人民币汇率变动、汇兑损益与企业投资——基于资产负债表效应的研究  

Renminbi Interest Rate Fluctuation,Exchange Gain or Loss,and Enterprise Investment: A Study Based on the Balance Sheet Effect

作　　者：金祥义 张文菲[1] 

机构地区：[1]南开大学经济学院,天津300071

出　　处：《金融经济学研究》2017年第6期34-43,共10页Financial Economics Research

基　　金：教育部人文社会科学研究一般项目(13YJCGJW007)

摘　　要：中国对外开放程度及人民币汇率市场化程度的提高,可能影响微观企业的经营和利润对汇率变动的敏感性。利用2003~2015年制造业上市公司的面板数据,试图发掘汇率变化、企业投资之间的关系,验证汇率波动是否通过资产负债表效应影响企业的投资决策。通过动态面板回归分析发现,中国制造业上市公司的投资主要受汇率变动所带来的净值变动、企业信贷量、企业绩效等因素影响,出口部门相对于非出口部门存在更为显著的资产负债表效应,人民币汇率变化日益成为影响企业投资的重要因素。此外,外汇风险规模越大的企业,汇兑损益对汇率变动的弹性反而较小,意味着随着外债程度的增加,企业越趋向于采用金融对冲手段来规避汇兑风险,从而某种程度上降低了风险暴露。The improvements in the degree of China＇ s opening up and degree of marketization of the renminbi interest rate may influence the operation performance of micro enterprises and the sensitivity of profits to exchange rate fluctuation. Using panel data of China＇s listed manufacturing companies from 2003 to 2015,this paper attempts to explore the relationship between exchange rate fluctuation and enterprise investment,and whether exchange rate fluctuation can influence the investment decisions of enterprises through the balance sheet effect. According to the dynamic panel regression analysis,the investment of China＇ s listed manufacturing companies is mainly influenced by factors such as the changes in net value arising from renminbi exchange rate fluctuation,amount of enterprise credit,and enterprise performance,while the export sector has a more significant balance sheet effect in comparison to the non-export sector,and renminbi exchange rate fluctuation has become an increasingly important factor that influences enterprise investment. For large-sized enterprises,the elasticity of exchange gain or loss to exchange rate fluctuation is very low. This shows that with the increase in external debt,enterprises are inclined toward using financial hedging for risk control,thus reducing the risk exposure to a certain extent.

关 键 词：汇率变动 资产负债表渠道 汇兑损益 

分 类 号：F832.6[经济管理—金融学]