我国家具制造业上市公司外汇风险管理研究

江汉大学学报（自然科学版） ›› 2014, Vol. 42 ›› Issue (3): 31-36.

我国家具制造业上市公司外汇风险管理研究

王天伦

武汉大学经济与管理学院，湖北武汉 430072

出版日期:2014-06-25 发布日期:2014-07-03
作者简介:王天伦（1990—），女，硕士生，研究方向：应用经济学。

Estimation of Foreign Exchange Risk on Listed Companies of Chinese Furniture Manufacturing: Based on GARCH Model and VaR Method

WANG Tianlun

School of Economics and Management，Wuhan University，Wuhan 430072，Hubei，China

Online:2014-06-25 Published:2014-07-03

摘要/Abstract

摘要： 选取我国7家代表性家具制造业上市公司2012-2013年数据，运用广义自回归条件异方差模型（GARCH）和VaR方法，旨在测算人民币汇率变动对以出口为导向的家具制造业造成的潜在外汇风险。结果表明，其中3家公司风险敞口较小，建议通过资金需求和订单议价灵活调整；另外4家公司存在较明显的外汇风险，需要寻找合适的汇率风险管理工具管理风险。

关键词: 家具制造业, 外汇风险, GARCH模型, VaR方法

Abstract: To know the potential foreign exchange risk of furniture manufacturing in China，chooses seven representative listed companies and analyses the data of them from 2012 to 2013 with GARCH model and VaR method. Results show that three of them have low risk window，however the other four companies have experienced obvious risk，and they are strongly recommended to use proper management tools for risk control.

Key words: furniture manufacturing, foreign exchange risk, GARCH model, VaR method

中图分类号:

F840.323

王天伦. 我国家具制造业上市公司外汇风险管理研究[J]. 江汉大学学报（自然科学版）, 2014, 42(3): 31-36.

WANG Tianlun. Estimation of Foreign Exchange Risk on Listed Companies of Chinese Furniture Manufacturing: Based on GARCH Model and VaR Method[J]. Journal of Jianghan University(Natural Science Edition), 2014, 42(3): 31-36.