中国上市金融机构外汇风险暴露——基于汇改后数据的经验分析

Foreign Exchange Exposure of China Listed Financial Institutions——Empirical Study Based on the Data after the RMB Exchange Rate Reform

2005年人民币汇率制度改革后,汇率日趋浮动,使我国企业暴露在更大的外汇风险中,金融机构作为特殊的金融企业,其面临的外汇风险暴露更应得到重视。本文在对相关文献进行综述的基础上,对我国上市金融机构外汇风险暴露及其影响因素的情况进行了实证检验。检验的结论是:我国金融业面临显著的外汇风险暴露,人民币升值对其股票收益和现金流均具有不利影响;对于外汇风险暴露的影响因素,检验结果表明外币净头寸、汇兑损益、汇率对现金的影响以及外币报表折算差额等显性的外汇风险敞口指标,能够很好地与各家金融机构的外汇风险暴露程度保持一致。

After the reform of RMB exchange rate in 2005, the RMB exchange rate began to fluctuate. Then the corporations are exposed to RMB exchange rate risk, and the ex- change rate exposures of financial corporations are especially important. Based on the litera- ture review, we tested the foreign exchange exposure of listed financial institutions and the determinants of the exposure. The results are that there are obvious foreign exchange expo- sures in financial corporations, and the appreciation of the RMB negatively influenced the stock price and the cash flows. To the determinants of the exposures, the foreign exchange net position, the balance of foreign exchange translation, the influence of foreign ex- change rate to cash flow and the gain or loss of exchange brought into correspondence with the exposure of foreign exchange of these financial corporations.