中国非对称外汇风险暴露的实证研究——基于行业层面数据的分析

An Empirical Research on Asymmetric Exchange Rate Exposure in China——Industry Level Evidence

随着人民币汇率双向波动的逐步频繁,中国各经济部门所面临的外汇风险暴露逐渐增大,基于这一现实,本文运用非线性自回归分布滞后(NARDL)模型,选取2005年7月—2017年7月的数据,动态分析了中国上市公司行业层面的外汇风险暴露情况,结果表明:中国所有行业均存在显著的长期或者短期外汇风险暴露,且外汇风险暴露程度较大,所有行业的公司都应该强化外汇风险意识,并构建防范外汇风险的系统;外汇风险暴露存在时滞性和J曲线特性,央行的外汇干预可能在短期内不起作用或者引起相反的效果,建议中国央行仅在人民币汇率长期偏离均衡水平从而影响资源的合理配置时才进行外汇干预;外汇风险暴露存在短期和长期的非对称性,无论是短期还是长期,人民币贬值冲击相对于升值冲击会影响更多的行业,人民币的长期升值趋势并不会对较多行业产生不利影响,中国应更多关注人民币汇率贬值所带来的风险;根据非对称外汇风险暴露的行业特征,中国可以通过实现产业结构的多元化来大大减缓外汇风险对中国经济的冲击,而国内投资者可以通过构建各行业的股票组合以实现外汇风险的对冲。

As RMB exchange rate fluctuates more frequently, all Chinese eco- nomic departments are exposed to exchange rate gradually. Based on this fact, this paper uses Nonlinear Auto-regressive Distributed Lag （NARDL） model to dy- namically analyze industry level exchange rate exposure of Chinese listed companies combined with monthly data from July 2005 to July 2017. The conclusions demonstrate that： （1） All Chinese industries are significantly exposed to exchange rate changes either in the long term or in the short term, and the magnitude of the exposure is relatively high. Thus, it is necessary for firms in all industries to increase the consciousness of exchange rate risk and establish the prevention sys- tem for exchange rate risk. （2） Due to the lagged effect and J-curve effect of exchange rate exposure, the central bank interventions may be invalid or lead to an opposite effect in the short run. It is suggested that China central bank ought to intervene exchange rate only when the exchange rate deviates from its long run equilibrium and influences the effective allocation Of resources. （3） Exchange rate exposure shows asymmetric effect in both the short term and long term. No matter in the short run or long run, compared to RMB appreciation, RMB depreciation has impacts on more industries, showing that the trend of RMB long-term appreciation will not be harmful to most industries. As a result, China government should pay more attention to the exchange rate risk caused by RMB depreciation. （4） According to the industrial characteristics of asymmetric exchange rate exposure, China government can reduce the impacts of exchange rate risk up-on Chinese economy to a large extent through diversifying the industrial structure. In addition, it is possible for domestic investors to construct a portfolio of stocks in diversified industries to hedge exchange rate risk.