需求-汇率风险聚集下的汇率风险对冲与批发价激励

doi:10.16381/j.cnki.issn1003-207x.2015.01.001

中国管理科学 ›› 2015, Vol. 23 ›› Issue (1): 1-9.doi: 10.16381/j.cnki.issn1003-207x.2015.01.001

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需求-汇率风险聚集下的汇率风险对冲与批发价激励

杜娟^1,2, 倪得兵¹, 唐小我¹

1. 电子科技大学经济与管理学院, 四川成都 610054;
2. 西南科技大学经济管理学院, 四川绵阳 621010

收稿日期:2013-06-06 修回日期:2014-03-06 出版日期:2015-01-20 发布日期:2015-01-21
作者简介:杜娟(1981-),女(汉族),四川成都人,电子科技大学经济与管理学院,博士,研究方向:供应链管理.
基金资助:
国家自然科学基金重点资助项目(70932005);国家自然科学基金资助项目(71272129);教育部新世纪优秀人才支持计划资助项目(NCET-11-0064);四川青年科技基金资助项目(2013JQ0031);四川省科技支撑项目(2010GZ0155);电子科技大学百人计划中青年学术带头人培养计划(Y02018023601063)

Exchange Rate Risk Hedging and Wholesale Price Incentive under Demand and Exchange Rate Risk Pooling

DU Juan^1,2, NI De-bing¹, TANG Xiao-wo¹

1. School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 610054, China;
2. School of Economics and Management, Southwest University of Science and Technology, Mianyang 621010, China

Received:2013-06-06 Revised:2014-03-06 Online:2015-01-20 Published:2015-01-21

摘要/Abstract

摘要： 以一个由上游制造商和下游零售商组成的二级供应链为建模背景,在汇率风险和需求风险聚集(pooling)在下游零售商的情况下,分别建立了有无批发价激励情形下的两个动态博弈模型,获得了相应的均衡。通过分析相应的均衡,结果表明,(1)在两种情形下,零售商的汇率风险对冲行为具有稳定供应链生产行为的作用,但批发价激励能够提高零售商的汇率风险对冲比例和供应链节点企业间的交易价格;(2)与无批发价激励的情形相比,有批发价激励时的制造商利润较高,从而制造商有使用批发价激励零售商对冲汇率风险的动机;(3)在风险聚集下,"通过较低的批发价来激励零售商对冲汇率风险"这一策略能够实现供应链盈利水平与风险承担之间的权衡:需求和汇率风险增加均会使得供应链节点企业和供应链整体的盈利水平降低,同时也将降低风险聚集处的节点企业和供应链整体的利润方差。

关键词: 供应链风险管理, 风险聚集, 批发价激励, 风险对冲

Abstract: Considering a two-echelon supply chain consisting of an upstream manufacturer and a downstream retailer where the exchange rate risk and demand risk are pooled at the downstream retailer, two dynamic game models corresponding to whether or not the retailer is stimulated to hedge the exchange rate risk via lowering the wholesale price are established, and the corresponding equilibriums are calculated. With the equilibriums, the results show that (1)the retailer's exchange rate risk-hedging stabilizes the supply chain's production regardless of the wholesale price incentive whereas the wholesale price incentive raises the retailer's hedging proportion of total purchase payment and the wholesale price itself;(2)the wholesale price incentive makes the manufacturer reap higher profit, implying that the manufacturer is willing to incentivize the retailer to hedge the exchange rate risk;(3) under risk pooling, incentivizing the retailer to hedge the exchange rate risk via a lower wholesale price is able to achieve a tradeoff between expected profit and profit variance: the increasing in the exchange rate risk and demand risk reduce the (expected) profitability for both the whole supply chain and individual node firms, and at the same time, lower the profit variance for both the whole supply chain and the node firm where the two risks are pooled.

Key words: supply chain risk management, risk pooling, wholesale price incentive, risk hedging

中图分类号:

F272

杜娟, 倪得兵, 唐小我. 需求-汇率风险聚集下的汇率风险对冲与批发价激励[J]. 中国管理科学, 2015, 23(1): 1-9.

DU Juan, NI De-bing, TANG Xiao-wo. Exchange Rate Risk Hedging and Wholesale Price Incentive under Demand and Exchange Rate Risk Pooling[J]. Chinese Journal of Management Science, 2015, 23(1): 1-9.

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需求-汇率风险聚集下的汇率风险对冲与批发价激励

Exchange Rate Risk Hedging and Wholesale Price Incentive under Demand and Exchange Rate Risk Pooling

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