评估和化解中国企业的汇率风险  

The assessment and resolvement of corporate exchange rate exposure in China

作　　者：张策 王偲竹 梁柏林 何青[2,4,5] ZHANG Ce;WANG Sizhu;LIANG Bailin;HE Qing(Institue of Finance and Banking,Chinese Academy of Social Sciences,Beijing 100710,China;School of Finance,Renmin University of China,Beijing 100872,China;Artificial Intelligence and Digital Finance Laboratory of Colleges in Guizhou Province,Guiyang 550000,China;China Financial Policy Research Center,Beijing 100872,China;Yangtze River Economic Zone Research Institution of RUC,Beijing 100872,China)

机构地区：[1]中国社会科学院金融研究所,北京100710 [2]中国人民大学财政金融学院,北京100872 [3]贵州省高等学校人工智能与数字金融实验室,贵阳550000 [4]中国财政金融政策研究中心,北京100872 [5]中国人民大学长江经济带研究院,北京100872

出　　处：《系统工程理论与实践》2024年第4期1149-1168,共20页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金青年项目(72101267);国家社科基金重大项目(20ZDA053);国家社科基金重点项目(19AJY028);中国社会科学院创新工程项目(2024JRS01)。

摘　　要：本文在一个系统的框架内估算中国企业面临的汇率风险,综合考虑日常经营和金融对冲的影响,首次测算出企业在经营中面临的汇率风险,进而能够更加清晰地讨论汇率风险的形成机理和化解机制.研究发现,中国企业在经营中面临汇率风险暴露程度较低的原因在于中国企业使用外币成本较低、中国的进口渗透率整体较低和中国企业的海外业务收入占比较低;结合对企业最终面临的汇率风险的估算,评估了汇率传递、经营对冲、外币债务和外汇衍生品分别降低了拥有海外业务收入企业31.86%、3.76%、11.15%和39.25%的汇率风险暴露水平.本文进一步进行政策模拟,分析国外推动产业链本土化和中国积极主动扩大对外开放的情境下,中国企业在经营中面临的汇率风险的潜在变化.本文首次系统性地讨论了中国企业的汇率风险问题,明晰了汇率风险的形成机理、厘清各种风险化解机制的差异化作用、模拟了政策冲击对企业经营中面临汇率风险产生影响的机制和程度,对外汇市场发展、企业化解汇率风险,以及相关政策的制定有重要价值.This paper considers the impact of operation activities and financial hedging in constructing the exchange rate exposure faced by the Chinese enterprises.Using various databases to calculate and calibrate the exchange rate exposure in their operations for the first time,this paper discusses the determinants and solutions of exchange rate exposure in a comprehensive framework.This paper concludes three reasons for lower exchange rate exposure in their operations among Chinese enterprises:Low foreign production cost,low import penetration rate and low foreign revenue.Combined with the actual exchange rate exposure,we find exchange rate pass-through,operational hedging,foreign debt and foreign exchange derivatives reduces exchange rate exposure by 31.86%,3.76%,11.15% and 39.25%,respectively.This paper further expands the theoretical model to simulate the potential changes in the exchange rate exposure under two circumstances:Foreign countries promote the localization of the industrial chain and China continues to opening up.This paper explores exchange rate exposure from the perspective of micro-mechanism,which is of great value to the development of the foreign exchange market,resolving enterprises’exchange rate risk,and the formulation of related policies.

关 键 词：汇率风险 汇率传递 经营对冲 外币债务 外汇衍生品 

分 类 号：F831[经济管理—金融学]