人民币汇率变动与上市公司外汇风险暴露——基于双变量GJR-GARCH模型的实证分析

The RMB Exchange Rate Fluctuation and Foreign Exchange Risk Exposure of Listed Companies—The Empirical Analysis Based on Bivariate GJR-GARCH Model

摘要: 近年来，中国紧密融入全球经济体系，人民币汇率的持续波动使得企业在市场中面临着不可避免的汇率风险。本文基于2022年中国沪深A股市场16个典型行业中的3066家上市企业，利用双变量GJR-GARCH模型探究了人民币兑美元、兑欧元和兑日元三种外币的汇率波动对企业的汇率风险暴露产生的影响。结果显示：(1) 人民币兑美元、兑欧元和兑日元汇率波动通过影响企业的营业成本间接导致企业承受汇率风险，且美元与欧元汇率波动与企业汇率风险暴露呈正相关，日元汇率波动则相反；(2) 三种主要货币的非对称性汇率风险暴露分别占企业总数的97.62%、93.47%和91.81%；(3) 不同外币兑人民币汇率波动对企业的影响程度存在差异，大部分企业经历了人民币升值而带来的损失；(4) 对外投资占比高的企业受到外汇风险暴露的影响更大；通过这些结论和政策启示，帮助企业与政策更好地理解和应对全球化经济中的挑战。

Abstract: In recent years, China has been closely integrated into the global economic system. Moreover, the ongoing volatility in the RMB exchange rate subjects businesses to unavoidable currency risks within the market. In this paper, 3066 listed companies in 16 typical industries of China’s Shanghai and Shenzhen A-share markets in 2022 are taken as sample. Additionally, we utilize the bivariate GJR-GARCH model to conduct an in-depth investigation into how fluctuations in the RMB exchange rate concerning the US dollar, euro, and yen influence the exposure of enterprises to currency risk. It turns out that: (1) The fluctuations in the RMB exchange rate against the USD, EUR, and JPY indirectly impact enterprises’ exposure to currency risk by influencing their operational expenses, and the exchange rate fluctuations of USD and EUR are positively correlated with the exchange rate risk exposure of enterprises, while the exchange rate fluctuations of JPY are opposite. (2) Asymmetrical exchange rate risk exposure in the case of the three major currencies was predominant, accounting for 97.62%, 93.47%, and 91.81% of the total number of enterprises, respectively. (3) The influence of RMB exchange rate fluctuations against different foreign currencies on enterprises varies, with a majority of businesses suffering losses due to RMB appreciation. (4) Enterprises with a higher proportion of foreign investment are more affected by foreign exchange risk exposure; through these conclusions and policy implications, enterprises and policies can better understand and respond to the challenges in a globalized economy.