Measurement And Relevant Influence Factors Of Asymmetric Exchange Rate Exposure

There has been an obvious trend of the promoting process of internationalization of RMB and deepening reform of exchange rate system.It has promoted the marketization and fluctuation of exchange rate.With growing international trade and increasing international business,exchange rate fluctuation has effect on the price of raw materials and commodities,and further influence the profit and value of firms.Thus,from the aspect of firms,it will improve the firm's competitive power and management by precisely estimating the different effect of exchange rate fluctuation on firm value.From the aspect of whole industry,manufacturing industry in China are highly affected by exchange rate fluctuation,because the industry in China is still at a basic processing level in global trade.Therefore,it is essential of firms and the whole industry to make deep study on foreign exchange risk exposure.Early methodology estimating exchange rate risk exposure mainly based on a linear symmetric hypothesis.The conflict between early estimation and economic practice gradually led asymmetric effect of exchange rate fluctuation on firm value to be focused.Studies have shown supportive evidence on asymmetric effect.The asymmetry of foreign exchange risk exposure includes directional asymmetry(firm value is affected differently by appreciation and depreciation)and fluctuation size asymmetry(firm value is affected differently by large and small fluctuation).Therefore,in order to precisely estimate the effect of foreign exchange fluctuation on firm value,this dissertation study the foreign exchange exposure from the perspective of asymmetric effect.To be precise,this dissertation studies the estimation of asymmetric foreign exchange exposure and its influencing factors.With the sample of A-share listed manufacturing firms in China,this dissertation focus on asymmetric foreign exchange exposure from August 2005 to December 2016.On the estimation of asymmetric foreign exchange exposure,this dissertation innovatively builds three firm-specific effective exchange rate indices(based on information collected from annual reports),and models are estimated firm by firm.The results show that there is significant asymmetric foreign exchange exposure among manufacturing firms,especially the fluctuation size asymmetric effect.This dissertation further studies the influencing factors of asymmetry based on actual trading situation and relevant theories.The results show a significant effect of transforming markets,lagged activities and quantity constraints on directional asymmetry,while cost management is the main factor influencing fluctuation size asymmetry.In the end,based on the results,this dissertation proposes some suggestion to manufacturing firms and the policymakers.