需求不确定环境下的汇率风险对冲策略与批发价合同

发布时间：2018-04-24 11:25

本文选题：供应链风险管理 + 批发价合同　；参考：《管理工程学报》2017年01期

【摘要】：以全球环境下的一个由上游制造商和下游零售商组成的二级供应链为建模背景,建立了动态博弈模型,获得了均衡结果,并对均衡进行了比较静态分析,研究了汇率的不确定性、外生需求对风险对冲策略和批发价格的影响方式。结果表明:在均衡下,汇率的外生波动性的增加将导致制造商的汇率风险暴露比例降低,当制造商的风险规避系数足够大时,需求的外生波动性的增加将导致制造商的汇率风险暴露比例降低;汇率和需求的外生波动性的增加均会导致批发价格的降低。数值分析结果表明:在均衡下,汇率和需求的外生波动性的增加均会导致制造商利润的方差和期望值的降低,以及零售商利润的方差和期望值的增加。这表明,一方面,汇率风险通过批发价在供应链节点间向下传递,需求风险通过订货量向上传递;另一方面,制造商的汇率风险对冲策略能够实现风险承担与收益之间的权衡(即获取高收益对应着承担高风险)。
[Abstract]:Based on a two-level supply chain in the global environment composed of upstream manufacturers and downstream retailers, a dynamic game model is established, the equilibrium results are obtained, and the equilibrium is analyzed statically. The effects of exchange rate uncertainty, exogenous demand on risk hedging strategy and wholesale price are studied. The results show that under equilibrium, the increase of exogenous volatility of exchange rate will lead to the reduction of the risk exposure ratio of the manufacturer, when the risk aversion coefficient of the manufacturer is large enough, The increase of exogenous volatility of demand will reduce the exposure of manufacturers to exchange rate risk; the increase of exchange rate and exogenous volatility of demand will lead to lower wholesale prices. Numerical results show that under equilibrium, the increase of exogenous volatility of exchange rate and demand will lead to the decrease of manufacturer's profit variance and expected value, and the increase of retailer's profit variance and expectation value. This shows that, on the one hand, exchange rate risk is transmitted downwards between supply chain nodes through wholesale prices, and demand risk is passed up through order volume; on the other hand, The exchange rate risk hedging strategy of the manufacturer can realize the trade-off between the risk assumption and the return (that is to say, the acquisition of high return corresponds to the assumption of high risk).
【作者单位】：电子科技大学经济与管理学院;西南科技大学经济管理学院;
【基金】：国家自然科学基金重点资助项目(70932005);国家自然科学基金资助项目(71272129) 教育部新世纪优秀人才支持计划资助项目(NCET-11-0064) 四川青年科技基金资助项目(2013JQ0031) 电子科技大学中青年学术带头人培养计划资助项目(Y02018023601063)
【分类号】：F274;F830.73

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