露,且风险暴露具有非对称性,人民币兑不同外币的汇率变动对企业的影响程度不同,大部分企业受损于人民币升值。
[Abstract]:In recent years, China and the global economy are more closely linked, the scale of foreign investment continues to expand. With the increasing volatility of RMB exchange rate, foreign investment enterprises as the main body of foreign investment bear greater exchange rate risk directly. Based on 30 listed Chinese enterprises with large stock of overseas assets and foreign investment, this paper aims at the fluctuation of the exchange rate of three kinds of foreign currencies, the euro, the US dollar and the yen, against the RMB, which are the three foreign currencies used most in the process of overseas investment. The exchange rate risk exposure of foreign investment enterprises is investigated by using two-variable GJR-GARCH model. The empirical results show that these OII enterprises have significantly delayed exposure to exchange rate risk, in which 80% and 67% of them are exposed to RMB against euro, USD and JPY, respectively, and the risk exposure is asymmetric. Changes in the exchange rate of the renminbi against different foreign currencies have had different effects on enterprises, with most companies suffering from the appreciation of the renminbi.
【作者单位】：湖南大学工商管理学院;湖南大学金融与投资管理研究中心;
【基金】：国家自然科学基金创新研究群体项目(71221001) 国家软科学研究计划项目(2010GXS5B141)
【分类号】：F832.6;F224

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