需求不确定环境下的汇率风险对冲及其对供应链运作的影响

Exchange Rate Risk Hedging and Its Impact on Supply Chain Operations Under Demand Uncertainty

基于需求和汇率风险下的一个全球二级供应链(其中,风险规避的上游制造商和下游零售商分别面临汇率风险和需求风险),分别建立并求解了制造商对冲/不对冲汇率风险两种情形下的模型均衡。研究了制造商的汇率风险对冲策略在供应链运作中的作用。结果表明,该策略能够有效提高供应链系统的订货水平、降低制造商自身收益的波动性。进一步,研究了汇率和需求两种外生风险如何影响汇率风险对冲策略下的供应链运作均衡和盈利性。结果表明:对汇率风险而言,下游零售商收益的方差不受其影响,上游制造商收益的方差随其反向变化;对需求风险而言,上游制造商收益的方差不受其影响,下游零售商收益的方差随其反向变化。这意味着,制造商的汇率风险对冲策略对供应链节点企业之间的风险传导起到了有效的阻碍作用,从而使得供应链系统的盈利水平更加稳定,抗需求和汇率风险能力均得以提高,并实现了收益与风险之间的权衡(收益与风险随着两类风险同向变化)。

This paper focuses on a two-echelon global supply chain consisting of an upstream risk-averse manufacturer facing exchange rate risk and a downstream risk-averse retailer facing demand risk. Corresponding to whether or not the manufacturer buys the foreign exchange futures to hedge the exchange rate risk, two dynamic game models are established and the equilibriums are calculated, respectively. With the equilibriums, the effect of the exchange rate risk-hedging on the supply chain＇s operations is investigated. The results show that the manufacturer＇s exchange rate risk-hedging raises the supply chain＇s order quantity and reduces the manufacturer＇s profit variance. Furthermore, this paper examines the influence of these two risks on the supply chain＇s operations and the corresponding profitability. The results show that the downstream retailer＇s（the upstream manufacturer＇s） profit variance is independent of（negatively related to） the exchange rate risk while the demand risk, the upstream manufacturer＇s（the downstream retailer＇s） profit variance is independent of（negatively related to） the demand risk. It means that the manufacturer＇s exchange rate risk-hedging hinders the transmission of both risks between the supply chain node firms, then stabilizes the supply chain＇s profitability, raises its risk-proof capability against both risks, and achieves a tradeoff between returns and risks.