Foreign exchange exposure of “domestic” corporations

Unlike prior studies on foreign exchange risk that have focused on multinational companies, this paper documents that domestic companies face significant foreign exchange exposure. Indeed, we document that on average domestic company foreign exchange exposure is not significantly different from the exposures faced by multinational firms. As expected, the number of domestic firms with significant foreign exchange exposure increases with the exposure estimation horizon. More interestingly, the level of domestic firm exposure is significantly negatively related to firm size and asset turnover, and positively related to the market to book ratio and financial leverage. Our results have important implications for managers, policy makers, and accounting standards.     

Corporate cash flow and stock price exposures to foreign exchange rate risk

This paper estimates the foreign exchange rate exposure of 6917 U.S. nonfinancial firms on the basis of stock prices and corporate cash flows. The results show that several firms are significantly exposed to at least one of the foreign exchange rates Canadian Dollar, Japanese Yen and Euro, and significant exposures are more frequent at longer horizons. The percentage of firms for which stock price and earnings exposures are significantly different is relatively low, though it increases with time horizon. Overall, the impact of exchange rate risk on stock prices and cash flows is similar and determined by a related set of economic factors.     

The impact of the introduction of the Euro on foreign exchange rate risk exposures

This paper tests whether significant changes in stock return volatility, market risk, and foreign exchange rate risk exposures took place around the launch of the Euro in 1999. The experiment analyzes weekly returns for 3220 nonfinancial firms from 18 European countries, the United States, and Japan. We find that though the Euro's launch was associated with an increase in total stock return volatility, significant reductions in market risk exposures arose for nonfinancial firms both in and outside of Europe. We show that the reductions in market risk were concentrated in firms domiciled in the Euro area and in non-Euro firms with a high fraction of foreign sales or assets in Europe. The Euro's introduction led to a net absolute decrease in the foreign exchange rate exposure of nonfinancial firms, but these changes are statistically and economically small. We interpret our findings in the context of existing theories of exchange rate risk management.     

货币错配与经济金融稳定——一个基于本币升值预期的两期微观经济主体行为模型

国内外的研究普遍显示,货币错配是造成金融和经济危机的主要原因之一。但是,目前研究者所构建的模型主要集中于对净外币负债形态的货币错配风险的研究,无法对我国当前所面临的净外币资产形态的货币错配风险的引致渠道作出解释。基于此,本文构建了两期微观经济主体(银行、企业)行为模型。模型表明本币的大幅升值会恶化微观经济主体的资产负债表,在一定情况下会导致一国的金融或经济危机。在此基础上,本文提出了相应的防范净外币资产形态下货币错配风险的政策建议。     

投机性货币冲击引发货币危机的条件及防范

由投机性货币冲击所引发的固定汇率制崩溃给实行固定汇率制的国家(或地区)的经济发展蒙上了一层沉重的阴影。为此，本文运用国内外关于货币危机中货币投机性冲击理论的最新研究成果分析了欧洲货币危机和东南亚金融危机中投机冲击致胜的基本条件，进而提出了我国加入WTO后防范和化解人民币危机的相关措施。     

论国际货币清算规则下的本币金融开放

与目前社会上普遍存在的认知不同,本文认为我国的金融对外开放早已启动,只不过是以外币开放的形式进行。根据货币的国际清算规则,这种以外币主导的金融开放,其结果只是使国内涉外领域中的货币错配现象日趋严重．迄今为止,也还没有任何一个发展中国家能够在外币主导的金融对外开放中获得成功。而以人民币开展跨境贸易结算所带来的本币金融对外开放则有实质性的不同,依据目前跨境贸易人民币结算的两种清算模式．人民币的对外开放,不仅降低了开放难度和货币错配风险,且对外风险可控,有利于金融市场自然形成对外开放和金融服务水平的提高。     

我国外汇储备货币组合的实证分析

截至2006年2月我国外汇储备达8536亿美元,超过日本成为世界外汇储备持有量第一大国,其后我国外汇储备也呈不断增长的态势,到2007年3月已达12020.31亿美元.外汇储备的持续增加意味着面临的风险也在持续增加.因此,如何确定合理的外汇储备币种组合成为目前需要迫切研究的课题.本文根据国内外已有研究确定了外汇储备货币结构的影响因素,结合因子分析法,得出了我国外汇储备币种组合的新选择,提出了我国外汇储备货币组合的对策建议.     

Currency total return swaps: valuation and risk factor analysis

Abstract

Currency total return swaps (CTRS) are hybrid derivative instruments that allow us to simultaneously hedge against credit and currency risks. We develop a structural credit risk model to evaluate CTRS premia. An empirical test on a sample of 23,005 price observations from 59 underlying issuers yields an average percentage error of around 10%. This indicates that, beyond interest rate risk, firm-specific factors are major drivers of the variations in the valuation of these instruments. Regression analysis of residuals shows that exchange rate determinants account for up to 40% of model pricing errors, indicating that a currency risk premium affects the CTRS price significantly but only marginally, which confirms the prevalence of credit risk in the pricing of CTRS.     

Asymmetric foreign exchange risk exposure: Evidence from U.S. multinational firms

This paper examines how U.S. multinational firms are affected by foreign currency movements. In light of detailed exchange rate data, we find that 29% of our sample of 935 U.S. firms with real operations in foreign countries is significantly affected by currency movements between 1990 and 2001. Results show moreover that U.S. stock returns react asymmetrically to currency movements. By introducing nonlinearity in foreign currency risk exposure, we noticeably increase the precision and the significance of exposure estimates. We demonstrate moreover that asymmetries are more pronounced towards large versus small currency fluctuations than over depreciation and appreciation cycles.     

新兴市场国家外汇储备适度规模研究

本文基于外汇储备的职能划分外汇储备的需求层次,建立了外汇储备适度规模测算模型,选取了中国、巴西、俄罗斯、印度、南非五个金砖国家作为新兴市场国家的典型代表,力图通过研究这五个金砖国家的外汇储备适度规模问题,从这一新角度界定新兴市场国家外汇储备适度规模区间,为新兴市场国家外汇储备管理提供有益的参考。实证研究中,通过测算金砖国家2000-2010年的外汇储备适度规模区间,我们发现以"金砖国家"中国、俄罗斯、巴西为代表的一些新兴市场国家的外汇储备逐渐偏离适度外汇规模上限;同时以南非为代表的一部分新兴市场国家,外汇储备水平一直处于不足的状态;而印度良好的外汇储备管理政策使得其外汇储备量一直保持在适度规模区间内。最后,针对各个新兴市场国家外汇储备处于的不同状态,我们提出了相应的政策建议。     

试论我国企业外债风险管理

自1973年布雷顿森林体系崩溃以来,西方各国纷纷放松甚至取消外汇管制和利率管制。汇率和利率频繁而剧烈的波动加剧了企业的经营风险。目前我国大多数企业防范外债风险措施不力,给企业经营和国家外债安全带来隐患。本文试从我国企业外债风险管理普遍存在的问题,借鉴国内外成功经验,论述企业如何进行外债风险管理以达到规避风险的目的,以及国家外汇法规、人民币／外币衍生金融工具和衍生工具会计处理的如何满足企业外债风险管理需求。     

中国外汇储备与货币供给量的关系——基于双对数模型

2001年以来,持续的双顺差促使外汇储备量迅速积累,人民币升值压力增大,为了维持人民币汇率的稳定,政府不得不加大货币投放量来回笼外汇市场上过多的外汇。通过建立外汇储备和货币供给量(M1、M2)之间的双对数模型,进行实证分析得出结论:外汇储备的增加确实推动了中国货币供应量的增加,并且外汇储备变动给M1带来的影响大于M2。因此,应适当控制外汇储备规模消除外汇储备超额增长的制度性原因,完善货币政策工具,积极进行金融创新。     

外汇储备币种结构理论的研究评述及展望

我国的外汇储备主要以美元为核心,随着近年来美元的不断贬值,我国的外汇储备迅速缩水,因此,加强币种结构管理成为了当前我国外汇储备管理中的最重要一环。本文首先系统地介绍了关于外汇储备币种结构选择的三大理论：资产组合理论、海勒——奈特模型和杜利模型。然后总结了基于以上理论,国内外学者对外汇储备币种结构进行的研究,并指出了现有理论的不足。最后,对今后的研究方向进行了展望。     

人民币国际化进程中的货币反替代研究

人民币国际化有诸多利好,同时也面临着货币替代风险、人民币国际化逆转性风险以及外来资本冲击和货币反替代风险等。货币反替代是人民币国际化渐进进程中的必然现象,这种现象对中国经济的影响有有利的一面,也有妨碍货币政策的独立性并影响货币政策对宏观经济的效用等不利的一面。维持人民币的实际利率,消除社会上已存在的人民币升值顶期,是近中期内要优先考虑的抑制反替代任务之一。     

Identifying the effects of an exchange rate depreciation on country risk: Evidence from a natural experiment

A natural experiment is used to study exchange rate depreciation and perceived sovereign risk. France suspended coinage of silver in 1876 provoking a significant exogenous depreciation of all silver standard countries versus gold standard currencies like the British pound – the currency in which their debt was payable. The evidence suggests an exchange rate depreciation can significantly increase sovereign risk if a country is exposed to foreign currency debt. We implement a difference-in-differences estimator and find that the average silver country's spread on hard currency debt increased over ten percent relative to non-silver countries.     

基于SVAR模型对我国外汇贷款增长问题的实证研究

本文针对2005年人民币汇率形成机制改革以来我国外汇贷款增长过程中可能存在的本外币贷款替代和套利问题,利用相关月度数据,通过建立结构向量自回归(SVAR)模型解析了长期内我国外汇贷款基于人民币汇率和本外币利差变动所具有的套利机制及其对人民币贷款的替代效应,验证了我国外汇贷款增长过程中所具有的无风险套利特征.本文的研究结果既从数量分析上凸显了已有问题的严重性,也为问题的解决提供了有益的启示.     

Foreign exchange risk and the cross-section of stock returns

We examine the relation between the cross-section of US stock returns and foreign exchange rates during the period from 1973 to 2002. We find that stocks most sensitive to foreign exchange risk (in absolute value) have lower returns than others. This implies a non-linear, negative premium for foreign exchange risk. Sensitivity to foreign exchange generates a cross-sectional spread in stock returns unexplained by existing asset-pricing models. Consequently, we form a zero-investment factor related to foreign exchange-sensitivity and show that it can reduce mean pricing errors for exchange-sensitive portfolios. One possible explanation for our findings includes Johnson's [2004. Forecast dispersion and the cross-section of expected returns. Journal of Finance, 59, 1957–1978] option-theoretic model in which expected returns are decreasing in idiosyncratic cashflow volatility.     

The Trading Volume of Currency Options and the Spot Exchange Rate

This paper estimates the interrelation between the spot exchange rate of the Israeli currency, the new Israeli shekel, to the U.S. dollar, and the trading volumes of put and call options on the U.S. dollar in the Tel Aviv Stock Exchange. An increase in the trading volume of calls is positively correlated with an increase in the spot exchange rate of the dollar on the same day and the following day, but with a lower coefficient. Similarly, an increase in the trading volume of puts is related to a decrease in the spot price of the dollar on the same day of trade, with a smaller effect on the following day.