Comparative Studies On Three Estimation Methods Of Foreign Exchange Exposure

With the RMB appreciation and RMB exchange rate fluctuations increase, our country’s enterprises and macroscopical economy face more foreign exchange risk. Therefore, the research on how to accurately assess enterprises’foreign exchange exposure becomes more and more important.Our country enterprises’ estimation results of foreign exchange exposure have many consistency problems, so this article examines commonly used methods in current scholars’ study and the latest overseas development of study methods in this area, from the perspective of capital market approach, select the most commonly used and the latest three estimation methods of foreign exchange exposure--Jorion model, Orthogonal Jorion model and GJR-GARCH model. From the aspects of theory and experience, the paper compares the three models’applicability in measuring our country enterprises’foreign exchange exposure. The study has important guiding significance for our country in the field, and has certain theory value to advance the study in this research field. The results are as follows:①The three models have good consistency to measure our country enterprises’ foreign exchange exposure. but have differences in the study precision.②Jorion model and GJR-GARCH model can measure the unexpected foreign exchange exposure, but the estimation results of Orthogonal Jorion model include direct foreign exchange exposure and indirect foreign exchange exposure, this makes this method be different from others.③The test results show that China’s financial market data has kurtosis, heteroscedasticity and asymmetric volatility, so we should consider the characteristics of data when choose measurement model, and from the view of theory, GJR-GARCH model is the most appropriate model to measure our country enterprises’foreign exchange exposure.④The empirical analysis shows that GJR-GARCH model has the minimum residuals and the highest goodness-of-fit. And the fitting results show that GJR-GARCH model is the most appropriate model to measure our country enterprises’ foreign exchange exposure.