关键词: 供应链管理, 风险管理策略, 动态博弈, 汇率风险对冲

Abstract: Based on a global supply chain where the downstream retailer is faced with the demand risk and the exchange rate risk, this paper investigates the effect of the exchange rate risk-hedging (the foreign exchange futures hedging) on the global supply chain’s operations and risk management. Corresponding to whether or not the retailer buys the foreign exchange futures to hedge the exchange rate risk, two dynamic game models are established, and then the corresponding equilibrium is calculated. The equilibrium shows that the exchange rate risk-hedging increases the supply chain’s order quantity, raises the retailer’s expected revenue and certainty equivalent, and increases the supply chain’s total revenue. Furthermore, this paper investigates how these two risks influence the supply chain’s equilibrium decision variables and profitability in the case of the hedging. The results show that the exchange rate risk-hedging hinders the transmission of the exchange rate risk between the supply chain node firms, and achieves a tradeoff between returns and risks.

Key words: supply chain management, risk management strategy, dynamic game, exchange rate risk-hedging