中国企业对外投资汇率风险研究

An Empirical Research on Exchange Rate Risk of China's Outward Foreign Direct Investment

本文着眼于中国企业对外直接投资基本状况与人民币汇率制度演进,选取进行对外直接投资的大型上市公司为分析样本,采用Va R方法和GARCH(1,1)模型,通过计算日、周、月、季、年周期的美元、港币、欧元和澳元4种货币对数收益率观测值,研究汇率变动对中国对外直接投资企业的短期冲击与长期影响。通过分析,本文认为,由于澳元的汇率波动较大,对外直接投资企业以澳元作为结算货币时面临较大的汇率风险;与走势相对平稳的美元相比,欧元的汇率风险同样较为明显;港币由于执行的是与美元挂钩的汇率制度,汇率风险与美元相当。因此,综合而言,美元是全球最主要的避险货币。本文的研究结论对中国对外直接投资企业在区位选择、币种选择和汇率风险规避等方面具有一定的参考价值。

The paper focuses on the development of China＇s outward foreign direct investment and the evolution of RMB exchange rate system, selects large listing corporations as a sample, and studies the short-term and long-term effects of exchange rate fluctuation on China＇s outward foreign direct investment, by using Va R and GARCH（1,1） model and calculating observation values of logarithmic return rate measured in the US dollar, the HK dollar, the Euro and the Australian dollar in day, week, month, season and year cycles. The paper points out that the Australian dollar has strong exchange rate volatility and risk, the euro has significant exchange rate risk. The US dollar is one of main global hedge currencies, because its trend is relatively stable. The exchange rate risk of the HK dollar is similar to the US dollar, because the HK dollar is pegged to the US dollar. The conclusion of this paper has a certain significance to choose investment location and currency and avoiding exchange rate risk for China＇s outward foreign investment corporations.