人民币汇率变动、汇兑损益与企业投资——基于资产负债表效应的研究

发布时间：2018-07-13 13:26

【摘要】：中国对外开放程度及人民币汇率市场化程度的提高,可能影响微观企业的经营和利润对汇率变动的敏感性。利用2003~2015年制造业上市公司的面板数据,试图发掘汇率变化、企业投资之间的关系,验证汇率波动是否通过资产负债表效应影响企业的投资决策。通过动态面板回归分析发现,中国制造业上市公司的投资主要受汇率变动所带来的净值变动、企业信贷量、企业绩效等因素影响,出口部门相对于非出口部门存在更为显著的资产负债表效应,人民币汇率变化日益成为影响企业投资的重要因素。此外,外汇风险规模越大的企业,汇兑损益对汇率变动的弹性反而较小,意味着随着外债程度的增加,企业越趋向于采用金融对冲手段来规避汇兑风险,从而某种程度上降低了风险暴露。
[Abstract]:The increase of China's opening to the outside world and the marketization of RMB exchange rate may affect the sensitivity of micro enterprises' operation and profit to exchange rate changes. Based on the panel data of manufacturing listed companies from 2003 to 2015, this paper tries to explore the relationship between exchange rate change and enterprise investment, and to verify whether the exchange rate fluctuation affects the investment decision of enterprises through the balance sheet effect. Through dynamic panel regression analysis, it is found that the investment of Chinese manufacturing listed companies is mainly affected by the net value change, the amount of enterprise credit, the enterprise performance and so on. There is a more significant balance sheet effect in the export sector than in the non-export sector, and the change of the RMB exchange rate is becoming an important factor affecting the investment of enterprises. In addition, the larger the scale of foreign exchange risk, the smaller the flexibility of exchange gains and losses to exchange rate changes, which means that with the increase of foreign debt, enterprises tend to use financial hedging to avoid exchange risk. This reduces the risk of exposure to some extent.
【作者单位】：南开大学经济学院;
【基金】：教育部人文社会科学研究一般项目(13YJCGJW007)
【分类号】：F275;F279.2;F832.6

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