Research On Chinese Manufacturing Exchange Rate Risk Exposure

With the acceleration of the marketization process of the RMB exchange rate,foreign exchange risk has become an issue that cannot be avoided in the development of Chinese enterprises.Based on the quarterly data of 215 manufacturing listed companies from 2006 to 2018,this paper uses the OLS regression model,rolling window regression model and state space model to study and study based on the combination of capital market method and cash flow method.The article first examines the relationship between the exposure risk of listed companies,the use of derivatives and the value of enterprises,and then focuses on the macro and micro determinants of exchange rate risk exposure of listed companies in China's manufacturing industry.The study found that foreign exchange risk has a significant impact on China's manufacturing listed companies,the exchange rate risk exposure coefficient is-6.56%;technology-intensive,resource-intensive,technology-intensive and labor-intensive combined enterprises are significantly affected by exchange rate risks.The industry dynamics exchange rate risk exposure coefficient is-11.23%;after the reform of the exchange rate system in 2015,the absolute value of the exchange rate risk exposure coefficient of enterprises decreased from 12.95% to 3.40%;the exchange rate exposure shock suffered by enterprises and the proportion of corporate export revenue to sales revenue are negative.At a usage rate of 40%-60%,foreign exchange derivatives can bring a value premium of 3.42% to listed companies in the manufacturing industry,significantly increasing corporate value.Generally speaking,firm size and export income ratio have significant impact on exchange rate risk exposure,which is the decisive factor for the exchange rate risk exposure coefficient of listed companies in China's manufacturing industry.Different industries have different determinants of foreign exchange risk exposure.Except for market structure,firm size,export income ratio,foreign exchange derivative utilization rate,asset-liability ratio and book value ratio show significant timevarying characteristics.Dynamic impact on exchange rate risk exposure.Based on the comprehensive analysis of the research results,this paper considers that the state space model is suitable for studying the exchange rate risk problem.Compared with the traditional research method,the research results are more accurate and more credible.