外汇衍生品对外汇风险暴露的影响研究——基于中国跨国公司的实证分析
发布时间：2018-10-31 08:26
【摘要】：浮动汇率制及全球经济一体化加剧了人民币汇率波动,使国际贸易汇率风险凸显;目前中国一些跨国公司正使用外汇衍生品管控汇率风险暴露。国内对外汇衍生品能否降低企业的外汇风险暴露的理论研究相对较少,同时个别外汇衍生品风险事件引起了业界对其使用效果的广泛关注。文章以中国2007-2015年221家非金融类上市跨国公司为样本,运用Jorion两因素模型,研究样本公司股票收益率对汇率波动的敏感程度,以此作为其外汇风险暴露的大小。文章通过非平衡面板数据模型分析了外汇衍生品使用与跨国公司外汇风险暴露的关系,结果表明:中国每年平均有11.7%的跨国公司面临显著的外汇风险暴露;外汇衍生品使用可以有效降低中国跨国公司的汇率风险。
[Abstract]:Floating exchange rates and global economic integration have exacerbated the volatility of the renminbi, highlighting the risk of exchange rates in international trade, as some Chinese multinationals are using foreign exchange derivatives to control exposure to currency risks. There are relatively few theoretical studies on whether foreign exchange derivatives can reduce the exposure of foreign exchange risk to enterprises, and some foreign exchange derivatives risk events have aroused widespread concern about the effect of foreign exchange derivatives in the industry. Taking 221 non-financial listed multinational corporations in China from 2007 to 2015 as a sample, using Jorion two-factor model, this paper studies the sensitivity of stock return rate to exchange rate fluctuation, which is regarded as the magnitude of exposure to foreign exchange risk. This paper analyzes the relationship between the use of foreign exchange derivatives and the exposure of multinational companies to foreign exchange risk through non-equilibrium panel data model. The results show that on average 11.7% of multinational companies in China face significant exposure to foreign exchange risk every year. The use of foreign exchange derivatives can effectively reduce the exchange rate risk of Chinese multinationals.
【作者单位】： 重庆理工大学经济金融学院;
【基金】：国家社会科学基金项目“我国企业汇率风险承受能力基本应急机制研究”(12XJY030)
【分类号】：F276.7;F832.6
本文编号：2301513
[Abstract]:Floating exchange rates and global economic integration have exacerbated the volatility of the renminbi, highlighting the risk of exchange rates in international trade, as some Chinese multinationals are using foreign exchange derivatives to control exposure to currency risks. There are relatively few theoretical studies on whether foreign exchange derivatives can reduce the exposure of foreign exchange risk to enterprises, and some foreign exchange derivatives risk events have aroused widespread concern about the effect of foreign exchange derivatives in the industry. Taking 221 non-financial listed multinational corporations in China from 2007 to 2015 as a sample, using Jorion two-factor model, this paper studies the sensitivity of stock return rate to exchange rate fluctuation, which is regarded as the magnitude of exposure to foreign exchange risk. This paper analyzes the relationship between the use of foreign exchange derivatives and the exposure of multinational companies to foreign exchange risk through non-equilibrium panel data model. The results show that on average 11.7% of multinational companies in China face significant exposure to foreign exchange risk every year. The use of foreign exchange derivatives can effectively reduce the exchange rate risk of Chinese multinationals.
【作者单位】： 重庆理工大学经济金融学院;
【基金】：国家社会科学基金项目“我国企业汇率风险承受能力基本应急机制研究”(12XJY030)
【分类号】：F276.7;F832.6
【相似文献】
相关期刊论文 前2条
1 郭飞;;外汇风险对冲和公司价值:基于中国跨国公司的实证研究[J];经济研究;2012年09期
2 陈晓莉;张妍;高璐;;企业外汇风险研究述评[J];经济学动态;2012年02期
相关博士学位论文 前2条
1 谷任;中国进出口上市企业的外汇风险暴露研究[D];华南理工大学;2012年
2 林圣哲;中国跨国企业外汇风险暴露与决定因子之研究[D];复旦大学;2006年
相关硕士学位论文 前4条
1 黄翌飘;外汇衍生品对冲对公司价值的影响[D];南京大学;2016年
2 汪超;外汇衍生品对公司价值的影响[D];华中科技大学;2015年
3 王雅瑜;基于人民币实际有效汇率的上市公司外汇风险暴露研究[D];湖南大学;2007年
4 李瑞;汇率波动对我国企业影响的meta分析[D];天津财经大学;2013年
，本文编号：2301513
本文链接：https://www.wllwen.com/jingjilunwen/huobiyinxinglunwen/2301513.html
