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外汇汇率风险规避(1).pdf

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May28,2002 HedgingForeignExchangeExposure:RiskReductionfromTransaction andTranslationHedging∗ Abstract UsingasampleofSwedishfirmsweinvestigatetheriskreducingeffectofforeignexchangeexposure hedging.Further,weinvestigateriskreductionfromusingdifferenthedginginstruments,andparticular interestisdirectedtowardstheimpactoftransactionexposurehedgesandtranslationexposurehedges respectively.Wefindthatfirms’foreignexchangeexposureisincreasingwiththelevelofinherentexposure, measuredasthedifferencebetweenrevenuesandcostsdenominatedinforeigncurrency,andthatitis decreasingwithfirmsize.Wefindasignificantreductioninforeignexchangeexposurefromtheuseof financialhedges.Theevidencesuggeststhattheusageofforeigndenominateddebtaswellascurrency derivativesreducefirms’foreignexchangeexposure.Further,wefindthattransactionexposurehedges significantlyreduceexposure,andthattranslationexposurehedgesalsoreduceexposure.Apossible explanationforthelatteristhattranslationexposureapproximatestheexposedvalueoffuturecashflows fromoperationsinforeignsubsidiaries(i.e.economicexposure).Ifso,byhedgingtranslationexposure, economicexposureisreduced. NiclasHagelinandBengtPramborg DepartmentofCorporateFinance SchoolofBusiness,StockholmUniversity S-10691Stockholm,Sweden Telephone:+4686747427 E-mail:bpg@fek.su.se ∗Thispaperhasbenefitedsubstantiallyfromsuggestionsbytwoanonymousrefereesandtheeditor,RichardM. Levich,andwearegratefulfortheircontributions.WewouldalsoliketothankJohanAdolphson,NiclasAndrén, HosseinAsgharian,DavidBurnie,MartinHolmen,J.AustinMurphy,LarsNordén,FredrikStenberg,Carsten Sørensen,andMartinR.Youngforvaluablecomments.Wealsoacknowledgecommentsfromparticipantsinthe EFMAConference2001inLugano,the13thAnnualPACAP/FMAFinanceConference2001inSeoul,the31st FMAAnnualMeeting2001inToronto,andcommentsfromworkshopparticipantsatSchoolofBusiness,Stockholm University,andattheArneRydeWorkshopinEmpiricalFinance2001,LundUniversity. 1Introduction Thepurposeofthispaperistoinvestigatetherelationshipbetweenforeignexchange(