汇率政策、内部控制与风险对冲——基于“8.11汇改”冲击的市场感知视角被引量：3

Exchange Rate Policy,Internal Control and Risk Hedging:The Perspective of Market Perception Based on the Shock of "8.11 Exchange Rate Reform"

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摘要本文以中国汇率政策改革为背景,从市场感知汇率风险的视角,研究了宏观汇率政策对微观企业的影响,以及企业借助风险对冲手段和风险管理制度的应对机制。研究发现,市场短期内对“8.11汇改”政策发布事件做出负面反应;总体上来看,市场对使用与未使用外汇衍生工具企业的反应不存在显著差异;而市场对外汇衍生工具能否发挥汇率风险对冲作用的反应受到企业内部控制质量的影响。进一步研究表明,在企业披露使用衍生工具进行套期保值的情形下,投资者能够感知对冲风险的作用;在企业未披露衍生工具使用目的的情形下,投资者感知的风险更大,但投资者能够通过内部控制质量判断衍生工具的使用效果。本文从市场感知的视角,揭示了微观企业通过风险管理有效应对汇率风险的作用机理,拓展了汇率风险管理和内部控制领域的研究,为我国企业提高汇率风险防范能力提供了政策启示。 Based on the context of China's exchange rate policy reform,this study explores the impact of macro exchange rate policy on micro firms and the interplay between the use of foreign exchange derivatives and internal control in addressing foreign exchange risk from the perspective of market perception.We find that stock market negatively reacted to the announcement of the"8.11 Exchange Rate Reform".On average,there is no significant difference in the market reaction between firms that used foreign exchange derivatives and those that did not.However,the market perception of whether the use of foreign exchange derivatives can effectively hedge exchange rate risk varies with the firms'internal control quality.Further analyses show that investors can perceive the positive role of foreign exchange derivatives in hedging risk when firms disclose their use of derivatives for hedging purposes.Meanwhile,investors'perception of the effec⁃tiveness of derivatives in hedging risk depends on firms'internal control quality in the situations that firms do not disclose the purpose of using derivatives.From the perspective of market perception,this paper reveals the mechanism of micro-firm risk management systems in handling macro foreign exchange risks.We not only extend the literature on exchange rate risk management and internal control,but also provide important policy implications for Chinese firms to improve their risk management capabilities.

作者陈俊徐怡然董望王文明 Chen Jun;Xu Yiran;Dong Wang;Wang Wenming(School of Management,Zhejiang University)

机构地区浙江大学管理学院

出处《管理世界》北大核心 2023年第8期40-57,90,共19页 Journal of Management World

基金教育部哲学社会科学研究重大课题攻关项目(20JZD014) 国家自然科学基金项目(71872163 71932003) 国家社会科学基金重点项目(21AGL011) 浙江省哲学社会科学规划重大课题(22QNYC04ZD)的资助。

关键词 “8.11汇改” 市场感知汇率风险外汇衍生工具内部控制 "8.11 Exchange Rate Reform" market perception exchange rate risk foreign exchange derivatives internal control