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Volume 34 Issue 5
Oct.  2020
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Article Navigation >  Accounting and Economic Research  > 2020  >  34(5): 107-127
Chen Fengxian, Ding Meilin. 2020. RMB Exchange Rate Fluctuation and Foreign Exchange Risk Exposure: Evidence from Listed Companies in Beijing-Tianjin-Hebei Region. Accounting and Economic Research, 34(5): 107-127.
Citation: Chen Fengxian, Ding Meilin. 2020. RMB Exchange Rate Fluctuation and Foreign Exchange Risk Exposure: Evidence from Listed Companies in Beijing-Tianjin-Hebei Region. Accounting and Economic Research, 34(5): 107-127.
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RMB Exchange Rate Fluctuation and Foreign Exchange Risk Exposure: Evidence from Listed Companies in Beijing-Tianjin-Hebei Region

  • School of Finance, Capital University of Economics and Business, Beijing 100076, China

  • Received Date: 2020-01-15
  • Publish Date: 2020-09-25
    Abstract
  • We use the quarterly data of 422 listed companies in Beijing-Tianjin-Hebei region from 2006 to 2018, and test the effect of RMB exchange rate fluctuation on the foreign exchange risk exposure of listed companies. We find that the foreign exchange risk of listed companies in Beijing-Tianjin-Hebei region is obviously exposed, when the RMB exchange rate raises by 1%, the firm value decreases by 4.01%. With the firm return raised, the exposure of foreign exchange risk shows a feature of typical J curve, which first declines and then rises. When the exchange rate raises, the exposure of foreign exchange risk shows an obvious asymmetry, in that the negative effect of small appreciation on firm value is significantly higher than that of the big appreciation. Finally, we puts forward relevant suggestions based on following perspectives: the use of foreign exchange derivatives at a firm level, the adjustment of industrial structure at an industry level, and the RMB exchange rate market-oriented reform at a macro level.

     

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