【作者】 王燕；

【导师】 杨胜刚；

【作者基本信息】 湖南大学 ， 金融学， 2009， 硕士

【摘要】 随着全球经济一体化日益加强,企业越来越多的参与国际化竞争与合作,随之而来的也是前所未有的挑战与机遇,其中的一个重要问题就是汇率波动所带来的诸如交易风险、折算风险与经济风险等。长期以来,出口一直是拉动中国经济增长重要原因之一,近年来,我国的外贸依存度迅速攀升,1997年已达到73.5%,对于经营管理水平尚待提高,国内金融市场发展尚未完善等条件下的中国企业,尤其是进出口企业,在我国汇率制度实施以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度以来,如何应对日益频繁的汇率波动所带来的风险越来越成为公司管理层所关注的焦点。鉴于此,本文在前人已有的研究成果上,联系我国具体经济现状拟刻画汇率波动与公司价值之间的关系。本文选取人民币实际有效汇率,首先对人民币实际有效汇率波动进行定量分析,在此基础上,采用托宾Q值方法衡量公司价值,采用计量方法从长短期视角研究分析汇率波动对于公司价值的影响,并将汇率波动对单个公司与其所在行业的分析进行对比研究,较前人更为细致全面的研究汇率对于我国上市公司价值的影响,研究结果表明,人民币实际有效汇率波动对于公司的长短期影响由于公司竞争力、经营方式与盈利模式不同而各异,公司价值的变动大都会受到其自身滞后一期的影响,从长期来看,汇率波动对外贸型公司的作用更为显著,此外,不能简单的将单个公司所受到的汇率波动影响加总为行业所受到的汇率风险。根据文章所得结论,本文认为,对于外贸收入占比越大的公司应当更加注重对汇率风险的防范,灵活转变公司的经营策略,积极选用合适的金融对冲工具有效规避汇率风险,降低公司未来利润的不确定性。更多还原

【Abstract】 Under the circumstance of economical globalization, corporations are increasingly engaging in transnational competition and cooperation and surely faced with more challenges and opportunities than ever before, one important problem of which is such exchange rate risk as transaction exposure, translation risk and economic exposure, due to the fluctuation of exchange rates. Exportation has played an significant role in pushing forward Chinese economy for a long time. In recent time, the ratio of dependence on foreign trade in China has soared at an accelerated pace and up to 73.5% in 1997. Since the introduction of the market supply and demand basis, reference to a basket of currencies adjust, managed floating exchange rate system, the Chinese corporations with low managing skill, in particular the import & export firms, are brought to the confront of how to deal with the increasing exchange rate exposure.Working on the basis of the previous research achievements, my paper is seeking to find out the relationship between the exchange rate fluctuation and the value of corporation under Chinese actual economic conditions. The paper analyzes the long-term and short-term influence on the value of the listed firms taking by real effective exchange rate(REER)basing on the econometric analysis of REER. Using Tobin’s Q module, my paper makes comparisons of the influence between corporation and its corresponding industry, making the thesis more concrete and comprehensive. The results of my paper shows that the influence varies depending on the firm’s competitive power, business practice and profit model, along with its own first-lagged influence. In addition, the influence on the firm and industry can’t match with each other.Therefore, in the point of the paper’s view , the corporation with high percentage of foreign trade revenue should attach more importance to the prevention of the exchange rate risk, practicing proper management tactics and choose diverse trading derivatives in order to avoid exchange risk and reduce the uncertainty of the future profit.更多还原