中国企业的外汇风险暴露从2010年中国名义GDP超过日本、经济总量位居世界第二、人民币跨境贸易结算业务大幅扩张开始受到越来越多的关注，为探究中国A股上市公司外汇风险暴露情况，以及宏观经济信息对外汇风险暴露情况的影响，本文以在中国A股上市的712家公司作为研究对象，研究期间为2016年1月1日到2019年12月31日里共计975个交易日，通过从RESSET、Wind数据库获得的公司行情、汇率、短期利率、大盘指数等日数据，使用AD模型、Jorion模型等4种模型对外汇风险暴露系数进行测算；随后通过事件研究法分析宏观经济信息对公司平均外汇风险暴露系数方向的影响。实证结果表明我国A股上市公司总体抵御外汇风险能力较差；且相较于欧元、日元，当人民币相对于美元发生价值变动时，公司价值所受影响最大。研究发现宏观经济信息对于公司外汇风险暴露的变化方向未产生显著影响，但涉及进出口的宏观经济信息对于样本公司平均外汇风险暴露影响更大；相比于“坏消息”，“好消息”的影响效果较大。通过本文的分析，可以为公司经营者对公司长短期的战略决策、对投资者在股票或资产定价中对冲头寸的决策方面提供参考建议。

Chinese enterprises' foreign exchange risk exposure has became a heated topic since 2010, when China's nominal GDP surpassed Japan’s and ranked second in world's economic aggregate list. In the meantime, the cross-border trade settlement business of RMB grown increasingly eye-catching. To explore the foreign exchange risk exposure of China A-share listed companies, as well as the impact of macroeconomic information on foreign exchange risk exposure, this paper takes 712 A-share listed companies in China as the research object. There are 975 trading days in total during the research span from January 1st, 2016 to December 31, 2019. We obtained the daily data of company quotation, exchange rate, short-term interest rate and market index from RESSET and Wind databases. Together with these data, the foreign exchange risk exposure coefficient was calculated using four models such as AD Model and Jorion Model. Then the influence of macroeconomic information on the direction of the average foreign exchange risk exposure coefficient of the company was analyzed by means of event study. The empirical results show us that A-share listed companies in China have a poor overall ability to withstand foreign exchange risks. Compared with the euro and the yen, when the value of the yuan changed relative to the dollar, the company's value was most affected. The study also found that macroeconomic information had no significant impact on the change direction of foreign exchange risk exposure of the companies, but the macroeconomic information involving import and export had a greater impact on the average foreign exchange risk exposure of the sample companies. What’s more, "good news" had a greater impact than "bad news". Through the analysis of this paper, we provide suggestions for the managers of the company to make long-term and short-term strategic decisions, and for investors to decide on hedging positions in stock, or in asset pricing.

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