| Since the disintegration of the Bretton Woods system,the issue of exchange rate fluctuations has attracted great attention from central banks and multinational investors.With the deepening of international integration,exchange rate fluctuations have also become one of the main sources of risk faced by enterprises.The change of exchange rate will not only directly affect the profitability of foreign currency based enterprises and the translation difference of foreign currency statements of multinational enterprises,bring exchange rate transaction risk and exchange rate translation risk to enterprises,but also further indirectly affect the market value of enterprises and bring exchange rate economic risk to enterprises.Along with the market-oriented reform of the RMB exchange rate formation mechanism moving forward in depth,the trend of the RMB exchange rate has changed from unilateral gradual appreciation to two-way wide fluctuations after the "8.11" exchange rate reform in 2015,which makes the exchange rate risk faced by Chinese enterprises increasingly severe.At the same time,since the RMB exchange rate has shown a unilateral and gradual appreciation trend for a long period of time in the past,the uncertainty of exchange rate risk faced by Chinese enterprises is relatively small,which leads to the insufficient awareness and the low ability of exchange rate risk management of Chinese enterprises.Therefore,under the background of two-way fluctuations of the RMB exchange rate,an in-depth study of enterprise exchange rate risk management can not only provide a useful reference for Chinese enterprises to build a perfect exchange rate risk management system,but also help cultivate rational participants in the foreign exchange market and the expectation management of regulators,and further promote the market-oriented reform of the RMB exchange rate formation mechanism.Firstly,this paper comprehensively sorts out the relevant theories of enterprise exchange rate risk management,and then follows the research logic from "direct exchange rate risk" to "indirect exchange rate risk" and from "short-term exchange rate risk management objectives" to "long-term exchange rate risk management objectives",examines the exchange rate transaction risk and the exchange rate translation risk faced by Chinese enterprises and their current situation of management,this paper empirically studies the measurement of enterprise exchange rate economic risk,the determinants of enterprise exchange rate economic risk and the consequences of enterprise exchange risk hedging;Then,it further studies the construction and application cases of enterprise exchange rate risk management system;Finally,this paper puts forward countermeasures to improve the level of exchange rate risk management of Chinese enterprises from the level of enterprises,financial institutions and regulators.Specifically,the main research content,research innovation and research findings of this paper include the following aspects:In terms of exchange rate risks faced by enterprises and their management status,this paper summarizes the prominent problems existing in the process of Chinese enterprise exchange rate risk management on the basis of examining the exchange rate risk faced by Chinese enterprises and their current situation of management.This paper finds that: on the one hand,the improvement of enterprise internationalization and the increase of RMB exchange rate fluctuation lead to a significant increase of exchange rate transaction risk faced by Chinese enterprises,but there is no significant change in exchange rate translation risk.On the other hand,Chinese enterprises still have some prominent problems in the process of exchange rate risk management,such as insufficient awareness of exchange rate risk management,foreign exchange speculation,low ability of exchange rate risk management,unreasonable evaluation standard of exchange rate risk management and so on.In terms of the measurement of enterprise exchange rate economic risk,this paper firstly elaborates the mechanism of exchange rate changes affecting the market value of enterprises from the perspective of cash flow models,and then elaborates the mechanism that the change of exchange rate may have a non-linear impact on the market value of enterprises,finally,from the dual perspectives of linearity and non-linearity,this paper comprehensively measures the linear and non-linear exchange rate economic risk of Chinese enterprises by constructing ordinary least squares model(OLS)and nonlinear auto-regressive distributed lag model(NARDL)based on capital market method.It finds that: compared with the linear exchange rate economic risk,the non-linear exchange rate economic risk faced by Chinese enterprises is more serious;after the "8.11" exchange rate reform in 2015,the linear and non-linear exchange rate economic risk faced by Chinese enterprises have increased significantly.Therefore,under the background of two-way wide fluctuations of the RMB exchange rate,Chinese enterprises should accelerate the establishment of exchange rate risk management awareness and continuously improve the ability of exchange rate risk management.In terms of the influencing factors of enterprise exchange rate economic risk,enterprise internationalization and foreign exchange risk hedging are important influencing factors of enterprise exchange rate transaction risk and exchange rate translation risk,but whether enterprise internationalization and foreign exchange risk hedging will further affect enterprise exchange rate economic risk has always been the focus of debate in academic circles,and there are few studies by Chinese scholars.Therefore,this paper empirically studies the relationship among enterprise internationalization,exchange rate risk hedging and exchange rate economic risk exposure by using dynamic panel data system GMM model.Firstly,this paper finds that there is a significant positive correlation between the depth of enterprise internationalization and exchange rate economic risk,while there is a significant negative correlation between the breadth of enterprise internationalization and exchange rate economic risk.It shows that the depth of enterprise internationalization is not only the main positive influencing factor of enterprise exchange rate transaction risk,but also the main positive influencing factor of enterprise exchange rate economic risk.Although the breadth of enterprise internationalization is the influencing factor of enterprise exchange rate translation risk,it also provides convenience for enterprises to alleviate their exchange rate risk through operation hedging,and then reduces the exchange rate economic risk of enterprises.Secondly,this paper finds that the exchange rate risk hedging behavior of Chinese enterprises does not significantly reduce the exchange rate economic risk faced by enterprises,it shows that the exchange rate risk hedging ability of Chinese enterprises is still low,and the significant impact of using foreign exchange derivatives for exchange rate risk hedging on the exchange rate economic risk of enterprises has not yet appeared.Finally,this paper studies the relationship between enterprise internationalization and exchange rate risk hedging from a non-linear perspective,it finds that there is a non-linear "inverted U-shaped" relationship between enterprise internationalization and foreign exchange risk hedging,it shows that when the degree of enterprise internationalization is low,enterprises internationalization will promote enterprises to use foreign exchange derivatives to hedge their own exchange rate risk;when the degree of enterprise internationalization reaches a certain height,with the improvement of the feasibility and convenience of their operation hedging,the improvement of enterprise internationalization will inhibit enterprises from using foreign exchange derivatives to hedge exchange rate risk.This conclusion shows that enterprises with transnational operation conditions can take measures to increase the breadth of internationalization to deal with their own exchange rate economic risk.In terms of the consequences of enterprise exchange rate risk hedging,this paper studies the consequences of enterprise exchange rate risk hedging from the perspective of equity investors’ cash returns.It finds that: exchange rate risk hedging improves the level of cash dividend distribution of enterprises;financial constraint plays an intermediary role in exchange rate risk hedging to improve the level of cash dividend distribution;compared with enterprises whose internationalization depth is zero,the exchange rate risk hedging of enterprises whose internationalization depth is not zero has a greater effect on the level of cash dividend distribution.Further research finds that: the promotion of exchange rate risk hedging on cash dividend distribution improves the market value and investment efficiency of enterprises;for state-owned enterprises and enterprises with a higher assetliability ratio,exchange rate risk hedging has a greater effect on their cash dividend distribution;exchange rate risk hedging makes the dividend distribution of enterprises less dependent on internal cash flow.The above conclusions show that enterprises with potential exchange rate risk should reasonably use exchange rate risk hedging methods to stabilize exchange rate risk,promote the level of cash dividend distribution,and then improve investors’ investment returns.In terms of construction and application cases of enterprise exchange rate risk management system,based on the current situation that Chinese enterprises have insufficient awareness and low ability of exchange rate risk management,this paper gives specific ideas and methods on how to build an exchange rate risk management system for Chinese enterprises from five aspects,including the goal setting of enterprise exchange rate risk management,the organization construction of enterprise exchange rate risk management,the system construction of enterprise exchange rate risk management,the process establishment of enterprise exchange rate risk management,and the performance evaluation of enterprise exchange rate risk management.Then,combined with the construction idea of enterprise exchange rate risk management system proposed in this paper,taking enterprise A as an example,this paper makes a case study on how to optimize the exchange rate risk management of enterprise A.This study will help Chinese enterprises to speed up the establishment of risk neutral exchange rate risk management awareness and build a perfect exchange rate risk management system.Overall,this study has certain theoretical value and practical significance.Firstly,this paper comprehensively measures the linear and non-linear exchange rate economic risk faced by enterprises from the dual perspectives of linearity and non-linearity,which provides a useful reference for Chinese enterprises to quantitatively measure their own exchange rate economic risk;Secondly,from the two dimensions of breadth and depth of internationalization,this paper studies the relationship among enterprise internationalization,exchange rate risk hedging and exchange rate economic risk,which provides a new inspiration for dialectically viewing the relationship between enterprise internationalization and exchange rate risk.Then,this paper examines the "inverted U-shaped" relationship between enterprise internationalization and exchange rate risk hedging,which provides a new idea for a comprehensive understanding of the logical relationship between enterprise internationalization and exchange rate risk hedging;Then,this paper studies the consequences of enterprise exchange rate risk hedging from the new perspective of investor return,and widens the research boundary of the consequences of exchange rate risk hedging.Finally,this paper puts forward ideas and methods on how to build an enterprise exchange rate risk management system,and makes a case study,it will help Chinese enterprises speed up the construction of a perfect exchange rate risk management system and improve the level of exchange rate risk management. |
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