人民币开放进程中对外投资企业汇率风险管理研究

发布时间：2018-06-17 03:47

  本文选题：人民币开放 + 对外投资企业　； 参考：《湖南大学》2015年博士论文

【摘要】：随着汇率制度改革和开放步伐的不断推进,人民币汇率波动逐步加剧,汇率市场化趋势日益明显。与此同时,在全球经济一体化和中国市场经济改革不断深化的背景下,越来越多的国内企业对外进行直接投资。与一般企业相比,对外投资企业在对外投资过程中广泛接触外币资金,拥有更多的外币资产和负债。因此,对外投资企业直接面临人民币与外币兑换所带来的汇率风险。在过去固定汇率制度的环境中,中国企业普遍缺乏风险防范意识,风险度量方法和规避策略相对落后,对外投资企业的汇率风险管理水平也受到严重制约。在新的形势下,汇率风险已经成为影响企业发展的重要因素之一,对外投资企业必须对此加以重视。在对外投资企业汇率风险管理相关机理研究中,本文从人民币汇率波动、汇率风险暴露识别、汇率风险大小、汇率风险规避方法等几个方面出发进行梳理:首先考察对外投资企业汇率风险形成的原因,接着探讨汇率风险暴露的内涵、分类和影响因素,并阐述汇率风险暴露的度量方法,进而分析对外投资企业汇率风险度量方法,最后比较企业汇率风险的管理工具。在对外投资企业汇率风险管理的实证研究部分,本文沿着人民币汇率波动、对外投资企业汇率风险识别、度量汇率风险大小以及汇率风险规避方法这一路径展开分析。首先,为了更好地刻画金融时间序列的特征,利用SV族模型从不同角度刻画并对比汇改前后人民币汇率波动的特征,发现与汇改前相比,人民币汇率在汇改后表现出更强的波动持续性,且存在一定的杠杆性。然后,基于汇率风险暴露的非对称性以及股票收益率和汇率波动率的异方差性,构建双变量GJRGARCH模型考察对外投资企业的汇率风险暴露,发现对外投资企业的汇率风险暴露存在显著的不对称和滞后性,且在不同汇率条件下汇率风险暴露程度各异。再后,利用VaR-GARCH模型度量汇改前后、金融危机前后对外投资企业的汇率风险。实证发现,整体而言在汇率改革前后人民币兑美元的收益率波动幅度较其它两种货币要大,而欧元波动对收益率序列所带来的影响则更长。进一步地,通过实例计算得出在不同置信区间上可能遭受的最大损失,用实际的数字表明对外投资企业的汇率风险。最后,利用外汇期货合约套期保值技术探讨企业汇率风险的规避问题。以最小方差为风险度量指标,从设定边际分布模型出发,构建机制转换动态Copula模型。研究发现,汇率现货与期货收益率之间的相关性是动态变化的,Markov状态转换动态Copula模型可以为模型的精确性提供保证。同时,根据边际分布和状态转换动态Gaussian Copula函数的参数估计结果,计算出最优套期保值比率,对比分析状态转换动态Copula模型与其它套期保值模型的套期保值效果,证实状态转换动态Copula模型的优势,以实现对中国对外投资企业汇率风险的有效规避。在上述理论分析和实证研究的基础上,本文围绕汇率风险管理的金融环境建设、对外投资企业汇率风险识别策略、度量手段和规避策略创新4个方面提出对策建议。
[Abstract]:With the continuous progress of the reform and opening up of the exchange rate system, the fluctuation of the RMB exchange rate has gradually intensified and the trend of exchange rate marketization is becoming more and more obvious. At the same time, more and more domestic enterprises have made direct investment in the context of the global economic integration and the deepening of the reform of the Chinese market economy. In the process of foreign investment, enterprises have extensive contact with foreign currency funds and have more foreign currency assets and liabilities. Therefore, foreign investment enterprises face the exchange rate risks of RMB and foreign currency exchange. In the past fixed exchange rate system, Chinese enterprises generally lack the awareness of risk prevention, risk measurement methods and evasion strategies. In the new situation, the exchange rate risk has become one of the important factors affecting the development of the enterprise. The foreign investment enterprises must pay attention to it. In the study of the related mechanism of exchange rate risk management of foreign investment enterprises, this article from the exchange rate fluctuation of RMB exchange rate. Rate risk exposure identification, exchange rate risk size, exchange rate risk avoidance method and other aspects: first examine the reasons for the formation of exchange rate risk of foreign investment enterprises, then discuss the connotation, classification and influencing factors of exchange rate risk exposure, and explain the measurement method of exchange rate risk exposure, and then analyze the exchange rate of foreign investment enterprises. Risk measurement method, and finally compare the management tools of the exchange rate risk of the enterprise. In the empirical part of the exchange rate risk management of foreign investment enterprises, this paper analyzes the path of the RMB exchange rate fluctuation, the recognition of the exchange rate risk of foreign investment enterprises, the measurement of the size of the exchange rate risk and the method of avoiding the exchange rate risk. The characteristics of the financial time series are depicted and the characteristics of the RMB exchange rate fluctuation are depicted and compared from different angles by the SV family model. It is found that the RMB exchange rate has a stronger volatility and a certain leverage after the remittance before the remittance, and then, based on the asymmetry of the exchange rate risk exposure and the stock collection. With the heteroscedasticity of interest rate and exchange rate volatility, a bivariate GJRGARCH model is constructed to examine the exposure of exchange rate risk of foreign investment enterprises. It is found that the exchange rate risk exposure of foreign investment enterprises has significant asymmetry and lag, and the exposure degree of exchange rate risk is different under different exchange rate conditions. Then, the VaR-GARCH model is used to measure the exchange rate before the exchange reform. After the financial crisis, the exchange rate risk of the foreign investment enterprises before and after the financial crisis has been found. In the case of the exchange rate reform, the volatility of the RMB against US dollar is larger than the other two currencies, and the impact of the euro fluctuation on the yield sequence is longer. The maximum loss that can be suffered, the exchange rate risk of the foreign investment enterprise is demonstrated by the actual number. Finally, the hedging technology of the foreign exchange futures contract is used to discuss the avoidance of the exchange rate risk of the enterprise. Based on the minimum variance as the risk measure, the dynamic Copula model is converted from the set of marginal distribution model to the construction mechanism. The correlation between spot and futures returns is dynamic. The dynamic Copula model of Markov state transformation can provide guarantee for the accuracy of the model. At the same time, the optimal hedging ratio is calculated according to the parameter estimation results of the dynamic Gaussian Copula function of the marginal distribution and state conversion, and the dynamic Copula model of the state transformation is compared and analyzed. The hedging effect of model and other hedging model confirms the advantages of state conversion dynamic Copula model to effectively avoid the exchange rate risk of Chinese foreign investment enterprises. Based on the above theoretical analysis and empirical research, this paper focuses on the financial environment construction of exchange rate risk management and the recognition of exchange rate risk of foreign investment enterprises. Strategy, puts forward some countermeasures and suggestions in 4 aspects of measures and strategies to avoid innovation.
【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.6
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本文编号：2029532