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.

外汇与利率衍生品交易规模影响因素实证研究

刘任帆

杭州电子科技大学会计学院, 浙江杭州 310018

收稿日期:2014-09-24 修回日期:2015-05-13 出版日期:2015-06-25 发布日期:2015-06-23
作者简介:刘任帆(1968-),男(汉),湖南人,博士,研究方向:衍生工具与融资风险管理创新。
基金资助:
教育部2012年度人文社科规划基金资助项目"套期保值与投机的动因及效果研究"的阶段性成果之一, 批准号:12YJA630075。此外, 本文还得到浙江省信息化与经济社会发展研究中心的资助。

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

Liu Renfan

School of Accountancy, Hangzhou Dianzi University, Hangzhou 310018, Zhejiang, China

Received:2014-09-24 Revised:2015-05-13 Online:2015-06-25 Published:2015-06-23

摘要/Abstract

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。

关键词: 衍生品交易规模, 外汇与利率衍生品, 外币负债, 风险敞口

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.

Key words: derivative transaction scale, foreign debt, foreign currency and interest rate derivatives, risk exposure

中图分类号:

F275.1

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.

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