外汇与利率衍生品交易规模影响因素实证研究

科研管理 ›› 2015, Vol. 36 ›› Issue (6) : 157-167.

论文

刘任帆

作者信息 +

The determinants of the scale of foreign exchange and interest rate derivatives transactions

Liu Renfan

Author information +

文章历史 +

摘要

很多创新创业企业高度依赖进出口和债务资金, 需要借助外汇或利率衍生品管理汇率或利率风险, 本文收集了包括创新创业企业在内的60余家上市公司衍生品交易数据, 采用衍生合约名义本金除以汇率或利率风险敞口金额定义交易规模。结果支持了管理汇率或利率风险、缓解投资不足、外币负债与衍生品具有互补性和现金流量权激励假说, 两类衍生品交易关于经理人员自利、降低财务困境成本和现金替代衍生品管理风险假说的检验结果截然相反。采用前人文献的外汇或利率衍生品交易规模计量指标所得到的分析结果令人产生歧义。文章最后给出了政策建议。

Abstract

Many entrepreneurial firms depends much more on import, export and external debt financing, so they need to manage the foreign currency and interest rate risks by means of foreign currency or interest rate derivatives. This paper collects derivatives transaction data fromover 60 listed companies including entrepreneurial firms, defines derivatives transaction scale by dividing thecontractual nominal principal by foreign currency or interest rate risk exposures. The empirical results support themanagement of foreign exchange and interest rate risk, the alleviation of under-investment, the complementary nature of foreign debt and derivatives, and the cash flow incentives hypotheses. As for the results of the tests for the hypotheses of manager utility maximization, financial distress, derivatives substitute for cash as risk reduction instrument, they are contrary to that of interest rate derivatives. The multi-regression results are misleading based on the prior literature's scale measures of foreign currency or interest rate derivatives transaction. Finally, the author gives his own policy suggestions.

导出引用

刘任帆. 外汇与利率衍生品交易规模影响因素实证研究[J]. 科研管理. 2015, 36(6): 157-167

Liu Renfan. The determinants of the scale of foreign exchange and interest rate derivatives transactions[J]. Science Research Management. 2015, 36(6): 157-167

中图分类号： F275.1

参考文献

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