外汇风险影响企业价值的非对称效应——基于我国制造业上市企业的数据  

The Asymmetric Effect of Foreign Exchange Risk on Enterprise Value——Based on the Data of China's Manufacturing Listed Enterprises

作　　者：谷任[1] 丁思[1] Gu Ren;Ding Si(South China University of Technology,Guangdong Guangzhou 510006)

机构地区：[1]华南理工大学,广东广州510006

出　　处：《金融发展研究》2018年第8期28-35,共8页Journal Of Financial Development Research

基　　金：教育部人文社会科学研究一般项目"中国制造业进出口上市企业外汇风险暴露研究"(13YJC630038);广东省哲学社会科学"十二五"规划项目"广东跨国企业外汇风险的测量与形成机理研究"(GD12YGL02);华南理工大学中央高校基本科研业务费(2013XZD08)

摘　　要：本文通过逐一构造企业层面的人民币有效汇率指数,考察我国A股市场中14个制造子行业291家企业在有管理的浮动汇率制度改革阶段下的线性与非对称外汇风险暴露情况。研究发现,我国制造业上市企业中存在较为普遍的非对称的外汇风险暴露,并且随时间推移,制造业企业整体面临的非对称外汇风险暴露水平逐渐提高,但存在行业与时间差异;与使用贸易加权有效汇率指数相比,本文构建的企业层面的人民币有效汇率指数测度出更高的外汇风险暴露水平。随着汇率风险的加剧,制造业企业需要提高外汇风险管理的意识和水平,我国外汇衍生品市场也亟待完善。We construct firm-level RMB effective exchange rate index(CRER)to examine the linear and asymmetry foreign exchange risk exposure in 14 manufacturing sectors in China's A-share market during the managed floating exchange rate system reform.We finds that asymmetry foreign exchange risk exposure is common among listed manufacturing firms,and the risk improves over time but varies among industries and time phases.Moreover,compared to the trade-weighted effective exchange rate index(TWER),the foreign exchange risk is measured higher when using CRER.As foreign exchange risk intensifies,manufacturing firms need to improve the awareness and abilities to manage the risk,and the foreign exchange derivatives market also needs to be improved.

关 键 词：外汇风险暴露 非对称效应 企业层面有效汇率指数 条件异方差 

分 类 号：F832.6[经济管理—金融学]