金融衍生品监管与企业的对冲行为:“鞭策效应”还是“抑遏效应”?  

Financial Derivatives Regulation and Corporate Hedging:Incentive Effect or Containment Effect?

作　　者：赵峰 刘远 程悦 

机构地区：[1]北京工商大学经济学院金融系

出　　处：《国际金融研究》2018年第11期67-76,共10页Studies of International Finance

基　　金：国家社科基金项目“中国跨境投资企业的外汇风险敞口测度、对冲动因与效果评价研究”(15BGL020);北京市社科基金项目“北京跨境投资企业的外汇风险敞口测度、对冲动因与效果评价研究”(16YJB010);首都流通业研究基地(PXM2018_014213_000033-026)资助

摘　　要：本文通过手工查阅96部金融衍生品监管法规，构建中国“金融衍生品监管指数”（FDRI）。并以2007-2016年中国上市跨境投资企业为样本，探究金融衍生品监管对中国企业外汇风险对冲行为的影响。研究发现：从长期来看．金融衍生品监管会促进企业做外汇风险对冲，存在“鞭策效应”；从短期来看，金融衍生品监管会抑制企业做风险对冲，存在“抑遏效应”：较强的外部审计监督会弱化衍生品监管与外汇风险对冲的影响关系。按所有制性质不同．发现衍生品监管与外汇风险对冲的影响关系在民营企业中更为显著。进一步研究发现．企业所处地区市场化程度越高、跨境投资规模越大、企业成长性越高，金融衍生品监管对企业外汇风险对冲影响越显著：考察两次国际金融危机冲击效应．发现危机期间出台的监管政策在短期存在“抑遏效应”．在长期存在“鞭策效应”。本文结论对于政府评估金融衍生品监管政策效果和企业合理利用外汇衍生品管控风险具有重要理论价值和现实意义。This paper constructs the Financial Derivatives Regulatory Index （FDRI） by consulting 96 laws and regulations of financial derivatives, and investigates the effects of financial derivatives regulation on firms＂ foreign exchange risk hedging behaviors by using a sample of listed Chinese firms engaged in cross-border investment from 2007 to 2016. It is found that in the long run, the governmentJs supervision on financial derivatives will promote firms＂ foreign exchange risk hedging behaviors and there exists an ＂incentive effect＂ . However, in the short term, it will restrain firms＂ foreign exchange risk hedging behaviors and demonstrate a ＂containment effect＂ . In addition, strict supervision on external auditing will weaken the relationship be- tween derivatives supervision and firms＂ foreign exchange risk hedging behaviors, and the relationship between derivatives regulation and foreign exchange risk hedging behaviors is more significant for private firms than state-owned firms. Further research shows that the higher the degree of marketization, the larger the scale of cross-border investment and the higher the growth of firms, the more significant the impact of financial derivatives regulation on foreign exchange risk hedging behaviors. It is also found that the policies introduced during the two financial crises exhibit a ＂containment effect＂ in the short term and an ＂incentive effect＂ in the long term. The conclusion of this paper is of great theoretical and practical significance for the government to evaluate the policy effects of financial derivatives supervision and for firms to reasonably use foreign exchange derivatives to manage their foreign exchange risk.

关 键 词：金融衍生品监管 外汇风险对冲 监管指数 跨境投资 

分 类 号：F831[经济管理—金融学] F832