中国OFDI汇率风险研究:基于预期风险与实际波动风险的视角

China's OFDI Exchange Rate Risk:Based on the Expected Risk and the Realized Volatility Risk

以2003~2015年174个中国OFDI国家为样本,文章从OFDI投资规模与投资密集度两个维度全面考察了汇率风险的综合影响。利用年度汇率水平变化、年度汇率离散系数衡量的历史波动率和双边日间汇率构建的实际波动率,构建了汇率预期变化风险、预期波动风险和实际波动风险三个指标,以全面反映企业海外投资实际面临的汇率风险。研究发现,企业最关注东道国的实际波动风险,其显著抑制OFDI投资规模和投资密集度;而汇率预期风险对企业OFDI的作用效果并不统一。根据东道国特征和企业类型分组检验发现,汇率实际波动风险均显著抑制资源寻求型、市场寻求型OFDI和投资于国家风险度较高的OFDI;汇率升值总体上并未促使企业进行OFDI,相对财富效应不明显,但对以出口为目的企业OFDI影响显著,存在"出口引致效应"。此外,货币互换协议在一定程度上发挥了汇率目标区的作用,弱化了企业对这些国家投资时的汇率风险顾虑。

Taking 174 Chinese OFDI countries from 2003 to 2015,this paper integrates OFDI scale and intensity into the research framework to examine the comprehensive effects of exchange rate risk. Using the annual exchange rate,the historical volatility measured by the annual exchange rate discrete coefficient and the realized volatility built by bilateral daytime exchange rate,we build three exchange rate risk indicators which are the the expected change risk,the expected volatility risk and the realized volatility risk to reflect the actual exchange rate risk faced by overseas investment. We find that firms are most concerned about therealized volatility risk in the host country,which significantly inhibits OFDI scale and intensity,and the effect of exchange rate expected risk on OFDI is not uniform. According to the characteristics of the host country and the type of firm group inspections,we find the realized volatility risk of exchange rate is not conducive to resource-seeking OFDI,market-seeking OFDI and firms who invest in the high risk countries. Exchange rate appreciation do not promote OFDI,and the relative wealth effect is not observed.