金融对冲与多元化经营对冲比较:替代抑或互补——基于“经济政策不确定性”暴露的研究  

Comparison of Financial Hedging and Diversified Operational Hedging:Substitute or Complementary——A Study Based on the Exposure of‘Economic Policy Uncertainty’

作　　者：张梓靖 贺铟璇[1] 邢天才[1] Zhang Zijing;He Yinxuan;Xing Tiancai

机构地区：[1]东北财经大学金融学院

出　　处：《宏观经济研究》2021年第1期38-52,共15页Macroeconomics

基　　金：国家自然科学基金项目“上市金融机构系统性风险传导与演化机制实证与模拟研究”(71273042);教育部人文社科重点研究基地重大项目“欧美债务危机对中国金融结构与产业组织的影响研究”(13JJD790003)的资助。

摘　　要：本文基于2007—2018年A股非金融类上市公司财务数据和经济政策不确定性指数(EPU),借助Fama-French三因子模型构造具有时变特征性"EPU暴露"风险指标,运用倾向得分匹配双重差分(PSM-DID)方法实证检验了金融对冲和多元化经营对冲的相互作用关系和抵御特定风险的经济效果。研究结果表明:金融对冲能够缩减EPU暴露敞口,对冲效果与金融衍生品的经济复杂程度呈负相关;金融对冲与横向多元化经营对冲呈互补关系,但与纵向多元化经营对冲呈替代关系。进一步研究发现,良好的公司治理水平和市场信息效率有助于强化对冲效果、提高经营绩效。本文结论为企业科学运用对冲策略、完善风险管理体系建设提供理论支持。Based on the 2007-2018 A-share non-financial listed company financial data and the economic policy uncertainty index(EPU),this paper uses the Fama-French three-factor model to construct a time-varying characteristic‘EPU exposure’risk indicator,and the propensity score matching and difference-in-difference(PSM-DID)method is used to empirically test the interaction relationship between financial hedging and diversified operational hedging and the economic effect of resisting specific risks.The research results show that:financial hedging can reduce EPU exposure,and the hedging effect is negatively related to the economic complexity of financial derivatives;financial hedging is complementary to horizontal diversification hedging,but it has a substitute relationship with vertical diversification hedging.Further research finds that a good level of corporate governance and market information efficiency can help strengthen the hedging effect and improve operating performance.The conclusions of this paper provide theoretical support for enterprises to scientifically use hedging strategies and improve the construction of risk management systems.

关 键 词：金融对冲 多元化经营对冲 EPU暴露 倾向得分匹配双重差分 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济]