相关双边汇率波动与供应链中汇率风险传导

The correlation of two-sided exchange rate volatilities and transmission of exchange rate risk in supply chains

利用批发价合同构建了一个包含零售商、制造商与供应商的供应链运作博弈模型,其中制造商面临着进出口双边汇率风险.基于模型均衡及相应的比较静态分析,研究了双边汇率波动性及其相关性结构对供应链节点企业运作变量的波动性、期望业绩和业绩波动性的影响,并给出了影响节点企业之间相对风险承担的因素.结果表明:(1)当出口汇率波动与进口汇率波动负相关时,供应链节点企业运作变量的波动性、期望业绩和业绩方差均随进(出)口汇率波动性程度的增加而增加,但是,当二者正相关时,存在一个进(出)口汇率波动的临界水平,使得供应链节点企业运作变量的波动性、期望业绩和业绩方差在进(出)口汇率的波动性低于该临界水平条件下均随进(出)口汇率波动程度的增加而降低,否则均随进(出)口汇率波动程度的增加而增加,此时风险传导呈现出U型特征;(2)供应链节点企业之间的风险承担水平(用利润方差之比测度)取决于各自的决策灵活性,与汇率波动的相关性无关.

In this paper, we build a supply chain game model consisting of a supplier, a manufacturer and a retailer under a wholesale price contract, where the manufacturer as the focal firm is faced with two-sided （import and export） exchange rate volatilities. With the model equilibrium, we employ the comparative static analysis to study the impacts of those two-sided exchange rate volatilities and their correlation on the variances of the supply chain members＇ operations decisions, on their expected profits and on the corresponding vari- ances, and explore the factors that affect the relative levels of risk bearing among these three supply chain members. The results show that： （1） When those two-sided exchange rate volatilities are negatively correla- ted, the variances of the supply chain members＇ operations decisions, their expected profits and the corresponding variances increase with the import （export） exchange rate volatility; When those two-sided exchange rate volatilities are positively correlated, there exists a critical level of the import （export） exchange rate volatility such that the variances of the supply chain members＇ operations decisions, their expected profits and the corresponding variances decrease for lower levels of volatility and increase for higher levels, implying a U- shaped risk transmission; （2） The relative levels of risk bearing among these three supply chain members de- pend on their decision-making flexibility, but are independent of the correlation of two-sided exchange rate volatilities.