中國大陸多國籍企業外匯曝險之研究

Abstract

2005年7月21日，中國完成對「人民幣匯率形成機制改革」，將原本匯率盯住美元的匯率制度，改而建立管理浮動匯率機制，參考一籃子貨幣，以維持主動性、可控性與漸進性，對人民幣匯率進行調節。自2005年7月1美元兌人民幣約8.27，至2008年7月約6.82，三年間人民幣對美金累計升值約19%。至2008年7月至今全球陷入金融危機後，景氣逐漸回升，人民幣匯率的變化又成了全球關注的焦點，而其對中國多國籍企業的衝擊影響大小，對中國經濟發展具有重要的意義。本文首先對中國大陸股票市場、外匯市場、進出口情況予以簡要介紹。並且定義外匯曝險，依中國股票市場特性選用市場價值法來衡量。透過實證研究分析，本研究得出結論如下：在匯率制度改革期間，中國大陸多國籍企業外匯曝險增加非常明顯，尤其是歐元、日幣、英鎊，顯示在匯改期間，中國多國籍企業確實遭受到較大的外匯曝險。就主要外幣分別而言，只有日幣的外匯曝險係數大多均為負（人民幣升值會與公司價值呈負向關係），符合我們對於升值不利於出口之觀點。其餘幣別則多為正數，其可能原因為中國匯率制度改革若採盯住匯率制度，會有扭曲中國與貿易國的經濟情況對比，造成出口下降，而同時貶值的情況。另外，短期而言，國際間普遍預期人民幣會升值，國際熱錢流入中國市場，對股市造成推升的效果，公司股價並立即未反映出人民幣升值對企業帶來的負向衝擊。

China advanced reform of CNY exchange rate formation mechanism on July 21, 2005. It moved from a fixed exchange rate regime into a managed floating exchange rate regime with reference to a basket of currencies. RMB is no longer pegged to the US dollar, and the RMB exchange rate regime will be improved with greater elasticity, controllability, and graduality. The exchange rate of the US dollar against the RMB was 8.27 on July 21, 2005, and it adjusted to 6.82 yuan per US dollar in July, 2008. The yuan approximately appreciated by 19% during three years. Business cycle has been continuing recovering since 2008 financial crisis. Changes of CNY exchange rate attract attention from the whole world, and its impact on Chinese businesses plays an important role in the economic development history of China. This paper starts with a simple introduction of the stock market, foreign exchange market, and imports and exports situation of China. Then we define foreign exposure, and measure the degree of exposure by market value method according to the characteristics of China stock market. The result is as follows: During the period of reform of CNY exchange rate formation mechanism, the foreign exposure of Chinese multinational corporations significantly increases, especially for Euro, Japanese yen, and British pound. This finding suggests that Chinese multinational corporations bear much more foreign exposure during the period of reforming. For the main foreign currencies, only the foreign exposure coefficients of Japanese yen are mostly negative (The appreciation of CNY has a negative relationship with firm value). This finding supports that domestic currency appreciation is unfavorable for those export firms. The foreign exposure coefficients of other currencies are mostly positive. The possible reason is the relative economic situation of China and its trade countries may be changed due to a fixed exchange rate regime so that export decrease and currency depreciation happen simultaneously. Furthermore, international investor expect RMB exchange rate will appreciation, hot money continuously flows into China and gives impetus to the stock market in the short-term, but the firm value of China multinational corporations doesn't respond to currency appreciation immediately.