对外直接投资与外汇尾部风险暴露:风险来源还是对冲手段  

OFDI and exchange rate tail risk exposure:Risk factor or hedging strategy

作　　者：李捷瑜[1] 董丰田 尹华[3] LI Jieyu;DONG Fengtian;YIN Hua(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;School of Economics,Fudan University,Shanghai 201203,China;School of Business,Central South University,Changsha 410083,China)

机构地区：[1]中山大学岭南学院,广州510275 [2]复旦大学经济学院,上海201203 [3]中南大学商学院,长沙410083

出　　处：《系统工程理论与实践》2022年第7期1721-1734,共14页Systems Engineering-Theory & Practice

基　　金：国家社科基金重大项目(21ZDA036);教育部人文社会科学研究“适应气候变化领域的中国科技创新战略研究”(21YJA790030)。

摘　　要：首次构建基于双向极值模型与系数分解的外汇尾部风险多维测度框架,深入剖析外汇尾部风险暴露的变动规律.从中发现,在竞争力效应与折算风险效应作用下,企业外汇尾部风险暴露及其分解成分具有明显的外汇上下行异质性.加入对外直接投资等企业特征因素的回归分析表明,只有面对下行外汇尾部风险时,对外直接投资才起到显著的对冲作用,在汇率上行时,对外直接投资的海外资产折算风险效应会抵消它作为经营性对冲工具的效果;当对外直接投资的竞争力效应不足而引致对冲效果低下时,对外直接投资甚至会成为显著的风险来源.上述结论为外汇风险防范提供了新的视角和启发.It is the first time to construct a multi-dimensional measurement framework of foreign exchange tail risk based on two-way extreme value model and coefficient decomposition,and deeply analyze the change law of foreign exchange tail risk exposure.It is found that under the competitiveness effect and conversion risk effect,the tail risk exposure and its decomposition components have obvious foreign exchange up and down heterogeneity.The regression analysis with enterprise characteristics shows that only when facing the downside foreign exchange tail risk,OFDI can play a significant hedging role.When the exchange rate rises,the effect of OFDI’s overseas asset conversion risk will offset the effect of OFDI as an operational hedging tool;When the competitive effect of OFDI is insufficient and the hedging effect is low,OFDI may even become a significant source of risk.The above conclusions provide a new perspective and inspiration for foreign exchange risk prevention.

关 键 词：外汇风险暴露 极值模型 经营性对冲 

分 类 号：F832[经济管理—金融学]