上市企业汇率风险暴露及影响因素研究

Exchange Rate Exposure and its Determinants in China

随着汇率形成机制的日益完善,人民币汇率呈现出较强的双向波动特征,汇率风险成为企业日常经营和资本市场投资的重要风险点。本文对比分析了“8·11汇改”前后我国上市企业的汇率风险暴露情况及其影响因素。研究发现,“8·11汇改”后,我国上市企业存在汇率风险暴露的比例明显提高,受极端汇率波动的影响加剧。进一步研究表明,“8·11汇改”之前企业异质性因素的解释能力较弱,随着汇率市场化改革的逐步推进,企业规模、资产负债率和账面市值比日益成为影响企业汇率风险暴露的主要因素。本文对于厘清我国资本市场的汇率风险暴露特征、影响因素以及防范化解汇率风险具有重要意义。

With the progress of the exchange rate market-oriented reform,China’s foreign exchange market has witnessed increased two-way fluctuations of the RMB exchange rate.Chinese firms’daily operation and capital market investments has been,directly or indirectly,exposed to increased volatility of the RMB exchange rate.This paper presents a comprehensive study on Chines firms’exchange rate exposures and their determinants,with a focus on periods around the August 112015 reform(811 reform).We find that increased numbers of listed firms are exposed to exchange rate fluctuations after 811 reform.There are significant linear exchange rate exposures,identified by bilateral as well as multilateral exchange rate index.The extent to which a firm is subject to exposure can be explained by firm size,leverage ratio and BM ratio after the 811 reform,while few firm level factors are significant before the 811 reform.Our study is helpful in understanding Chinese firm’s exchange rate exposures and its determinants,and has valuable policy implications for exchange rate policy formulation and exchange rate risk management.