The Industrial Exchange Rate Exposure In Our Country

After the reform of RMB exchange rate of system, RMB exchange rate pegged to the dollar is no longer a single, and begins to implement the basis of market supply and demand with reference to a basket of currencies, the managed floating exchange rate system. In this context, the foreign exchange risk exposure is increasingly prominent, and attracted the attention of domestic scholars.From the industry point of view, the paper is trying to analyze foreign exchange risk exposure of industry characteristics, trends and factors. Firstly, the paper introduces the concept of foreign exchange risk exposure, the classification and the measurement methods, and lay theoretical basis of the full text. Then, introducing the origin and development of the foreign exchange risk exposure and summarizing the research literature, the paper comes to the shortcomings of domestic research methods and gets a new orthogonal approach to measure the exchange exposure. The method has not been used in domestic research. After that, the paper measures the foreign exchange risk on the industry using the traditional and the new orthogonal measurement approaches, and then compares and analyzes the results to summarize the characteristic of different industries. Finally, the paper has a empirical study on the nonlinear foreign exchange exposure. Most of the existing researches assume that there is a constant linear relationship between the domestic stock returns and the exchange rate volatility, but from the theoretical literature, it is known that there is a non-linear relationship between the stock returns and the foreign exchange rate fluctuations.The paper gets the following contributions:①Firstly introducing a new orthogonal capital market model to the domestic study of the exchange rate exposure.②Compared the efficiency of the old and new models in measure of the foreign exchange exposure through the empirical research.③using the orthogonal model to estimate the foreign exchange rate exposure of industries.The study finds that the foreign exchange rate exposure of industries is very high and nearly 90% of the industry's foreign risk exposures are statistically significant. All industries which are statistically significant are benefit from the RMB devaluation and are damaged in RMB appreciation. Foreign exchange risk exposure of different industries is different. Characteristics of different industries had different effects on the foreign exchange risk exposure. There are different characteristics of the exchange rate exposure of RMB against U.S. dollar and the euro.