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MBA毕业论文_民币开放进程中对外投资企业汇率风险管理研究PDF

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随着汇率制度改革和开放步伐的不断推进,人民币汇率波动逐步加剧,汇率 市场化趋势日益明显。与此同时,在全球经济一体化和中国市场经济改革不断深 化的背景下,越来越多的国内企业对外进行直接投资。与一般企业相比,对外投 资企业在对外投资过程中广泛接触外币资金,拥有更多的外币资产和负债。因此, 对外投资企业直接面临人民币与外币兑换所带来的汇率风险。在过去固定汇率制 度的环境中,中国企业普遍缺乏风险防范意识,风险度量方法和规避策略相对落 后,对外投资企业的汇率风险管理水平也受到严重制约。在新的形势下,汇率风 险已经成为影响企业发展的重要因素之一,对外投资企业必须对此加以重视。 在对外投资企业汇率风险管理相关机理研究中,本文从人民币汇率波动、汇 率风险暴露识别、汇率风险大小、汇率风险规避方法等几个方面出发进行梳理: 首先考察对外投资企业汇率风险形成的原因,接着探讨汇率风险暴露的内涵、分 类和影响因素,并阐述汇率风险暴露的度量方法,进而分析对外投资企业汇率风 险度量方法,最后比较企业汇率风险的管理工具。 在对外投资企业汇率风险管理的实证研究部分,本文沿着人民币汇率波动、 对外投资企业汇率风险识别、度量汇率风险大小以及汇率风险规避方法这一路径 展开分析。首先,为了更好地刻画金融时间序列的特征,利用SV族模型从不同角 度刻画并对比汇改前后人民币汇率波动的特征,发现与汇改前相比,人民币汇率 在汇改后表现出更强的波动持续性,且存在一定的杠杆性。然后,基于汇率风险 暴露的非对称性以及股票收益率和汇率波动率的异方差性,构建双变量GJR- GARCH模型考察对外投资企业的汇率风险暴露,发现对外投资企业的汇率风险暴 露存在显著的不对称和滞后性,且在不同汇率条件下汇率风险暴露程度各异。再 后,利用VaR-GARCH模型度量汇改前后、金融危机前后对外投资企业的汇率风 险。实证发现,整体而言在汇率改革前后人民币兑美元的收益率波动幅度较其它 两种货币要大,而欧元波动对收益率序列所带来的影响则更长。进一步地,通过 实例计算得出在不同置信区间上可能遭受的最大损失,用实际的数字表明对外投 资企业的汇率风险。最后,利用外汇期货合约套期保值技术探讨企业汇率风险的 规避问题。以最小方差为风险度量指标,从设定边际分布模型出发,构建机制转 换动态Copula模型。研究发现,汇率现货与期货收益率之间的相关性是动态变化 的,Markov状态转换动态Copula模型可以为模型的精确性提供保证。同时,根据 边际分布和状态转换动态GaussianCopula函数的参数估计结果,计算出最优套期 保值比率,对比分析状态转换动态Copula模型与其它套期保值模型的套期保值效 博士学位论文 -III- 果,证实状态转换动态Copula模型的优势,以实现对中国对外投资企业汇率风险 的有效规避。 在上述理论分析和实证研究的基础上,本文围绕汇率风险管理的金融环境建 设、对外投资企业汇率风险识别策略、度量手段和规避策略创新4个方面提出对 策建议。 关键词:人民币开放;对外投资企业;汇率风险;双变量GJR-GARCH模型; VaR-GARCH模型;机制转换动态Copula模型;外汇套期保值 人民币开放进程中对外投资企业汇率风险管理研究 -IV- Abstract Withthecontinuousadvanceofexchangeratereformandopeningpace,the fluctuationsofRMBexchangerateareincreasinggraduallyandthemarkettrendof exchangeratebecomesincreasinglyobvious.Meanwhile,inthecontextofworld economy’sintegrationanddeepeningofChina’smarketeconomyreform,moreand moredomesticenterprisesdirectlyinvestoverseasparedwiththegeneral enterprises,foreigninvestmententerpriseshavemoreextensivecontactswithforeign currencyfundsintheprocessofforeigninvestmentandhavemoreforeigncurrency assetsandliabilities.Therefore,foreigninvestmententerprisesfacedirectlythe exchangeriskresultingfromexchangeofRMBandforeigncurrency.Inthepast environmentoffixedexchangeratesystem,Chineseenterprisesgenerallylackrisk preventionconsciousness,riskmeasurementmethodsandavoidancestrategieswhich arerelativelybackward,andtheexchangeriskmanagementlevelofforeigninvestment enterprisesisseriouslyrestricted.Exchangeriskhasbecomeoneofthemostimportant factorsinfluencingthedevelopmentofenterprisesundernewsituationsandforeign investmententerprisesmustattachgreatimportancetoit. Inthestudyofthemechanismaboutforeigninvestmententerprisesexchangerisk management,thispaperresearchesfromfluctuationsofRMBexchangerate, identificationofexchangerateexposure,andthesizeofexchangeriskandavoidance methodsofexchangerisk.Firstly,weinvestigatetheformationreasonsofforeign investmententerprisesexchangerate.Thenwediscusstheconnotation,classification andinfluencingfactorsofexchangerateexposure,andelaboratethemeasuremethods ofexchangerateexposure.Basedonthese,weanalyzemeasuremethodsofforeign investmententerprises’exchangerisk.Finallywecomparethemanagementtoolsof enterprisesexchangerisk. Intheempiricalresearchofforeigninvestmententerprisesexchangerisk management,thispaperanalyzesbythefollowingpath:fluctuationsofRMBexchange rate,exchangeriskidentificationofforeigninvestment,thesizeofexchangerisk, avoidancemethodsofexchangerisk.Firstofall,wemakeuseofSVfamilymodelsto describeandtocomparethefluctuationscharacterofRMBexchangeratebeforeand afterexchangeratereformfromdifferentaspects.Theresultsshowthatexchangerate ofRMBexpressstrongervolatilitypersistenceafterexchangeratereformcompared 博士学位论文 -V- withthestatebeforetheexchangeratereformandthereissomeleverage.Secondly,we constructabivariateGJR-GARCHmodeltoinvestigatetheexposureofexchangerisk oftheforeigninvestmententerprisesbasedontheasymmetryoftheexposureof exchangeriskandtheheteroscedasticityofstockyieldsandvolatilityofexchangerate. Wefindthatthereareobviousasymmetriesandlagontheexposureofexchangerate riskoftheforeigninvestmententerprises,andunderdifferentconditionstheexposureof exchangerateriskaredifferent.Thirdly,wetakeadvantageofVaR-GARCHmodelto measuretheexchangeriskofforeigninvestmententerprisebeforeandafterthe revaluationandthefinancialcrisis.Theempiricalstudyindicatesthattheyieldofthe exchangerateofRMBtoUSdollarismorevolatilecomparedwithothertwokindsof currencybeforeandaftertheexchangeratereform,andtheeffectsofyieldsequenceof theeurovolatilityarelonger.Further,wefigureoutthebiggestlossondifferent confidenceintervalbyusingthecalculationofrealexamplesanduseactualdatato showtheexchangeriskofforeigninvestmententerprises.Finally,weuseforeign exchangefutureshedgingtechnologytodiscusshowenterprisesavoidtheproblemsof exchangerisk.Byusingminimumvarianceasmeasureindexforrisk,westartfrom settingmarginaldistributionmodelandconstructregimeswitchingdynamicCopula model.Thestudyshowsthatthecorrelationbetweenyieldoftheexchangerateofspot andfuturesisdynamic,andMarkovstatetransitiondynamicCopulamodelcanprovide guaranteefortheaccuracyofmodel.Atthesametime,accordingtotheparameter estimationresultsofmarginaldistributionandstatetransitiondynamicGaussian copulas,wecancalculatetheoptimalhedgingratioandcomparetheeffectofregime switchingdynamicCopulamodelwithotherhedgingmodel,whichcanconfirmthe advantageofregimeswitchingdynamicCopulamodelinordertoeffectivelyavoidthe exchangeriskofChina'sforeigninvestmententerprises. Basedonthesetheoreticalanalysisandempiricalresearchabove,thispapermakes somerecommendationsaroundexchangeriskmanagementoffinancialenvironment construction,andtheidentification,themeasurementofandtheavoidanceofexchange raterisk. KeyWords: RMBopening;Foreigninvestmententerprises;Exchangerisk; BivariateGJR-GARCHmodel;VaR-GARCHmodel;Regimeswitchingdynamic Copulamodel;Foreignexchangehedging 人民币开放进程中对外投资企业汇率风险管理研究 -VI- 目录 学位论文原创性声明与学位论文版权使用授权书……………………………………I 摘要…………………………………………………………………………………II Abstract ………………………………………………………………………………IV 插图索引………………………………………………………………………………X 附表索引………………………………………………………………………………XI 第1章绪论……………………………………………………………………………1 1.1选题背景与研究意义……………………………………………………………1 1.1.1选题背景…………………………………………………………………1 1.1.2研究意义…………………………………………………………………2 1.2文献综述与研究启示…………………………………………………………3 1.2.1人民币汇率波动研究方法………………………………………………3 1.2.2汇率风险暴露……………………………………………………………5 1.2.3汇率风险度量……………………………………………………………8 1.2.4外汇套期保值……………………………………………………………10 1.3论文结构与研究创新……………………………………………………