汇率波动对我国外贸行业利润的影响研究

发布时间：2018-07-04 23:10

本文选题：汇率风险暴露 + 行业利润　；参考：《国际贸易问题》2012年03期

【摘要】：基于我国资本市场特征的资产定价假设,构建了基于时变风险溢价的条件期望资产定价模型,估计我国贸易行业的汇率风险暴露值,并进一步借助面板数据固定效应与随机效应方法估计了决定汇率风险暴露的影响因素。研究发现,汇率波动对我国进出口行业利润有着十分明显的时变影响,尤其在汇改以后汇率波动对行业利润率的影响更大,受影响的行业面更广。我国进出口行业间的汇率风险暴露差异较大,存在着四种行业汇率风险暴露情况,各行业不同的暴露特征与海外销售收入、企业规模、海外成本和流动性水平等因素密切相关。
[Abstract]:Based on the asset pricing hypothesis of China's capital market characteristics, a conditional expectation asset pricing model based on time-varying risk premium is constructed to estimate the exposure value of exchange rate risk in China's trade industry. Furthermore, the determinants of exchange rate risk exposure are estimated by panel data fixation and random effect methods. It is found that the exchange rate fluctuation has a very obvious time-varying influence on the profit of the import and export industry in China, especially after the exchange rate reform, the exchange rate fluctuation has a greater impact on the profit margin of the industry, and the affected industries are more extensive. There are four kinds of foreign exchange rate risk exposure in China's import and export industries. The different exposure characteristics of different industries are closely related to overseas sales income, enterprise size, overseas cost and liquidity level.
【作者单位】：华南理工大学经济与贸易学院;华南理工大学工商管理学院;
【基金】：广东省普通高校人文社会科学重大攻关项目“国际金融危机背景下广东经济的金融风险测定及管理研究” 华南理工大学中央高校基本科研业务项目(2009SM0017)的资助
【分类号】：F224;F832.6;F752

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