摘要
本文以中国上市跨境投资企业为样本,主要从非线性关系的视角研究了国际化程度是否是企业做外汇风险对冲的动因。研究发现:(1)在考虑外汇风险敞口的冲击效应时,发现虽然国际化深度和广度都是外汇风险对冲的动因,但外汇风险敞口的冲击降低了国际化深度对风险对冲的影响作用。进一步研究发现,外币债务与外汇衍生品使用呈现“互补”关系。分样本研究发现,若企业设立的是生产型海外子公司,则国际化广度可降低外汇风险敞口,但对于贸易型海外子公司,国际化广度的作用则相反。(2)在考虑结构突变时企业国际化与外汇风险对冲的非线性关系,发现随门槛变量的不同,它们之间可呈现出“倒V型”“倒U型”“U型”等多种关系类型。由此可知,不同的企业特质会对两者关系产生影响:中低国际化深度、中大型规模、较高跨境投资额的企业国际化深度是外汇风险对冲的动因,国际化广度全阶段、中大型规模、中低跨境投资额的企业国际化广度也是对冲动因,其他情况下均不是外汇风险对冲的动因。本文不仅拓展了既有的国际化理论研究,而且对中国跨国企业的风险管理实践也有借鉴意义。
Based on China’s listed companies engaging in cross-border investment,the paper studied whether the degree of internationalization of enterprises was the motivation of the risk hedging from the perspective of a nonlinear relationship.It comes to the results as follows:(1)In considering of the impact of foreign exchange exposure,it is found that although the depth and scope of internationalization are both the motivations of foreign exchange risk hedging,the impact of foreign exchange exposure reduces the influence of the depth on foreign exchange risk hedging.Further studies show that there exists a complementary relationship between foreign currency debt and the use of foreign exchange derivatives.After dividing samples,it is found that if the Chinese cross-border investment enterprises set up the production-type overseas subsidiaries,the international scope can reduce the risk exposure of the exchange rate,but if the trade-type overseas subsidiaries are established,the role of the international scope is opposite.(2)In considering of the non-linear relationship between corporate internationalization and foreign exchange risk hedging,it is found that there exists inverted V-shaped,inverted U-shaped and U-shaped relationships between the corporate internationalization and foreign exchange risk hedging according to different threshold variables.Thus,we can conclude that different enterprise traits will have impacts on the relationship between them:the medium or low level of internationalization depth,medium and large scale enterprises,higher cross-border investment of the depth of internationalization are the motivation of foreign exchange risk hedging.The scale of the whole stage,medium and large scale enterprises and medium or low level cross-border investment of the scope of internationalization are also the motivation of foreign exchange risk hedging.In other cases,there are no motivations of foreign exchange risk hedging left for internationalization.This paper not only enriches the existing international theory research,but also has a reference for the risk management practice of China’s cross-border investment enterprises.
作者
赵峰
祖博男
程悦
ZHAO Feng;ZU Bonan;CHENG Yue
出处
《国际贸易问题》
CSSCI
北大核心
2019年第8期157-174,共18页
Journal of International Trade
基金
国家社会科学基金一般项目“中国跨境投资企业的外汇风险敞口测度、对冲动因与效果评价研究”(15BGL020)
北京市社会科学基金一般项目“北京跨境投资企业的外汇风险敞口测度、对冲动因与效果评价研究”(16YJB010)
首都流通业研究基地(PXM2018_014213_000033-026)
关键词
企业国际化
外汇风险对冲
动因
非线性关系
面板门槛模型
Enterprise Internationalization
Foreign Exchange Risk Hedging
Motivations
Non-linear Relationship
Panel Threshold Model
