摘要
世界金融和贸易体系在全球金融危机中遭受重创。作为经济全球化体系中的一员,中国经济已无法独善其身。金融危机不仅使我国企业国际贸易新订单数大幅下降,而且还使原有订单的后续执行更加艰难;因而增大了企业执行合同收汇时间和收汇额度的不确定性风险,引发了部分企业的破产危机。同时,人民币实施浮动汇率制度以来,人民币对世界主要货币均有不同程度的升值;人民币升值和汇率波动,无疑加大了企业国际贸易的汇率风险。此外,由于我国金融市场还比较落后,可供企业选择的避险工具和避险措施有限,所以企业避险被动、成本高。因此,对企业国际贸易汇率风险度量与规避研究具有现实意义。
风险度量是风险规避的前提。客观地讲,风险度量是一个相当复杂的问题。目前,风险度量理论已由早期马柯维茨的方差方法等发展到现在的CVaR、WCVaR,动态CVaR等方法;但学界基于WCVaR和动态CVaR等方法对汇率风险的度量研究均有待加强。因此,基于相关理论对企业国际贸易汇率风险度量与规避的研究具有理论价值。
本研究采用的是规范研究方法。
本研究的主要内容是:
①风险度量与规避的相关理论与文献研究。本文对方差方法与马柯维茨资产配置模型、下方风险方法与哈洛资产配置模型、风险价值(VaR)方法与VaR模型和条件风险价值(CVaR)模型等风险度量理论进行了阐述。分析了上述理论和方法产生的背景、主要内容和应用条件,发现条件风险价值(CVaR)方法和动态规划理论等可以较好地满足企业国际贸易不确定(收汇期、收汇额)条件下汇率风险度量研究的需要,是建立与改进不同条件下的企业国际贸易汇率风险度量模型的基础理论。
②“不确定性”界定。本文通过对汇率风险内涵、种类及其产生原因的分析表明:汇率波动使汇率具有时间价值;国际局势、企业信用、地缘政治宗教文化法律等因素都影响着企业的国际贸易。因此,企业在国际贸易中经常出现收汇期和收汇额执行的“不确定性”;这两种“不确定性”在人民币升值和全球金融危机的形势下,强化了企业国际贸易汇率风险。
③确定条件下企业国际贸易汇率风险度量及规避研究。本文基于CVaR原理和方法,在置信水平、收益和风险约束条件下,建立了确定条件下的企业国际贸易汇率风险度量模型,并通过算例计算分析了确定条件下的企业国际贸易汇率风险的大小。研究表明:确定条件下,汇率的波动率是影响企业国际贸易汇率风险大小的最主要因素;而在相同的收益要求下,置信水平越高,企业对风险的厌恶度也越大,国际贸易组合的汇率风险也越大。其风险控制策略为:选择结汇币种和控制出口对象及其数量就能有效地降低企业国际贸易汇率风险。
④收汇期不确定条件下企业国际贸易汇率风险度量及规避研究。本文基于WCVaR原理和方法,在置信水平、收益和风险约束条件下,针对收汇期信息部分可知和完全未知两种情况,分别建立了收汇期不确定条件下的企业国际贸易汇率风险度量模型,并通过算例计算分析了上述两种不确定收汇期条件下的企业的国际贸易汇率风险大小。研究表明:相同国际贸易资产组合,收汇期不确定条件下的汇率风险比确定条件下的大;收汇期信息部分已知时的企业国际贸易汇率风险要比收汇期信息完全未知时要小;收汇期不确定时,汇率的波动率是影响企业国际贸易汇率风险大小的最主要因素;而置信水平越高,相同国际贸易汇率风险也越大。其风险控制策略为:选择结汇币种和控制出口对象及其数量也能有效地降低企业国际贸易汇率风险。
⑤收汇额不确定条件下企业国际贸易汇率风险度量及规避研究。本文基于随机动态规划理论和动态CVaR方法,把收汇额不确定条件下企业的国际贸易汇率风险度量视为一种动态外汇资产组合选择及风险度量问题;在置信水平、收益和风险约束条件下,通过建立汇率风险度量模型并用算例计算分析了收汇额不确定条件下的企业国际贸易汇率风险大小。研究表明:相同国际贸易外汇资产组合,收汇额不确定条件下的汇率风险比确定条件下的大,但与收汇期不确定时的汇率风险没有明确的大小关系;收汇额不确定时,汇率的波动率也是影响企业国际贸易汇率风险大小的最主要因素;而且置信水平越高,相同国际贸易组合的汇率风险也越大。其风险控制策略为:选择结汇币种和控制出口对象及其数量也能有效地降低企业国际贸易的汇率风险。
⑥企业国际贸易汇率风险规避措施建议。为了实现企业规避国际贸易汇率风险之目的,通过上述的规范研究,提出了确定条件下、收汇期不确定和收汇额不确定条件下企业国际贸易汇率风险控制策略和对策及保障措施建议。
本文试图在企业国际贸易汇率风险度量理论研究方面有所创新。其创新点为:
①建立确定条件下企业国际贸易汇率风险度量模型。本文基于CVaR原理和方法,在置信水平、收益和风险约束条件下,建立了确定条件下的企业国际贸易汇率风险度量模型。该模型能定量地计算确定条件下的企业国际贸易汇率风险大小,为企业采取确定条件下的汇率风险规避措施提供依据。
②建立收汇期不确定条件下企业国际贸易汇率风险度量的模型。本文基于WCVaR原理和方法,在置信水平、收益和风险约束条件下,针对收汇期信息部分可知和完全未知两种情况,分别建立了相应汇率风险度量模型。该模型能定量地计算收汇期不确定条件下的企业国际贸易的汇率风险大小,为企业采取收汇期不确定条件下的汇率风险规避措施提供依据。
③建立收汇额不确定条件下企业国际贸易汇率风险度量的模型。本文基于随机动态规划理论和动态CVaR方法,在置信水平、收益和风险约束条件下,建立了收汇额不确定条件下的企业国际贸易汇率风险度量模型。该模型能定量地计算收汇额不确定条件下的企业国际贸易汇率风险大小,为企业采取收汇额不确定条件下的汇率风险规避措施提供依据。
④定量分析了不同情况下企业汇率风险的大小。本文根据建立的企业国际贸易汇率风险度量模型,从定量的角度,算例计算分析了确定和不确定条件下企业的国际贸易汇率风险大小及变化趋势。在此基础上,提出不同情况下企业国际贸易汇率风险的规避策略。
The global financial crisis triggered by the American sub prime-lending crisis has caused heavy losses to the financial and trading systems around the world. As one member in the system of the economic globalization, China cannot be immune from the global financial crisis. In the times of financial crisis, the number of the international trade orders in China is sharply going down and it also becomes difficult to carry out the original orders. Therefore, there are great uncertainties of the time when the enterprises can collect the payment and the limit of the collection of payment, and some enterprises become bankrupt. In addition, since China implemented the floating RMB exchange rate system, RMB has appreciated to one degree or another against other world's major currencies. The appreciation of RMB and the fluctuations of exchange rate have no doubt increased the risk of the enterprises in international trade. Besides, because China's financial derivatives market is still relatively backward and the instruments and measures of avoiding the risk are very limited, it is very passive to avoid the risk for enterprises and the cost is fairly high. Therefore, it has practical significance to do the research on how the enterprises should measure the exchange rate risk and avoid risk in international trade.
Risk measurement is the precondition of risk avoidance. Objectively speaking, it is a very complex problem to measure risk. At present, the risk measurement theory has evolved from the variance of Markowitz H to CVaR, WCVaR and Dynamic CVaR, etc. However, the researches on the risk measurement of exchange rate with the theory of both WCVaR and Dynamic CVaR need to be improved. Therefore it has theoretical value to do research on risk measurement and risk avoidance in international trade based on the related theories.
This paper adopts the standard research method.
The research in mainly on:
The theories and literature reviews of the research on the risk measurement and avoidance. It illustrates such risk measurement theories as the variance and Markowitz asset allocation model, downside risk method and Harlow asset allocation model, Value-at-Risk (VaR) and Value-at-Risk (VaR) model and Conditional Value-at-Risk (CVaR) model, etc. It makes an analysis of the background, main contents and applied conditions of the theories and methods mentioned above and finds out that Value-at-Risk (VaR) method and Dynamic Programming Theory can better meet the needs of the research on the risk measurement when the time and limit for the settlement of payment are not confirmed and are the basic theories of setting up and improving the risk measurement model in international trade under different conditions.
The definition of "uncertainty". The analysis of the connotation, categories and causes of exchange rate risk shows that: the fluctuation of exchange rate makes the exchange rate have the time value; The international situation, the enterprises' credit and the geopolitical, georeligious, geocultural and guileful factors all effect the international trade of enterprises. Therefore, the uncertain time and limit for the settlement of payment often happen; In the circumstance of the appreciation of RMB and global financial crisis, the two kinds of uncertainties intensify the exchange rate risk of enterprises in international trade.
Research on the exchange rate risk measurement in international trade under the condition of certain time and limit for the settlement of payment. It elaborates on the theories of VaR and CVaR, and in the constraint conditions of confidence level, profit and risk sets up the model of the exchange rate risk measurement to access how big the exchange rate risk in international trade is when the time and limit for the settlement of payment are confirmed. It is concluded from the research that the volatility of exchange rate mainly affects the exchange rate risk in international trade. The higher the confidence level is, the greater the enterprise’s aversion to the risk is and the greater the risk is when there is the same demand for profit. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can effectively lower the exchange rate risks of enterprises in international trade.
The research on the exchange rate risk in international trade when the time for the settlement of payment is not certain. This paper separately sets up the exchange rate risk measurement models in the two cases of partial unawareness and total unawareness of the time of the settlement of payment based on the WCVaR theory and method in the constraint conditions of confidence level, profit and risk and analyzes by numerical examples how risky the enterprises are in the two cases. It is from the study that it is more risky if the time for the settlement of payment is not certain; It is after to know some information of the time for the settlement of payment than to have no idea of it; When the time for the settlement of payment is not certain, the volatility of exchange rate is the main factor to decide the risk of the exchange rate risk. Furthermore, the higher the confidence level is, the greater the risk is. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can also effectively lower the exchange rate risks of
enterprises in international trade. The research on the exchange rate risk in international trade when the limit for the settlement of payment is not certain. This paper takes the exchange rate risk measurement as the selection and risk measurement of a dynamic asset portfolio when the limit for the settlement of payment is uncertain. It adopts the stochastic dynamic programming theory and dynamic CVaR method to build the measurement models and analyzes and studies the size of the exchange rate risk in international trade. Studies lead to conclude that it is more risky when the limit for the settlement of payment is uncertain than when it is certain but no difference is made to the exchange rate risk when the time for the settlement of payment is uncertain; when the limit for the settlement of payment is not certain, the fluctuation ratio is also the main factor of the size of the risk. The higher the confidence level is, the more risky it will be for the same international trade portfolio. The strategies of choosing the currency of the settlement of exchange and controlling the export partners and quantities can also effectively lower the exchange rate risks of enterprises in international trade.
Suggestions on the exchange rate risk avoidance. To avoid the exchange rate risk of enterprises, the paper separately proposes the risk-control strategies and suggestions when the time and limit for the settlement of payment is certain, the time for the settlement of payment is not certain and the limit for the settlement of payment is not certain.
This paper attempts to make innovations of the theoretical research on exchange rate risk of enterprises in international trade. The innovation points are:
Set up the exchange risk measurement model of enterprises in international trade when the time and limit for the settlement of payment are certain. This paper sets up the exchange risk measurement model based on the CVaR theory and method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the time and limit for the settlement of payment are certain and provide the basis for exchange rate risk avoidance.
Set up the exchange risk measurement model of enterprises in international trade when the time for the settlement of payment is not certain. This paper separately sets up the exchange rate risk measurement models in the two cases of partial unawareness and total unawareness of the time of the settlement of payment based on the WCVaR theory and method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the time for the settlement of payment is uncertain and provide the basis for exchange rate risk avoidance.
Set up the exchange risk measurement model of enterprises in international trade when the limit for the settlement of payment is not certain. This paper sets up the exchange risk measurement model based on the stochastic dynamic programming theory and dynamic CVaR method in the constraint conditions of confidence level, profit and risk. The model can quantificational calculate the exchange rate risk of enterprises in international trade when the limit for the settlement of payment is uncertain and provide the basis for exchange rate risk avoidance.
Quantificational analyze how big the exchange rate risks of enterprises are in different situations. This paper sets up the exchange rate risk models of enterprises in international trade and quantificational analyses by numerical examples how big the exchange rate risks of enterprises are in different situations and the tend of changing. The strategies of exchange rate risk avoidance of enterprises in international trade are proposed on the basis.
引文
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