| 我国家具制造业上市公司外汇风险管理研究——基于GARCH模型与VaR方法 |
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| 引用本文： | 王天伦.我国家具制造业上市公司外汇风险管理研究——基于GARCH模型与VaR方法[J].江汉大学学报(自然科学版),2014(3):31-36. |
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| 作者姓名： | 王天伦 |
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| 作者单位： | 武汉大学经济与管理学院,湖北武汉430072 |
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| 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。
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| 关 键 词： | 家具制造业 外汇风险 GARCH模型 VaR方法 |
Estimation of Foreign Exchange Risk on Listed Companies of Chinese Furniture Manufacturing： Based on GARCH Model and VaR Method |
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| 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 Sciences,2014(3):31-36. |
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| Authors: | WANG Tianlun |
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| Institution: | WANG Tianlun (School of Economics and Management, Wuhan University, Wuhan 430072, Hubei, China) |
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| Abstract: | To know the potential foreign exchange risk of furniture manufacturing in China,choosesseven representative listed companies and analyses the data of them from 2012 to 2013 with GARCHmodel and VaR method. Results show that three of them have low risk window,however the otherfour companies have experienced obvious risk,and they are strongly recommended to use propermanagement tools for risk control. |
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| Keywords: | furniture manufacturing foreign exchange risk GARCH model VaR method |
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