1、 外文翻译 原文 Limiting Foreign Exchange Exposure through Hedging: The Australian Experience Material Resource: International Department Reserve Bank of Australia Author: Chris Becker and Daniel Fabbro Exchange rate variations over time are a potential source of risk to cross-border financial obligations
2、and trade-related transactions. Concern about the potentially disruptive financial and real consequences of such variations are reflected in the policy of some countries to explicitly limit the nominal variability of their currency vis-vis that of others. While this fear of floating is the result of
3、 a complicated array of competing considerations, it nonetheless illustrates that limiting exchange rate variability ranks well ahead of other policy objectives in some countries. Since the Australian dollar was floated in December 1983, the economy has proven to be resilient to substantial exchange
4、 rate fluctuations. Arguably, this resilience has strengthened over time, as firms have learned to adapt to exchange rate variability, including through the development of the hedging practices of financial institutions and non-financial firms. This paper examines foreign exchange hedging of direct
5、balance sheet and transaction exposures and assesses their broader implications for the Australian economy. We draw on the quantitative results of Australian Bureau of Statistics (ABS) surveys in 2001 and 2005. These surveys provide comprehensive data on foreign currency exposures and hedging practi
6、ces and indicate that both financial and non-financial firms use derivatives markets extensively to hedge their foreign exchange exposures back into Australian dollars. A substantial body of literature deals with estimating the usual linkages between the exchange rate and the macroeconomy over time.
7、 However, here we focus on the more readily quantifiable and direct financial gains or losses due to exchange rate changes, often referred to as transaction and balance sheet exposures. Transaction exposures typically arise for non-financial firms as a result of international trade. Since receipts a
8、nd payments are often denominated in foreign currencies, the local currency value of these amounts varies with exchange rate movements. This type of exposure may pose an array of potential problems for firms. Take, for example, an exporter whose costs are largely denominated in local currency terms,
9、 but who sells output into world markets in foreign currencies. Exchange rate fluctuations directly affect revenue streams and profit margins as a result of lags between production and sales. Many firms in the Australian resources sector are in such a position. Importers face a similar transaction e
10、xposure, albeit for different reasons, since costs are typically denominated in foreign currency and revenues in Australian dollars. For financial firms, balance sheet (or translation) exposure that arises from holding assets and liabilities denominated in foreign currencies is likely to be more imp
11、ortant than transaction exposure. In addition to the financial sector, non-financial firms such as multinationals with offshore operations may acquire an exposure to valuation effects through the translation of foreign currency assets or liabilities held on their balance sheet into Australian dollar
12、 terms. A substantial portion of this paper is devoted to examining balance sheet exposures where much of the perceived vulnerabilities appear to lie. The remainder of the paper is arranged as follows. Section 2 discusses methods and instruments used to hedge exchange rate risk. Section 3 tracks the
13、 evolution of hedging and risk management practices since the floating of the Australian dollar, and provides quantitative evidence on resident firms current hedging practices. Section 4 provides a detailed examination of foreign currency exposure underlying the overall net foreign liability positio
14、n. It discusses why often-cited vulnerabilities are overstated, and how hedging contributes to a transfer of wealth from the rest of the world to Australian residents in the event of an exchange rate depreciation. Appendix A provides a useful benchmark by doing a similar exercise for the United Stat
15、es. Finally, Section 5 offers some concluding remarks. In the context of this paper, hedging refers to those activities employed by residents to reduce or eliminate their exposure to exchange rate changes arising from transactions or existing assets and liabilities denominated in foreign currencies.
16、 Since residents are ultimately concerned with values in local currency terms, they often wish to remove the risk associated with uncertain future movements in the Australian dollar. Hedging activities can vary substantially depending on the core business of firms and the nature of their foreign exc
17、hange risk. However, they normally involve some combination of restructuring business activities so as to create a natural hedge and using some type of financial derivative to offset underlying foreign currency exposures. Firms generally develop their hedging strategy to account for net foreign curr
18、ency exposure either carried on their balance sheet, as a result of trade, or a combination of both. It rarely makes sense for a single firm to purchase insurance for one part of their balance sheet by hedging against appreciation in the Australian dollar, while also purchasing insurance against dep
19、reciation on an offsetting position. Figure 1 provides a stylised illustration. Natural hedging can be characterised as structuring the first layers of core business activities so that net exposure is eliminated or reduced before entering into derivative contracts. While this is important particular
20、ly for large firms with diversified business activities it is often difficult to quantify or even observe. In the event that natural hedging is not viable, too costly, or insufficient to reduce foreign exchange risk to the desired level, firms may choose to enter explicit derivative contracts in sec
21、urities to further reduce risks. The remaining net position gives the best indication of the concept of foreign currency exposure dealt with in this paper. Firms involved in international trade often attempt to match the currency denomination of their receipts and payments in order to limit foreign
22、exchange exposure. Similarly, this principle is employed by firms by taking on foreign currency assets or liabilities to net out existing exposures. Similar to the technique of matching, multinational firms often use a strategy called leading and lagging. This strategy essentially involves a parent
23、company bringing forward or delaying payments or receipts of foreign currency with its subsidiaries to offset the currency risks associated with other foreign currency transactions. This strategy is one of managing cash flows across the consolidated group by the parent company. Some firms are also a
24、ble to achieve a partial natural hedge through the correlation between the price of the goods they produce and the exchange rate. An example would be an Australian gold mining company that sells bullion into world markets in US dollars. An appreciation of the Australian dollar would lower its receip
25、ts in local currency terms. However, as an appreciation of the Australian dollar is often correlated with gold prices, it is likely that rising prices would provide at least a partial offset to the dampening impact on revenue from the exchange rate. In managing foreign exchange risks, firms may also
26、 be able to avoid engaging in explicit hedges if they have sufficient currency diversification across their costs and revenues, or assets and liabilities. Diversification should act to reduce aggregate currency exposure, at least to a level below the sum of all individual currency exposures. This te
27、chnique is often referred to as pooling and is adopted by some of the larger Australian resource companies. The Conference Board survey (Fosler and Winger (2004) found that nearly one-third of multinational firms stated that pooling was a very important part of their hedging strategy. Faff and Marsh
28、all (2002) also found that pooling was a common method of natural hedging by multinational firms from the US, UK, and Asia-Pacific region. 译文 通过澳大利亚套期保值的经验来对外汇风险限制 资料来源 : 国际部 澳大利亚储备银行 作者： 克里斯贝克和丹尼尔 非博 汇率 风险 来源于过去的 跨国金融 业务 和贸易交易。 一些财务上 潜在的破坏性 和一些国家的政策明确限制了名义上的货币发展。虽然这具有威胁浮动的汇率数据是 一个复杂的数组 ， 但它决定了 领先 的
29、国家 与其他国家的 汇率变动影响一些政策目标 ， 影响经济发展 。 由于澳元被卷入 1983 年的 12 月经济潮流， 这个潮流已被证明是弹性面临汇率波动。 要注意 的是 ,该 潮流 随时间过去逐渐增强 ,公司慢慢已经学会适应汇率变化的发展 ,包括通过套 期实践的金融机构和非财务公司 的方法来应对 。本文通过 检视外汇风险套期的直接资产负债表和交易 ， 暴露和评估 澳大利亚的经济发展对他们的影响。我们对 澳大利亚统计局 (ABS)在 2001 年和 2005 年的调查进行了定量 分析，得出 结果。这些研究对外国提供全面的数据，规避汇率 浮动的实践，进而 表明 ， 财政部门和非盈利机构 都广泛利
30、用衍生品市场对冲外汇澳大利亚美元。 大量文献通常 根据经济增长速率和过去的 宏观经济 的情况为基础 。然而 ，这里我们关注的焦点是更容易地可量化性、直接的金融的收益或亏损由于汇率变化 ， 通常被称为交易和资产负债表动向。 通常发生 在非金融企业 的交易损失是由于国际贸易引起的， 原因是 当地的货币价值汇率浮动 ，而 收支往往以外国货币 结算。这种类型的损失可能会导致潜在 这种 问题的公司 付出一大笔数额的 资金 。举例来说 ， 出口商的成本在很大程度上 会 以本地货币 的基础 ,但出口商品 进入了世界市场 会使用外国货币， 汇率波动 讲 直接影响 收入和利润的增加， 生产与销售 会因此滞后。许
31、多公司在澳大利亚资源部门有存在这样一种情况 。进口商面临类似的交易 损失 ， 原因 有些 不同 ， 是因为 成本一般以外汇 结算，在 澳大利亚 收入以 美元 结算 。 对于上市公司资产负债表，风险损失的很大原因可能 是 资产和负债以外币计价。除了 财政部门 ,非盈利机构 ， 如跨国公司与离岸业务价值的 损失可能会 通过 折算汇率，影响资产或负债资产负债表上公布的澳大利亚美元价格。本文一大部分致力于检查资产负债表披露其伪造的数据及漏洞 。 剩下的部分安排如下。第二节讨论了财务方法和金融工具 对冲汇率风险 的防范。第三节深入探讨风 险管理方式规避 ,浮动 汇率 对澳元影响 ,并根据定量分析结果，提
32、出几点 公司的资金流在居民套期保值措施。第四节从外币风险结算角度分析国际市场的政府宏观监督 。论述了 为什么 经常出错漏洞 ， 套期保值的财务方法对 澳大利亚居民 的帮助 。最后 ,提出了第五章 ， 作为结束语。 本文的背景下 ， 套期保值指的是 在汇率上升 的情况下， 那些 受雇于 因为交易或现有的资产和负债以外币计价 的公司的居民减少或者消除其损失。 居民最终关心当地货币的价值条款 ，他们希望消除相关 不确定的未来澳元 汇率浮动的不利因素 。套期保值的活动可以 收到成效 取决于公司的核心业务 ，他们的内部管理制度 和外汇风险。然而 ，它们通常包含一系列 的重组业务活动 ，启动 自然的对冲和
33、使用某种类型的金融衍生工具来抵消潜在的外汇动向。寡头企业普遍发展他们的套期保值战略 ，考虑“网络”保险 的外汇曝光或 潜在 资产负债表 ，或者 两者的结合。 很少有 情况是由个别公司购买保险资产负债表的一部分从而免受汇率升值的损失。 同时 ,澳大利亚元购买保险来对抗折旧 一 这是一种比较传统的方式。 自然 套期保值 在 衍生合同之前 可以作为构建特色第一层的核心业务活动的防滤网 。尽管这是 很重要的， 特别是对于大公司有多种商务活动 ，即经常很难量化 观察。如果没有自然套期保值 ，由于 太贵了 ， 或不足以降低外汇风险所期望的水平 ，企业就可以选择进入明确证券衍生合同进一步降低风险。 公司 在
34、国际贸易的竞争中 常常企图 用 币种 的方式结算 他们的收入和支出 从而防范外汇风险 。同样的 ， 这一原则 ，适用 于 公司以外币 为记账本位币在 资产或负债存在的净利润动向。 类似配套的、跨国公司经常使用的策略叫做“领先和落后”。 这一战略本质包括母公司提出或延缓付款或收入以其分支机构的外汇以货币风险伴随着其他外汇交易。这个策略是用来帮助 母公司合并 现金流的 。 有些公司还可 以达到部分自然对冲通过相关性商品的价格生产和汇率。一个例子是一家 澳大利亚黄金矿业公司销售金银 用 美元 结算 进入了世界市场。澳大利亚的美元 价款 以本地货币的条件 将降低其收入。然而，作为一种对澳元与黄金价格 ， 有可能是物价上涨 ， 提供部分来弥补收入 来 影响汇率。 外汇风险管理 ,如果 企业 有足够多样化的货币 ， 还可以避免参与 模糊汇率的交易，减小债务和收益的风险 。多样化的表现应该减少 货币损失， 至少对一个等级低于的总个人货币动向。这种技术被称为“凝聚” , 某些澳大利亚资源公司 采用了这种技术 。美国经济咨询局调查 (边锋 2004)发现 ， 近三分之一的跨国公司表示 ，凝聚 是一个非常重要的套期保值战略。发夫和马歇尔公司的 (2002)还发现 , 跨国公司从美国、英国、及亚 太地区使用同一种货币计价是常用的套期保值方法。
