中国农业产业链的外汇风险暴露特征及其影响因素  

The Characteristics and Influencing Factors of Foreign Exchange Risk Exposure in China's Agricultural Industry Chain

作　　者：周超 王家兴 米运生[1] ZHOU Chao;WANG Jiaxing;MI Yunsheng

机构地区：[1]华南农业大学经济管理学院 [2]华南农业大学乡村振兴实验室

出　　处：《中国农村经济》2024年第9期121-141,共21页Chinese Rural Economy

基　　金：国家自然科学基金青年科学基金项目“实物期权视角下中国企业在‘一带一路’沿线国家的投资价值:形成机制与影响因素研究”(编号:72102075);广东省哲学社会科学规划青年项目“人民币汇率双向波动背景下我国农业产业链的外汇风险评估与应对策略研究”(编号:GD23YYJ26);广州市哲学社会科学发展“十四五”规划2023年度羊城青年学人课题“实现第二个百年奋斗目标新的赶考之路上需防范的重大风险研究:开放经济条件下我国农业领域的外汇风险”(编号:2023GZQN25)的支持。

摘　　要：本文收集2016-2022年中国农业上市企业数据和人民币汇率波动数据,并根据人民币汇率双向波动特征构建不对称测度模型,在此基础上研究中国农业产业链的外汇风险暴露特征及其影响因素。本文发现:农业产业链各环节的外汇风险暴露在人民币汇率不同波动方向上呈现不对称特征;外汇风险暴露在农业产业链上中下游的分布呈递增趋势;农业产业链在人民币汇率贬值时呈现有利的外汇风险暴露;在人民币汇率升值时则呈现不利的外汇风险暴露,且主要体现在加工流通环节。本文进一步分析创新能力、金融对冲和经营对冲对中国农业产业链各环节外汇风险暴露的影响,发现:当人民币汇率升值时,要素供给环节企业的创新能力和金融对冲显著降低其外汇风险暴露,种植养殖环节企业的经营对冲显著降低其外汇风险暴露,加工流通环节企业的创新能力、金融对冲和经营对冲显著降低其外汇风险暴露;当人民币汇率贬值时,要素供给环节企业的经营对冲显著降低其外汇风险暴露,种植养殖环节企业的金融对冲显著增加其外汇风险暴露,加工流通环节企业的金融对冲和经营对冲分别显著降低和增加其外汇风险暴露。本文认为,在人民币汇率双向波动背景下,认识和防范中国农业产业链的外汇风险既要考虑人民币汇率双向波动特征,也要考虑农业产业链各环节的异质性。This study collects data on Chinese agricultural listed firms from 2016 to 2022 and fluctuations in the RMB exchange rate.Based on the asymmetric measurement model of RMB exchange rate fluctuations,this study investigates the characteristics and influencing factors of foreign exchange risk exposure in China's agricultural industry chain.This study finds that the foreign exchange risk exposure in each stage of the agricultural industry chain exhibits asymmetric characteristics under the background of the RMB exchange rate's bidirectional fluctuations.As the production relationship progresses,the foreign exchange risk exposure increases.The agricultural industry chain presents favorable foreign exchange risk exposure when RMB exchange rate depreciates and adverse foreign exchange risk exposure when RMB exchange rate appreciates,while the adverse foreign exchange risk exposure of the agricultural industry chain mainly manifested in the processing and distribution stage.This study further analyzes the influence of innovation ability,financial hedging and operational hedging on the exposure of China's agricultural industry chain to foreign exchange risks from three dimensions:product strategy,financial strategy,and operational strategy.This study finds that when the RMB exchange rate appreciates the innovation capability and financial hedging of agricultural firms in the production factor supply stage significantly reduce their foreign exchange risk exposure.The operation hedging of agricultural fims in the cultivation and breeding stage significantly reduces their foreign exchange risk exposure.The innovation capability,financial hedging,and operational hedging of agricultural firms in the processing and distribution stage significantly reduce their foreign exchange risk exposure.When the RMB exchange rate depreciates,the operational hedging of agricultural firms in the production factor supply stage significantly reduces their foreign exchange risk exposure.The financial hedging of agricultural firms in the cultivat

关 键 词：农业产业链 外汇风险暴露 农业风险管理 人民币汇率 

分 类 号：F324[经济管理—产业经济]