中国跨境投资企业的外汇风险对冲效果研究——基于债务税盾的视角

发布时间：2018-03-27 08:04

本文选题：跨境投资　切入点：外汇风险对冲　出处：《北京工商大学学报(社会科学版)》2017年01期

【摘要】：随着人民币国际化的推进和"一带一路"战略的逐步实施,使得中国企业跨境投资增多,外汇风险加大,很多企业尝试使用外汇衍生品来对冲风险。文章以2007—2014年中国跨境投资企业为例,基于债务税盾的视角,使用"中介效应"模型和倾向得分匹配法(PSM)研究了中国跨境投资企业外汇风险对冲的效果。研究发现:外汇风险对冲能增加企业价值,普通OLS回归结果显示外汇风险对冲可给企业带来7.5%的价值溢价,在使用PSM方法控制了内生性之后,价值溢价更是高达10.40%;外汇风险对冲能增加企业的债务税盾,带来节税收益,OLS结果显示外汇风险对冲可使企业债务税盾平均增加60.4%,即使用PSM方法控制内生性之后,发现仍可增加39.85%;高跨境投资额企业的外汇风险对冲能显著提升企业价值和债务税盾,但低跨境投资额企业的外汇风险对冲效果不显著。
[Abstract]:With the promotion of RMB internationalization and the gradual implementation of Belt and Road's strategy, the cross-border investment of Chinese enterprises has increased and the foreign exchange risk has increased. Many companies are trying to hedge their risk by using foreign exchange derivatives. The article takes China's cross-border investment companies from 2007-2014 as an example, based on a debt tax shield perspective. Using the "intermediary effect" model and the tendency score matching method (PSM), this paper studies the effect of foreign exchange risk hedging on cross-border investment enterprises in China. It is found that foreign exchange risk hedging can increase firm value. The results of ordinary OLS regression show that hedging of foreign exchange risk can bring a value premium of 7.5% to enterprises, and the value premium is as high as 10.40% after the use of PSM method to control endogeny, the hedging of foreign exchange risk can increase the debt tax shield of enterprises. The results show that hedging foreign exchange risks can increase the tax shield on corporate debt by an average of 60.4%, even after the PSM method is used to control the endogeneity. It is found that the foreign exchange risk hedging of enterprises with high cross-border investment can significantly increase the enterprise value and debt tax shield, but the foreign exchange risk hedging effect of low cross-border investment enterprises is not significant.
【作者单位】：北京工商大学经济学院;北京大学软件与微电子学院;
【基金】：国家社会科学基金项目(15BGL020) 北京市哲学社会科学基金项目(16YJB010) 国家级大学生科学研究与创业行动计划项目(SJ201601008)
【分类号】：F832.6;F275

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