外汇宏观审慎政策与汇率风险敞口  

Macroprudential Foreign Exchange Policies and Exchange Rate Risk Exposure

作　　者：何青[1,2] 王竹 刘尔卓 HE Qing;WANG Si-zhu;LIU Er-zhuo(School of Finance,Renmin University of China;China Financial Policy Research Center,Renmin University of China;School of Public Finance and Taxation,Capital University of Economics and Business)

机构地区：[1]中国人民大学财政金融学院 [2]中国人民大学财政金融政策研究中心 [3]首都经济贸易大学财政税务学院

出　　处：《中国工业经济》2024年第3期24-42,共19页China Industrial Economics

基　　金：国家社会科学基金重大项目“推动建立国际宏观经济政策协调机制研究”(批准号20ZDA053)。

摘　　要：本文构建了微观企业在银行和市场之间进行本外币贷款的决策模型,采用2010年第三季度至2023年第二季度中国A股上市银行和公司的财务数据,检验并探讨了外汇宏观审慎政策对银行和企业汇率风险敞口的影响机制。研究发现,外汇宏观审慎政策总体上收紧将降低银行和企业的汇率风险散口。相较于企业,银行的汇率风险散口下降幅度更大。异质性结果表明,外汇宏观审慎政策收紧显著降低了重要商业银行、国有企业和高外部融资依赖企业的汇率风险。进一步研究表明,外汇宏观审慎政策主要通过信贷渠道影响企业的汇率风险口。当外汇宏观审慎政策收紧后,银行贷款依赖度更高公司的汇率风险敞口下降更多。本文有助于理解外汇宏观审慎政策对银行和企业汇率风险的影响机制,同时为其他新兴经济体实施外汇宏观审慎政策提供了政策启示。With the enrichmentofmf acroprudentialforeign exchange(FX)policies,macroprudential FX policies are increasingly being used as important instruments to stabilize the foreign exchange market.While existing research mostly focused on how macroprudential FX policies affect cross-border capital flows,few scholars investigated the exchange rate risk of micro-level entities.This paper examines the differential effects of macroprudential FX policies on the policy transmission and exchange rate risk exposure of financial institutions and micro-level enterprises.This paper constructs a decision-making model for micro-level enterprises to engage in domestic and foreign currency loans between banks and the market,which helps explain how macroprudential FX policies affect the exchange rate risk exposure as well as the transmission channel.The tightening of macroprudential FX policies prompts banks to tighten foreign currency lending,suppressing enterprises'demand for foreign currency loans.However,due to the existence of market financing channels,the reduction in exchange rate risk exposure for enterprises is lower than that for banks.Furthermore,as China's market financing structure is still predominantly based on commercial banks,with indirect financing being the primary market financing structure,credit channels constitute an important transmission mechanism for macroprudential FX policies.To validate the model's implications,this paper constructs the China Macroprudential FX Policies Index based on a summary of China's macroprudential FX policies.Using a sample of listed companies and banks from 2010 to 2023,this paper finds that macroprudential FX policies reduce the exchange rate risk for both banks and enterprises,but the positive effect is more prominent for banks.In terms of channels,tightening macroprudential FX policies restrict the scale of foreign currency loans by banks,thereby reducing the exchange rate risk exposure.It also reduces the exchange rate risk for enterprises with a higher dependence on bank loans t

关 键 词：外汇宏观审慎政策 汇率风险口 信贷渠道 银行贷款依赖度 

分 类 号：F123[经济管理—世界经济]