需求不确定环境下的汇率风险对冲策略与批发价合同

Exchange Rate Risk Hedging Strategy and Wholesale Price Contract under Demand Uncertainty

以全球环境下的一个由上游制造商和下游零售商组成的二级供应链为建模背景,建立了动态博弈模型,获得了均衡结果,并对均衡进行了比较静态分析,研究了汇率的不确定性、外生需求对风险对冲策略和批发价格的影响方式。结果表明:在均衡下,汇率的外生波动性的增加将导致制造商的汇率风险暴露比例降低,当制造商的风险规避系数足够大时,需求的外生波动性的增加将导致制造商的汇率风险暴露比例降低;汇率和需求的外生波动性的增加均会导致批发价格的降低。数值分析结果表明:在均衡下,汇率和需求的外生波动性的增加均会导致制造商利润的方差和期望值的降低,以及零售商利润的方差和期望值的增加。这表明,一方面,汇率风险通过批发价在供应链节点间向下传递,需求风险通过订货量向上传递;另一方面,制造商的汇率风险对冲策略能够实现风险承担与收益之间的权衡(即获取高收益对应着承担高风险)。

This paper mainly focuses on the risk management problem of a two-echelon global supply chain consisting of an upstream manufacturer facing with the exchange rate risk and a downstream retailer facing with the demand risk. In the supply chain, the manufacturer sells its product to the retailer via a wholesale price contract signed according to the retailer＇s currency and retailer sells in the final market. The demand risk roots in the uncertainty of final market demand while the exchange rate risk stems from the assumption that the manufacturer and the retailer operate in different counties and then the manufacturer＇s revenue per product sale suffers from the fluctuations of exchange rate. To hedge the exchange rate risk, the manufacturer buys the foreign exchange futures in futures market. We model the manufacturer＇s exchange rate risk-hedging decision as choosing a proportion of its revenue exposed to the exchange rate risk. In the standard wholesale price contract framework, this paper establishes a two-stage dynamic game model between the manufacturer and the retailer. The manufacturer offers a wholesale price to the retailer and decides its exchange rate risk-hedging decision in the first stage while given the wholesale price. The retailer follows to decide its order quantity from the manufacturer in the second stage. With this model, we calculate the subgame perfect equilibrium and conduct comparative static analysis on how the risks caused by the exchange rate and final market demand volatility influence the manufacturer＇s equilibrium risk-hedging decision and wholesale price. The analytical results show that in equilibrium, the proportion of the manufacturer＇s revenue that exposes to the exchange rate fluctuations decreases in both the exchange rate volatility and the final market demand volatility when the manufacturer＇s risk aversion coefficient is high enough. We also find that the equilibrium wholesale price decreases in these two kinds of risks. Furthermore, this paper investigates how these two risks influence each supply chain party＇s profitability via numerical analysis. The numerical results show that in equilibrium, the variance and the expectation of the manufacturer＇s profits decrease in those two kinds of uncertainties, but the variance and the expectation of the retailer＇s profits increase. These results demonstrate that on the one hand, the risk caused by the exchange rate volatility is to be transmitted downwards to the retailer through the wholesale price, which make the retailer＇s profit fluctuate with the volatile exchange rates. The retailer doesn＇ face with the exchange rate risk directly, and the risk caused by the final market demand volatility is to be transmitted upwards to the manufacturer through the order quantity. Thus, the manufacturer＇s profit is influenced by the demand risk although it doesn＇t face with the final market demand risk directly. On the other hand, the manufacturer＇s （retailer＇s） expected profitability and the profit variance are all negatively （positively） related to the two volatilities, thereby the manufacturer＇s risk-hedging decision can achieve the tradeoffbetween risks and returns （i.e. one who bears a higher risk obtains a higher return）. The results can provide guidance and suggestion for formulating the strategy of global supply chain contract and risk management in order to manage the exchange rate risk and the final market demand risk. The future research will focus on how the manufacturer incentivizes the retailer to hedge the exchange rate risk via contract under different risk allocation methods.