人民币汇率变动对公司短期和长期冲击的差异——基于自回归分布滞后模型的分析  

The Difference between Short-term and Long-term Impacts of RMB Exchange Rate Changes on Chinese Firms——An Analysis Based on ARDL Model

作　　者：江春[1] 万鹏博 JIANG Chun;WAN Pengbo(Economics and Management School,Wuhan University,Wuhan Hubei 430072)

机构地区：[1]武汉大学经济与管理学院经济发展研究中心,湖北武汉430072 [2]武汉大学经济与管理学院,湖北武汉430072

出　　处：《国际商务（对外经济贸易大学学报）》2020年第5期110-124,共15页INTERNATIONAL BUSINESS

基　　金：国家社会科学基金重大项目“扩大中国金融业双向开放的关键问题研究”(15ZDC020)。

摘　　要：运用自回归分布滞后模型,选取2005年7月至2018年7月的数据研究了中国的外汇风险暴露情况。结果表明:中国公司短期外汇风险暴露的显著比例高于长期外汇风险暴露的显著比例,且存在显著的J曲线效应,总体上短期受益于人民币贬值,而长期受益于人民币升值;行业层面中,6个行业存在显著的短期或长期外汇风险暴露,并且短期和长期特征区别显著。因此,要有效地应对中国公司的外汇风险暴露问题,中国公司和金融机构可根据外汇风险暴露的短期和长期特征进行针对性的风险管理。此外,央行应该逐步退出常态化外汇干预,不必过于放大汇率波动对实体经济的短期影响,更重要的是维持人民币的长期升值趋势。This paper uses the Autoregressive Distribution Lag(ARDL)model to analyze firm-level and industry-level exchange rate exposure of Chinese listed companies with monthly data from July 2005 to July 2018.The conclusions demonstrate that:the significant proportion of Chinese firms’short-term exchange rate exposure is higher than that of their long-term exchange rate exposure.Furthermore,the exchange rate exposure in China reflects an obvious J-curve effect that generally Chinese firms benefit from RMB depreciation in the short run while benefit from RMB appreciation in the long run.At the industry level,6 Chinese industries are exposed to exchange rate in the short run or in the long run,which has significantly different characteristics.Therefore,this paper suggests:in order to eliminate exchange rate exposure of Chinese firms effectively,Chinese firms and financial institutions could manage risks accurately based on the differences between short-term and long-term exchange rate exposures.It is supposed that Chinese central bank should decrease frequency of interventions on exchange rate instead of amplifying the short-term impacts on economy caused by exchange rate fluctuations.In addition,it is more important to maintain RMB’s long-term appreciation trend.

关 键 词：外汇风险暴露 短期和长期特征 J曲线效应 行业特征 

分 类 号：F831.6[经济管理—金融学]