Evaluation of Foreign Exchange Rate Exposure for Publicly Listed Firms of Chinese A Shares
Bibliographic record
Abstract
This study's objective was to evaluation the issue of exchange rate exposure about publicly listed firms of Chinese A Shares. A new model of Measure and Calculate with lagged exchange rate variable is proposed. The new model can estimate the dynamic relation between exchange rate movements and firm value, hence overcome the deficiency of Jorion's model. The compare of the two models' empirical results indicates that the new model is more useful and effective in estimating the foreign exchange rate exposure. The following conclusions:⑴ 43.59% of the sample firms are highly exposed to lagged foreign exchange risks and 85.29% of them benefit from the depreciation of RMB; ⑵ not to find the significant relation between firm size and exposure; ⑶ to consider the more degree of foreign exchange rate exposure for manufacturing firms. Key words: foreign exchange rate; risk exposure; risk evaluation model; Chinese A Shares; public listed firmsResume: L'objectif de cet article est d'evaluer les problemes du risque de change des societes chinoises cotees aux actions A. Un nouveau modele de mesure et de calcul avec une variable retardee de l'exposition au risque de change est propose. Ce modele peut evaluer les effets dynamiques des fluctuations de taux de change sur les rendements boursiers et compenser les insuffisances du modele de Jorion qui n'arrive pas a detecter les defauts de l'exposition au risque de change des societes cotees en Chine. En comparant le nouveau modele avec le modele de Jorion, nous constatons que le nouveau modele peut expliquer mieux le probleme de l'exposition au risque de change des societes cotees en Chine: ⑴ 43,59% des entreprises selectionnees sont exposees aux risquex de change retardes de premier ordre et 85,29% d'entre elles beneficient d'une depreciatin de RM; ⑵ Il n'y a pas de correlations significatives entre la taille de l'entreprise et l'exposition au risque de change; ⑶Les societes chinoises de manifacturation assument une exposition importante exposition au risque de change.Mots-cles: devise etrangere; exposition au risque; modele d'evaluation des risque; actions A, societes cotees
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.001 | 0.005 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.001 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".