【摘要】：企業(yè)在進(jìn)出口地區(qū)結(jié)構(gòu)上存在巨大差異,這使得即使在同一時期內(nèi),不同企業(yè)可能面臨截然不同的匯率變動與風(fēng)險。本文利用2000~2006年企業(yè)-交易層面的海關(guān)貿(mào)易數(shù)據(jù),測算了中國企業(yè)層面的名義和實際有效匯率,并進(jìn)一步測算了企業(yè)層面匯率風(fēng)險的衡量指標(biāo):企業(yè)有效匯率的波動性。研究發(fā)現(xiàn):(1)有效匯率變動在企業(yè)間存在巨大差異,盡管加總有效匯率在2000~2006年總體呈現(xiàn)貶值趨勢,但是有57%的企業(yè)實際上面臨了有效匯率升值。(2)行業(yè)內(nèi)差異解釋了企業(yè)層面有效匯率差異的絕大部分,因此在基于企業(yè)數(shù)據(jù)的經(jīng)驗研究中,即使采用行業(yè)層面有效匯率也會導(dǎo)致較大的估計偏誤。(3)企業(yè)有效匯率波動與企業(yè)出口地與進(jìn)口地數(shù)目顯著負(fù)相關(guān)。這意味著出口地與進(jìn)口地的多元化有助于分散企業(yè)的匯率風(fēng)險。
[Abstract]:There are great differences in the regional structure of import and export, which makes different enterprises may face different exchange rate changes and risks even in the same period. Based on the customs trade data from 2000 to 2006, this paper calculates the nominal and actual effective exchange rates at the enterprise level in China, and further measures the volatility of the effective exchange rate at the enterprise level. It is found that: (1) there are great differences between enterprises in the change of effective exchange rate, although the aggregate effective exchange rate shows an overall trend of depreciation from 2000 to 2006. However, 57% of the enterprises actually face the appreciation of the effective exchange rate. (2) Intra-industry differences explain most of the differences in the effective exchange rates at the firm level, so in the empirical study based on enterprise data, Even using the effective exchange rate at the industry level will lead to greater bias. (3) there is a significant negative correlation between the volatility of the effective exchange rate and the number of export and import places. This means diversification of export and import locations helps diversify firms' exchange rate risk.
【作者單位】： 北京師范大學(xué)經(jīng)濟(jì)與工商管理學(xué)院;南開大學(xué)國際經(jīng)濟(jì)研究所;南開大學(xué)跨國公司研究中心;
【分類號】：F832.6

【參考文獻(xiàn)】

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本文編號：2316825