人民币汇率变动与上市公司外汇风险暴露——以京津冀地区上市公司为例  

RMB Exchange Rate Fluctuation and Foreign Exchange Risk Exposure:Evidence from Listed Companies in Beijing-Tianjin-Hebei Region

作　　者：陈奉先[1] 丁美琳 Fengxian Chen;Meilin Ding(School of Finance,Capital University of Economics and Business,Beijing 100076,China)

机构地区：[1]首都经济贸易大学金融学院,北京100076

出　　处：《会计与经济研究》2020年第5期107-127,共21页Accounting and Economics Research

基　　金：北京市属高校高水平教师队伍建设支持计划青年拔尖人才培育计划项目(CIT&TCD201704100);国家社会科学基金青年项目(15CJY081);国家自然科学基金青年项目(71663047)。

摘　　要：利用京津冀地区422家上市公司2006-2018年间的季度数据,考察了人民币汇率变动对上市公司外汇风险暴露的影响。研究发现:京津冀地区上市公司外汇风险暴露明显,人民币汇率升值1%,企业价值下降4.01%;随着企业收益率的上升,其外汇风险暴露程度呈现“先下降,后上升”的J型曲线特征;汇率升值时,企业外汇风险暴露存在明显的非对称性,小幅升值对企业价值的负面影响显著高于大幅升值。最后基于企业层面外汇衍生工具使用、行业层面产业结构调整、宏观层面汇率市场化改革三个角度提出相关对策建议。We use the quarterly data of 422 listed companies in Beijing-TianjinHebei region from 2006 to 2018, and test the effect of RMB exchange rate fluctuation on the foreign exchange risk exposure of listed companies. We find that the foreign exchange risk of listed companies in Beijing-Tianjin-Hebei region is obviously exposed,when the RMB exchange rate raises by 1%, the firm value decreases by 4.01%. With the firm return raised, the exposure of foreign exchange risk shows a feature of typical J curve, which first declines and then rises. When the exchange rate raises, the exposure of foreign exchange risk shows an obvious asymmetry, in that the negative effect of small appreciation on firm value is significantly higher than that of the big appreciation. Finally,we puts forward relevant suggestions based on following perspectives: the use of foreign exchange derivatives at a firm level, the adjustment of industrial structure at an industry level, and the RMB exchange rate market-oriented reform at a macro level.

关 键 词：外汇风险暴露 企业价值 分位数回归 非对称性 

分 类 号：F830.73[经济管理—金融学]