外汇衍生品对外汇风险暴露的影响研究——基于中国跨国公司的实证分析

浮动汇率制及全球经济一体化加剧了人民币汇率波动,使国际贸易汇率风险凸显;目前中国一些跨国公司正使用外汇衍生品管控汇率风险暴露.国内对外汇衍生品能否降低企业的外汇风险暴露的理论研究相对较少,同时个别外汇衍生品风险事件引起了业界对其使用效果的广泛关注.文章以中国2007-2015年221家非金融类上市跨国公司为样本,运用Jorion两因素模型,研究样本公司股票收益率对汇率波动的敏感程度,以此作为其外汇风险暴露的大小.文章通过非平衡面板数据模型分析了外汇衍生品使用与跨国公司外汇风险暴露的关系,结果表明:中国每年平均有11.7％的跨国公司面临显著的外汇风险暴露;外汇衍生品使用可以有效降低中国跨国公司的汇率风险.

Research on the influence of the foreign currency derivatives on the foreign exchange rate exposure:An empirical analysis of multinational corporations in China

Floating exchange rate system and the global economic integration exacerbate RMB exchange rate fluctuations, so that the international trade exchange rate risk is highlighted. Some of the Chinese multinational corporations are using foreign currency derivatives to hedge exchange rate exposure. However, the domestic theoretical study on whether the foreign currency derivatives can reduce the exchange rate exposure or not is relatively few, some foreign currency derivative risk events attract industry-wide attention for the effects of its use. This paper, based on a sample of 221 non-financial listed multinational corporations in China between 2007 and 2015, uses the Jorion two factors model, studies the company stock return rate sensitivity to the exchange rate fluctuations, as its exchange rate exposure. This paper analyzes the relationship between the use of foreign currency derivatives and the exchange rate exposure of the multinational corporations through the unbalanced panel data model. The results showe that 11.7% of multinational corporations face significant exchange rate exposure every year in China, foreign currency derivatives can effectively reduce the exchange rate risk of China''s multinational corporations.