风险对冲手段、汇率冲击程度与风险管理效果——来自上市公司出口业务的经验证据

Hedging Tools,Exchange Rate Shock and Risk Management Effect——Evidence from Export Business in Manufacturing Public Firms

本文以2008-2015年有出口收入的非金融类A股上市公司为研究对象,采用Heckman两阶段回归方法,检验了包括地理分散、客户稳定、加快生产速度、紧缩商业信用、汇率衍生工具和配对借款在内的六项风险对冲手段在企业汇率风险管理中的使用状况及使用效果。研究表明:经营对冲手段的使用频率相对较高,而金融对冲手段的使用频率相对较低;地理分散、客户稳定、汇率衍生工具和配对借款能显著提高出口收入;宏观汇率冲击程度较高时,调整成本较高的对冲手段的风险管理效果会被削弱,而调整成本较低的对冲手段的风险管理效果反而有所增强。

The paper uses non-financial listed companies with export sales from 2008 to 2015 as objectives and Heckman-two-stage regression as research method to explore the current status and risk management effect of six hedging tools,which include geographic decentralization,customer stability,fast producing,trade credit shrinkage,exchange rate derivatives and matching loan.Main findings are as follows:(1)Operational hedging tools are more frequently used than financial hedging tools.(2)Geographic decentralization,customer stability,derivatives and matching loan are helpful to enhance export sales.(3)The bigger the exchange risk shock is,the more effective the hedging tools with relatively lower adjustment cost are.