汇率政策不确定性与微观企业资产配置：基于实体企业“脱实向虚”的视角

With the increased uncertainty of international economic situation and the market-oriented reform of China’s exchange rate regime, the RMB exchange rate is getting more sensitive to both domestic and foreign macro factors such as economic policy, political risk and trade relationship. As the bi-directional fluctuation of the RMB exchange rate enhances and is being difficult to predict, it plays an important role in economic development as well as firm’s decisions. Being an important financial system arrangement that is in line with the logic of foreign exchange market, the exchange rate policy plays a core role in the formation mechanism of RMB exchange rate. However, factors including the frequent adjustments of exchange rate policy at national level, the deviation between the nominal (announced by the government) and real exchange rate regime, the unknown credibility of policy implementation, and the unexpected influence after implementation of policies, all lead to the uncertainty of exchange rate policy. This uncertainty will have an effect on firm’s behavior through the change of prospect expectation, cost of capital, information environment, etc. Considering the trend of “Transformation from Substantial to Fictitious” in China, we take the investment and financing behaviors of public industrial firms as research object, and construct the “Exchange Rate Policy Uncertainty Index”（ERPU）. Following the logic framework of “Exchange Rate Policy Uncertainty-Exchange Rate Fluctuation Uncertainty-Firm’s Investment and Financing Decision-Resource Allocation Efficiency”, we will examine the economic consequences of exchange rate policy uncertainty, including the exchange rate fluctuations on firm level (after considering imports and exports), financing structure and information disclosure, physical investment & financial asset allocation, and resource allocation efficiency. The findings will lead firms to make efficient decisions under an uncertain environment, and provide several theoretical basis for the exchange rate system reform. The research will expand the academic research on the relation between macroeconomic policy and micro-enterprise behavior.

随着国际经济形势不确定性加剧和我国汇率制度市场化改革，人民币汇率对国内外经济政策、政治风险、贸易关系等反应敏感，双向波幅增强且难以预测，对经济发展与企业决策影响显著。作为配合外汇市场逻辑的重要金融制度安排，汇率政策在汇率形成中扮演核心角色。但国家汇率政策频繁调整、名义与实际汇率制度偏离、政策执行不可置信程度均带来汇率政策不确定性，进一步通过影响前景预期、资本成本、信息环境等作用于企业行为。结合我国经济“脱实向虚”趋势，本课题以实体企业投融资为对象，构建“汇率政策不确定性指数”，按照“汇率政策不确定性-汇率波动不确定性-企业投融资决策-资源配置效率”逻辑，从企业层面的汇率波动、融资结构与信息披露、实体性投资与金融资产配置、资源配置效率等方面研究汇率政策不确定性的经济后果，有利于提高企业在不确定环境下的决策质量，同时为汇率制度改革提供微观层面的理论依据，丰富宏观经济政策与微观企业行为领域研究。

十九大报告指出，我国继续深化利率和汇率市场化改革，推动形成全面开放新格局，同时，健全金融监管体系，守住不发生系统性金融风险的底线。汇率作为国际价格，其变动在宏观层面引导全球价值分工，关系着国家金融系统和国际贸易关系稳定；在微观层面通过影响信息环境、交易成本、信贷约束、汇率风险等途径作用于企业资产配置。追溯汇率波动来源，汇率政策发挥着根本作用。但是，没有一种汇率政策适用于一个国家的所有发展阶段，汇率政策调整与微观主体对汇率政策执行的不准确预期将形成“汇率政策不确定性”。本项目通过计算新闻报道频率、选取尽可能广泛的宏观指标用以计算预测误差条件偏离度等2种方法构建我国“汇率政策不确定性指数”，并对企业实体性或金融性投资进行一系列研究，核心结论如下：（1）人民币兑美元名义汇率不确定性显著降低了企业跨境并购可能性，实物期权效应占主导；人民币名义有效汇率不确定性与企业跨境并购决策正相关，风险对冲机制占主导。（2）在汇率政策不确定性上升时，涉外经营企业研发投资与未来专利产出提升，创新文本信息披露增加，事前汇率风险较高的企业样本表现更为明显。（3）汇率政策不确定性约束企业有息负债和整体财务杠杆，但会促使其调整信贷资金结构。相对本币债务，汇率政策不确定性推动企业外币贷款显著增加，在控制外币信贷政策利好和同期汇率波动后，这一影响依然存在。（4）在金融性投资方面，汇率政策不确定性加剧将引导企业调增外币现金和外汇衍生品投资，外币现金配置和外汇风险的金融对冲有利于提升企业价值与股票回报率。在核心研究基础上，本项目将研究对象拓宽至银行等金融机构，在汇率政策之外对涉外经济政策（国家自由贸易试验区建设、宏观审慎政策等）予以关注。本项目对我国企业积极参与全球价值链、应对外部不确定性具有启示意义，同时，为未来外汇市场监管、跨境融资宏观审慎工具应用、资本项目逐步开放、金融服务实体经济等政策决策提供理论依据。