汇率波动对企业价值的线性与非线性影响——基于两种非线性效应的研究视角

Linear and Non-linear Effects of Exchange Rate Fluctuations on Chinese Firm Value

汇率波动既影响进出口企业价值,也影响本土企业价值。本文基于两种非线性效应构建包含线性与非线性汇率风险暴露的测量模型,对我国14个非金融类行业1786家上市企业价值自2005年汇改以来面临的线性和非线性汇率风险暴露进行时变估计与分析。研究发现,与线性暴露情况相比,我国进出口企业和纯本土企业存在更普遍的非线性暴露。随着时间推移,所有行业存在显著线性汇率风险暴露的企业比例增加,存在显著非线性暴露的企业比例有所下降;我国企业受非线性汇率风险影响的非对称效应明显。

Exchange rate fluctuations would have influences over the values of import-export firms and domestic firms. This study employs two different linear and non- linear models combined with asymmetric effect and size effect to measure the linear and non- linear foreign exchange rate risk exposures of 1,786 Chinese listed firms from 14 non- financial industries since the exchange rate regime reform in 2005. The results indicate that as the reform of China＇s foreign exchange regimes goes on, the percentage of firms in all industries that shows significant linear foreign exchange exposures increases and those non-linear exposures decrease. Chinese listed firms have obvious asymmetric effect of non-linear exchange exposure.