外汇风险的印度企业管理实践一个实证分析

1、原文：Foreign Exchange Exposure Management Practices of Indian Firms: An Empirical AnalysisAbstract:      This study employs questionnaire survey and reports the findings of a survey of chief financial officers of Indian Companies conducted in 2008. The objective of this study is to

2、 investigate if the CFOs had a clear understanding of the difference between translation, transaction and economic exposure. In addition, the study also concentrates on the hedging policies used by firms, the key factors that determine the decision to hedge and how frequently is the hedging policy r

3、eviewed.Theoretical Framework: Management of Foreign Exchange RiskIn the light of globalization and internationalization of world markets, foreign exchange risk has become one of the most difficult and persistent problems with which financial executives must cope. Fluctuations in exchange rates have

4、 become a major source of uncertainty for multinational firms (Jorion, 1990). The present study aims to provide a perspective on managing the risk that MNCs face due to fluctuating exchange rates. Firms are exposed to foreign exchange risk if the results of their projects depend on future exchange r

5、ates and if exchange rates cannot be fully anticipated (Glaum Martin, 2000). Exchange rate risk is of fundamental concern to both investors and managers. Investors are concerned with the impact of unexpected changes in the exchange rate as it relates to portfolio values, and managers are also concer

6、ned with the exposure of the firm as it relates to profitability. (Pantzalis et al, 2001). Managing foreign exchange risk is a fundamental component in the safe and sound management of companies that have exposures in foreign currencies. In deciding what the companys objectives are in managing expos

7、ure to foreign currency, the company is in essence deciding what risks it is willing to accept in this area. Research in this area indicates that it involves prudently managing foreign currency positions in order to control, within set parameters, the impact of changes in exchange rates on the finan

8、cial position of the company. The frequency and direction of rate changes, the extent of the foreign currency exposure and the ability of counter parties to honor their obligations to the company are significant factors in foreign exchange risk management. A study of the exposure management practice

9、s of Indian firms is both interesting and challenging for three reasons. Firstly, their exposure management practices are still evolving and are at an early stage of financial development. Secondly, management of exchange rate exposure is many times influenced by expectations and perceptions about t

10、he current and future course of events. Finally, not many empirical studies have been attempted on the foreign exchange exposure practices of Indian companies. Most empirical studies about foreign exchange exposure management practices, concentrate on the behavior of multinational corporations (MNCs

11、) that are located in the U.S. and the U.K. Studies about the practices of firms located in smaller open economies are rather limited ( Oxelheim,1984; and Batten, Mellor and Wan, 1993). Therefore, this study will be important since it documents the practices of companies across different industries.

12、 In order to translate foreign currency financial statements of US based MNCs, Financial Accounting Standards Board (FASB) -8 became effective in 1976. FASB Statement - 8 formulated uniform standard for the translation into dollars of foreign currency denominated financial statements and transaction

13、s of US-based multinational companies were established. An important feature of this statement was that translation gain and losses could not be deferred and multinational corporations had to include them in current income. However, due to dissatisfaction over FASB Statement - 8, FASB Statement - 52

14、 was adopted. According to FASB-52, MNC had to adopt the current rate method for translating foreign currency denominated assets and liabilities into dollars. For foreign currency revenues, expenses and gains/ losses, “the exchange rate at the dates used on which those elements are recognized shall

15、be used” (Kasibhatla and Eduardo, 2001). FASB 52 presents standards for foreign currency translation that are designed to (1) Provide information that is generally compatible with the expected economic effects of a rate change on an enterprise's cash flows and equity and (2) Reflect in consolida

16、ted statements the financial results and relationships as measured in the primary currency in which each entity conducts its business (referred to as its "functional currency"). An important feature of FASB 52 was that translation gains and losses are shown in the balance sheet in a new an

17、d separate account known as theCumulative Translation Adjustment account. The functional currency translation approach adopted in this Statement encompasses: a. Identifying the functional currency of the entity's economic environment b. Measuring all elements of the financial statements in the f

18、unctional currency c. Using the current exchange rate for translation from the functional currency to the reporting currency, if they are different d. Distinguishing the economic impact of changes in exchange rates on a net investment from the impact of such changes on individual assets and liabilit

19、ies that are receivable or payable in currencies other than the functional currency. The next section of the paper reviews the literature on exposure management practices of companies. It also addresses the issue of the new standard FASB 52. Section 3 presents the survey responses and analysis of th

20、e results. Section 4 describes the hedging techniques used by companies and how companies determine the decision to hedge. The last section presents a summary and implications of the study. Literature ReviewAll firms dealing in multiple currencies face a risk of unanticipated gains/ losses due to su

21、dden changes in exchange rates. The literature on exchange rate exposure has grown rapidly more specifically after the financial crises in 1990s. These crises have made it clear that exchange rates may have significant real economy effects. There are a large number of theories of why companies manag

22、e risk, including foreign exchange risk. (Christie and Marshall, 2003) Coping with risk has become an important managerial function, especially after the increased volatility in the foreign exchange market in recent years. The magnitude of the risk involved is illustrated by the £150 million ex

23、change loss reported by the UK food and drinks company Allied- Lyons in 1991 (Corporate Finance Magazine, April 1991). According to the literature, there are different sources/ types of exchange rate exposure (Schafer-Pohn-Weidinger, 2005). The main types of exchange rate exposure are: 1. Translatio

24、n exposure is the exposure short-term foreign assets are exposed to due to inflation uncertainty, while domestic assets are not exposed to this exchange risk (Jorion, 1990). Shapiro defines it as the accounting based changes in consolidated financial statements caused by exchange rate changes. Trans

25、lation exposure arises on the consolidation of assets, liabilities and profits denominated in foreign currency in the process of preparing consolidated accounts. 2. Transaction Exposure Eiteman et al (2001) define transaction exposure as a measure of change in the value of outstanding financial obli

26、gations which are incurred prior to a change in exchange rates but are not due to be settled until after exchange rates change. Transaction exposure arises from the possibility that the future cash flow may change as a result of exchange rate changes. Marshall(2000) finds that transaction risk is pe

27、rceived by US, UK and Asian Companies to be the most important risk to manage. 3. Economic Exposure refers to the possibility of the change in the present value of the firms expected future cash flows due to unexpected change in exchange rates. It is also called operating exposure and measures the c

28、hange in the present value of the firm, which results from any change in future operating cash flows caused by unexpected changes in exchange rates. Pantzalis et al (2001) defines Operating exposure as the effect of unexpected changes in the exchange rate on cash flows associated with a firms real a

29、ssets and liabilities. Various empirical studies in the last few years have attempted to provide insights into the practices of risk management. These empirical studies provide managers with information on the current practices of other firms. This kind of information is valuable since it allows man

30、agers to critically assess and analyze their own strategies. Cohen/Wiseman (1997) explains which questions should be asked in this context: “Companies should use this information to assess where they stand in comparison with other companies.” The survey findings do not necessarily represent best pra

31、ctice, but they should be used as a guide for a treasury to compare itself with other organizations and ask: “Where are we similar? Where are we different? Should we be different? What should we do about it?” (Martin Glaum, 2000) Survey Responses and AnalysisAn 11 Question survey was mailed to CFOs

32、of 250 Indian corporations in 2008. A cover letter to the CFOs explained that the purpose of the survey was academic and that all responses would be kept anonymous and confidential. A total of 98 usable responses were received, for a response rate of 40%. The industries that the 98 companies operate

33、 in are shown in Table 1. Table 1 Respondent Companies by Industry Industry No of Companies Percent Banks 35 35.7 FMCG 13 13.3 IT 16 16.3 Manufacturing 25 25.5 Others 9 9.2 Total 98 100.0 Questions 1-3 sought information with regard to the understanding of the transaction, translation, and economic

34、exposure. Translation exposure was understood completely by 55% of the respondents, 31% understood it substantially, with only 13% understanding it partially. As far as transaction exposure is concerned 53% of the respondents indicated that they understood it completely, 34% understood it substantia

35、lly, with only 10% understanding it partially. Economic Exposure is defined as an exposure to fluctuating exchange rate which affects a companys earnings, cash flow and foreign investment. Economic exposure which depends on the specific characteristics of the company and its industry was understood

36、completely by 44% of the respondents, substantially by 41%, and partially by 15%. No company felt that they do not understand economic exposure completely. This could probably be attributed to the fact that most of the companies while entering into any economy, first study the economy. This could al

37、so be due to the fact that companies are aware that their receivables and payables are affected by international economic factors like wars, oil and natural resources. The survey does show predictable results about a significant majority of the respondents understanding all the 3 different kinds of

38、exposure. Questions 4-6 sought information on whether or not the firms covered themselves against transactions, translation, and economic exposures. As far as translation exposure is concerned, only 28% of the respondents covered themselves completely, 31% substantially, 33% partially, and 6% not at

39、 all. Translation exposure is not perceived to be important as CFOs feel that it is simply a paper gain and does not directly affect cash flows. However, firms are concerned about it because of its potential impact on reported income. In the case of transaction exposure, 23% of the respondents cover

40、ed themselves completely, 45% substantially, 28% partially and 3% not at all. It was felt that transaction exposure can be reduced by netting out the payments. If payments and receipts are in different currencies, transaction exposure can be minimized as unexpected exchange rate changes net out over

41、 many different transactions. With regard to economic exposure, only 25% of the respondents covered themselves completely, 42% substantially, 25% partially and 7% not at all. Economic exposure is rarely covered and most of the respondents felt that the key determinant of economic exposure is the com

42、petitive structure of the industry in which a firm operates. Question 7 asked if the firms covered themselves against all three foreign exchange exposures. Only 13% of the respondents indicated that they cover themselves completely against all 3 foreign exchange exposures while 50% indicated that th

43、ey cover substantially. Surprisingly 16% of the respondents did not cover themselves against all 3 exposures. Financial risk management has become one of the important aspects in financial management for companies around the world (Bessembinder, 1991).Rawls and Smithson (1990) report that financial

44、risk management is one of the important financial activities of firms. The importance executives attach to foreign exchange risk management is often reflected in their attitudes to foreign exchange risk and the organizational structures and procedures implemented for managing exposure. Question 8 ad

45、dressed the issue of whether the firms hedged against translation and economic exposures. Only 15% indicated that they hedged against both, 44% covered substantially, 20% indicated that they hedged partially, while 20% indicated that their firms do not hedge. Question 9 sought information if the fir

46、ms were presently using FASB-52. Almost 50% of companies use FASB-52 completely but significantly a large number of companies(22%) are still not using FASB-52. Of the firms responding, 17% indicated that they used FASB-52 substantially while 10% used it partially. Companies not using FASB 52 are kep

47、t aloof from the advanced hedging techniques in accordance with international standards. Basically FASB Statement No. 8 provided that cash, receivables and payables were translated at current exchange rates while fixed assets and liabilities were translated at historical rates. FASB 8 resulted in mu

48、ch criticism. Due to this criticism the FASB sponsored another study that resulted in FASB 52. The basic outcome of FASB 52 was that if a foreign entity's books are not kept in the functional currency, then the books must be re-measured into the functional currency prior to translation. Hence, t

49、hese norms have improved accountability of companies. Source: Madhu Vij,2009. “Foreign Exchange Exposure Management Practices of Indian Firms :An Empirical Analysis”. University of Delhi. January.pp.1-8.译文：外汇风险的印度企业管理实践：一个实证分析摘要：本研究采用问卷调查，并报告了印度公司首席财务人员在2008年进行的调查结果。这项研究的目的是要调查CFO是否对对折算、交易和经济风险的差异有清

50、醒的认识。此外,研究还致力于公司的套期政策所使用的关键技术、套期政策的决定因素与如何运用套期政策研究进行了综述。外汇风险管理理论框架在全球化和市场国际化的当前，外汇风险已经成为财务管理人员必须应对的一个相当困难而且现实的问题。汇率的波动已经成为跨国公司不确定性的主要根源（Jorion, 1990）。目前的研究旨在为跨国公司面临的由于汇率波动引起的风险提供风险管理的观点。公司会被外汇风险影响如果他们的工程项目的结果依赖于远期汇率并且如果无法充分的预测汇率（Glaum Martin, 2000）。汇率风险在根本上关系到投资者和管理者。投资者关心汇率风险中关系到投资组合价值的无法预期到的变动的影响，

51、管理者关心与盈利能力相关的公司披露（Pantzalis et al, 2001）。外汇风险管理是在公司由以外币风险安全和健全的管理基本组成部分。在决定了该公司的目标管理中外币资产比重后，才能决定什么风险是公司在本质上能接受的。在这方面的研究表明，它涉及到审慎管理外汇头寸的控制，包括设置参数，汇率变动在公司财政状况上的影响。汇率变动的频率和速度，外汇风险的程度和交易对手对公司履行其义务的能力都是外汇风险管理的重要因素。印度公司风险管理方法的研究，既有趣又富有挑战，其原因有三点。首先，他们的风险管理方法仍在不断发展和处于金融发展的早期阶段。第二，汇率风险管理多次受到了对事件目前和未来的进程的期望和

52、看法的影响。最后，许多实证研究都没有尝试过研究印度企业的外汇风险方法。很多有关外汇风险管理方法的实证研究，都专注于位于美国和英国的跨国公司（MNCs）的行为。对较小的开放型经济体系中的企业的做法的研究是相当有限的( Oxelheim,1984; and Batten, Mellor and Wan, 1993)。因此，这项研究将是重要的，因为它用文件证实了不同行业的公司的做法。为了翻译美国跨国公司外币财务报表，财务会计准则委员会（FASB）-8于1976年开始生效。财务会计准则委员会（FASB）-8声明制定了统一的外国美元-外币计价的财务报表的兑换标准，同时建立了美国的跨国公司交易。本声明的一

53、个重要特点是，汇兑收益的损失不能推迟，同时跨国公司必须包括他们在当前的收入。然而，由于对财务会计准则委员会（FASB）-8声明的不满，财务会计准则委员会（FASB）-52声明获得通过。根据财务会计准则委员会（FASB）-52，跨国公司不得不通过现行汇率法来把外币计价的资产和负债兑换美元。就外币收入，费用和收益或亏损，“数据的转换比率则使用那些被认为应该使用的元素”（Kasibhatla和Eduardo，2001）。财务会计准则委员会（FASB）-52列出外币换算的设计标准：（1）提供一些通常对企业的现金流量和股本有影响的适合于汇率变动的预期经济效益的信息；（2）反映每个实体开展业务所采用的主要

54、货币表现的财务状况和关系的合并报表（以下简称为“功能货币”）。财务会计准则委员会的一个重要特点是收益和损失的转换，在包括新的、独立的账户即“累计转换调整”账户在内的资产负债表中表现。功能性货币换算办法采用的这一声明包括：（1）确定实体的功能货币的经济环境；（2）测量功能货币的财务报表的所有元素；（3）使用货币转换比率把功能货币转换成报表货币，如果它们是不同的话；（4）区分在净投资上转换比率变动的经济影响与这一变动在单独的用货币而不是用功能货币收取或支付的资产和负债上的影响的不同。本文的下一部分回顾了公司的风险管理实践的文献。它还解决了财务会计准则委员会（FASB）-52的新标准问题。第3部分介

55、绍了调查结果和结果分析。第4部分介绍了公司使用的套期保值技术以及公司如何确定套期保值的决策。最后部分提出了研究的总结和说明。文献回顾所有的企业都面临着由于外汇汇率的突然变动对多种货币处理预料之外的收益或者损失。在20世纪90年代金融危机之后，汇率风险理论得到了迅猛发展。这些危机已经明确，汇率对实体经济可能产生重大影响。大量理论表明公司为什么要对风险进行管理，包括外汇风险。(Christie and Marshall, 2003)风险应对已成为一个重要的管理职能，特别是近年来外汇市场的波动加剧。在1991年被英国食物和饮料公司报道的150百万英镑的交换损失说明了风险的重要性( Corporate

56、 Finance Magazine, April 1991)。根据文献中，汇率风险有不同的来源和类型(Schafer-Pohn-Weidinger, 2005)。汇率风险的主要类型是：1、折算风险是由于通货膨胀的不确定性引起的外国资产的敞口，而国内资产不会受到这种汇率风险的影响(Jorion, 1990)。夏皮罗定义了基于汇率变化的财务报表合并。折算风险产生于报表合并过程中，资产、负债和利润产生的波动。2、交易风险被Eiteman et al(2001)定义为汇率变动对企业已经发生但尚未结算的外币债权、债务的价值产生的影响。交易风险由汇率变动导致企业未来现金流量的价值发生改变的风险。Marshall(2000)认为，交易风险被在美国、英国和亚洲的公司认为是最重要的风险管理。3、经济风险是指汇率变动导致公司的预计未来现金流量现值变动的可能性。它也被称