外汇衍生品监管与跨境投资企业信用评级——基于“企业层面外汇衍生品监管指数”的实证分析

Foreign Exchange Derivatives Regulation and Credit Rating of Cross-Border Investment Enterprises —An Empirical Analysis Based on FFEDRI

中文关键词:  外汇衍生品监管  信用评级  海外投资  企业违规  信息透明度  管理者过度自信

英文关键词:foreign exchange derivatives regulation  credit rating  overseas investment  violations of enterprises  information transparency  overconfidence of managers

中文摘要:

      “一带一路”倡议和“走出去”战略加速了外汇衍生品市场的发展,而加强外汇衍生品监管是市场平稳运行的重要保障。在创新性地构建“企业层面外汇衍生品监管指数”的基础上,基于2007—2019年中国跨境投资企业数据,实证检验了外汇衍生品监管对企业信用评级的影响及作用机制。研究发现,加强外汇衍生品监管能够有效提升企业信用评级,且主要通过减少企业违规行为、增强信息透明度和抑制管理者过度自信三种渠道提升信用评级。异质性分析表明,上述提升效果在国有企业中更大。进一步研究发现,加强外汇衍生品监管可以抑制企业信用评级的调整动机。因此,监管部门应优化衍生品监管法规,倡导套期保值原则,提高评级机构违规成本,提升衍生品交易信息透明度,进而促进外汇衍生品市场的健康发展。

英文摘要:

      The Belt and Road Initiative and “Going-Out” Strategy have accelerated the development of the foreign exchange derivatives market, and strengthening the foreign exchange derivatives regulation is an important guarantee for its smooth operation. Based on the innovatively constructed “Firm-level Foreign Exchange Derivatives Regulation Index”, this paper empirically studies the impact of the foreign exchange derivatives regulation on the credit rating of Chinese cross-border investment enterprises from 2007 to 2019. The results show that strengthening the foreign exchange derivatives regulation can effectively improve the corporate credit rating by reducing the violations of enterprises, enhancing information transparency and restraining overconfidence of managers and this effect is more obvious in state-owned enterprises. Further research shows that strengthening the foreign exchange derivatives regulation can inhibit the motivation of corporate credit rating adjustment. Therefore, the regulatory authorities should optimize the regulation of derivatives, advocate the principle of hedging, raise the illegal costs of rating agencies and increase the transparency of derivatives trading information to fuel the healthy development of the foreign exchange derivatives market. 