新汇率体制下中国上市公司外汇风险暴露研究

本文以沪市180指数样本股作为研究对象,通过测量上市公司经营活动产生的现金流相对贸易加权汇率指数及我国主要贸易伙伴货币汇率变化的敏感度,来考察我国企业的外汇风险暴露问题。研究显示,我国上市公司总体外汇风险暴露程度比较高,公司规模与短期外汇风险成正比关系,外国控股程度的高低对风险暴露则没有明显的影响。

Exchange Rate Exposure of Chinese Listed Company in the New Type of Exchange Rate Regime

This paper studies the exchange rate exposure of Chinese firms by using the Shanghai SE180 composite (ssel80) as a basis for our sample,we studies the sensitivity of the cash flows generated by Chinese In'ms to the movements in a trade-weighted exchange rate index,as well to the currencies of their major trading partners.Empirical results indicate that the ratio of the Chinese firms with significant exposure is higher,and there exists positive relation between firm size and short-term risk.But firms with hi...