基于NARDL模型的“汇率暴露之谜”研究

A Study of “Exchange Rate Exposure Puzzle” Based on NARDL Model

金融理论和大量事实证据表明汇率波动是影响企业市场价值的重要因素,然而大量实证研究发现汇率对企业市场价值的影响并不显著,这被称为“汇率暴露之谜”。2015年“8·11”汇改后人民币汇率进入双向宽幅波动新常态,我国企业面临的汇率风险愈加突出。基于此,本文从非线性与非对称性的视角,研究了我国上市企业的汇率风险暴露问题。结果显示:(1)我国企业并不存在“汇率暴露之谜”,其中,63.63%以上的上市企业市场价值与人民币汇率指数间存在显著的长期协整关系,54.76%的上市企业具有显著的长期汇率风险暴露,55.46%的上市企业具有显著的短期汇率风险暴露。(2)我国上市企业的汇率风险暴露存在非对称性,与人民币贬值有利于上市企业市场价值提高相比,人民币升值对上市企业市场价值的负面影响更大。因此,我国企业应加快构建完善的汇率风险管理体系,提升非对称的汇率风险管理能力。

Financial theory and a large amount of factual evidences show that exchange rate fluctuation is an important factor affecting the market value of enterprises.However,a large number of empirical studies have found that the impact of exchange rates on the market value of enterprises is not significant.This is known as the“exchange rate exposure puzzle”.After the“8·11”exchange rate reform in 2015,the RMB exchange rate entered a new normal of two-way wide fluctuations,and the exchange rate risk faced by Chinese companies became more prominent.Based on this situation,this paper studies whether Chinese enterprises have a“exchange rate exposure puzzle”from the perspective of nonlinearity and asymmetry.The results show that:(1)there is no“exchange rate exposure puzzle”in Chinese enterprises,specifically,more than 63.63%of listed enterprises have a significant long-term cointegration relationship between the market value and the RMB exchange rate index;more than 54.76%of listed enterprises have significant long-term exchange rate risk exposure and more than 55.46%of listed enterprises have significant short-term exchange rate risk exposure;(2)the exchange rate risk exposure of Chinese listed enterprises is asymmetry,compared with the depreciation of the RMB,the appreciation of the RMB has a greater negative impact on the market value of listed enterprises.Therefore,Chinese enterprises should speed up the construction of a sound exchange rate risk management system and improve the asymmetric exchange rate risk management ability.