汇率波动对出口稳定的影响:中间品进口的作用

Journal of Financial Research

2023, Vol. 511

Issue (1): 75-93 DOI:

Current Issue | Archive | Adv Search

The Impact of Exchange Rate Volatility on Export Stability: The Role of Intermediate-Input Imports

WANG Yaqi, WANG Yao, ZHANG Liqing

School of Finance, Central University of Finance and Economics

Abstract
Figure/Table
References
Related Citation (6)

Download:

PDF (534KB)
Export: BibTeX | EndNote (RIS)

Abstract From a macroeconomic perspective, enhancing the flexibility of the RMB exchange rate system helps China hedge against shocks caused by external instability. It thus meets the essential need to maintain economic and financial security during China's high-level opening up to the outside world. As the market-based RMB exchange rate mechanism has improved, the RMB exchange rate has become increasingly volatile. For micro firms, the marketization of the RMB exchange rate brings greater exchange rate risk. Therefore, reasonably limiting the volatility of the RMB exchange rate, minimizing exchange rate risk, and reducing potential losses due to exchange rate volatility are essential issues for firms. The in-depth development of the global supply chain represents new opportunities for Chinese export firms. It also provides an opportunity for firms to naturally hedge their exchange rate risk. This paper shows that firms can form a natural hedge against the exchange rate risk inherent in exports by importing intermediate inputs and using global supply chains to effectively manage exchange rate risk.
Using a theoretical model, we first analyze the impact of exchange rate volatility on the intensive and extensive margins of exports by risk-averse firms and find that the exchange rate correlation of import sources and export destinations can hedge the exchange rate risk exporting firms face. As the exchange rate correlation of imports and exports varies greatly among firms, the effects of exchange rate volatility on firms' exports are heterogeneous, i.e., exchange rate volatility creates horizontal instability. However, exchange rate volatility changes firms' export volumes, causing export volatility over time, i.e., vertical instability. In addition to the intensive margin, we also analyze another type of vertical instability, i.e., the expansion margin and sustainability of firms' exports. We find that exchange rate volatility negatively affects the horizontal and vertical stability of exports and that firms can hedge the exchange rate risk associated with their exports by importing intermediate inputs. Further, this paper uses customs data on import and export transactions in 2010-2015 to investigate the impact of exchange rate volatility on the stability of Chinese firms' exports and to explore how exchange rate risk can be hedged through the importation of intermediate inputs. The benchmark results hold under a series of robustness tests.
This paper contributes to the literature in the following three ways. First, it innovatively discusses the impact of exchange rate volatility on the intensive margin of exports in a framework that incorporates endogenous market penetration decisions. Previous theoretical analyses consider only the impact of exchange rate volatility on the export expansion margin. The primary mechanism is exchange rate volatility, which increases the productivity of export markets. Second, this paper focuses on firms' export stability, measures China's horizontal and vertical export stability from 2010 to 2015 using microdata, and analyzes the impact of exchange rate volatility. In contrast with the literature on the measurement of a single export indicator, this paper investigates the impact of exchange rate volatility on Chinese firms in a comprehensive and multifaceted manner and considers both the horizontal and vertical dimensions, the intensive margin, the expansion margin, and the impact of export stability. Third, using Chinese customs data that identifies the source of imports and the destination of exports, this paper examines how firms in developing countries can hedge their exchange rate risk by importing intermediate inputs. The literature extensively analyzes the economic impact of exchange rate volatility from the perspectives of financial development, foreign exchange derivatives, productivity, and the degree of diversification in export destinations. Chinese firms are highly embedded in global supply chains at both the import and export ends, and many firms are both importers and exporters. Therefore, understanding how exchange rate risk can be hedged by the importation of intermediate inputs is of great practical importance.

Key words： Exchange Rate Volatility Export Stability Imported Intermediate Inputs Firm Heterogeneity

Received: 28 May 2022 Published: 16 February 2023

JEL分类号:	F31
	F15
	F12

	Service
	E-mail this article
	Add to my bookshelf
	Add to citation manager
	E-mail Alert
	RSS
	Articles by authors
	WANG Yaqi
	WANG Yao
	ZHANG Liqing

Cite this article:

WANG Yaqi,WANG Yao,ZHANG Liqing. The Impact of Exchange Rate Volatility on Export Stability: The Role of Intermediate-Input Imports[J]. Journal of Financial Research, 2023, 511(1): 75-93.

URL:

http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2023/V511/I1/75

[1]	戴翔和张二震,2011,《危机冲击、汇率波动与出口绩效—基于跨国面板数据的实证分析》,《金融研究》第8期,第47～56页。
[2]	谷宇和高铁梅,2007,《人民币汇率波动性对中国进出口影响的分析》,《世界经济》第10期,第49～57页。
[3]	郭飞、肖浩和史永,2014,《为什么人民币汇率波动的影响不显著？—基于美的电器的案例研究》,《管理世界》第10期,第163～171页。
[4]	鲁晓东、刘京军和陈芷君,2019,《出口商如何对冲汇率风险:一个价值链整合的视角》,《管理世界》第5期,第92～105＋125页。
[5]	施炳展和张雅睿,2016,《人民币双边事实汇率制度与中国出口增长》,《金融研究》第8期,第1～18页。
[6]	谭小芬、王雅琦和卢冰,2016,《汇率波动、金融市场化与出口》,《金融研究》第3期,第15～30页。
[7]	铁瑛和刘逸群,2021,《贸易中介、信息不对称与不稳定出口关系》,《中国工业经济》第12期,第107～126页。
[8]	王晋斌、刘璐和邹静娴,2020,《汇率制度灵活性对生产率增长影响的再研究》,《世界经济》第1期,第23～46页。
[9]	王雅琦、谭小芬、张金慧和卢冰,2018,《人民币汇率、贸易方式与产品质量》,《金融研究》第3期,第71～88页。
[10]	吴小康和于津平,2018,《产品关联密度与企业新产品出口稳定性》,《世界经济》第7期,第122～147页。
[11]	向训勇、陈婷和陈飞翔,2016,《进口中间投入、企业生产率与人民币汇率传递—基于我国出口企业微观数据的实证研究》,《金融研究》第9期,第33～49页。
[12]	张夏、汪亚楠和施炳展,2020,《事实汇率制度、企业生产率与出口产品质量》,《世界经济》第1期,第170～192页。
[13]	赵仲匡、李殊琦和杨汝岱,2016,《金融约束、对冲与出口汇率弹性》,《管理世界》第6期,第40～50页。
[14]	Allayannis, G., J. Ihrig and J. P. Weston, 2001, “Exchange Rate Hedging: Financial versus Operational Strategies”, American Economic Review, 91(2): 391～395.
[15]	Allayannis, G., U. Lel and D. P. Miller, 2012, “The Use of Foreign Currency Derivatives, Corporate Governance, and Firm Value around the World”, Journal of International Economics, 87(1): 65～79.
[16]	Amiti, M., O. Itskhoki and J. Konings, 2014, “Importers, Exporters, and Exchange Rate Disconnect”, American Economic Review, 104(7): 1942～1978.
[17]	Arkolakis, C., 2010, “Market Penetration Costs and the New Consumers Margin in International Trade”, Journal of Political Economy, 118(6): 1151～1199.
[18]	Atkeson, A. and A. Burstein, 2008, “Pricing-to-Market, Trade Costs, and International Relative Prices”, American Economic Review, 98(5): 1998～2031.
[19]	Baum, C. F. and M. Caglayan, 2010, “On the Sensitivity of the Volume and Volatility of Bilateral Trade Flows to Exchange Rate Uncertainty”, Journal of International Money and Finance, 29(1): 79～93.
[20]	Békés, G. and B. Muraközy, 2012, “Temporary Trade and Heterogeneous Firms”, Journal of International Economics, 87(2): 232～246.
[21]	Byrne, J. P., J. Darby and R. MacDonald, 2008, “US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis”, Journal of Macroeconomics, 30(1): 238～259.
[22]	Calvo, G. A. and C. M. Reinhart, 2002, “Fear of Floating”, Quarterly Journal of Economics, 117(2): 379～408.
[23]	Chen, N., C. Wanyu and N. Dennis, 2021, “Vehicle Currency Pricing and Exchange Rate Pass-Through”, Journal of the European Economic Association, 00(0): 1～40.
[24]	Clark, P. B., 1973, “Uncertainty, Exchange Risk, and the Level of International Trade”, Economic Inquiry, 11(3): 302～313.
[25]	Cote, A., 1994, “Exchange Rate Volatility and Trade”, International Trade, 18(20): 169～243.
[26]	De Grauwe, P., 1988, “The Long Swings in Real Exchange Rates-Do They Fit into Our Theories？”, Monetary and Economic Studies, 6(1): 37～60.
[27]	Devereux, M. B. and C. Engel, 2003, “Limited Monetary Policy in the Open Economy Revisited: Price Setting and Exchange Rate Flexibility”, Review of Economic Studies, 70(4): 765～783.
[28]	Friberg, R., 1998, “In Which Currency Should Exporters Set Their Prices？”, Journal of International Economics, 45(1): 59～76.
[29]	Gopinath, G., O. Itskhoki, and R. Rigobon, 2010, “Currency Choice and Exchange Rate Pass-Through”, American Economic Review, 100(1): 304～36.
[30]	Héricourt, J. and C. Nedoncelle, 2018, “Multi-Destination Firms and the Impact of Exchange Rate Risk on Trade”, Journal of Comparative Economics, 46(4): 1178～1193.
[31]	Héricourt, J. and S. Poncet, 2015, “Exchange Rate Volatility, Financial Constraints, and Trade: Empirical Evidence from Chinese Firms”, World Bank Economic Review, 29(3): 550～578.
[32]	Hoberg, G. and S. K. Moon, 2017, “Offshore Activities and Financial vs Operational Hedging”, Journal of Financial Economics, 125(2): 217～244.
[33]	Hooper, P. and S. W. Kohlhagen, 1978, “The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade”, Journal of International Economics, 8(4): 483～511.
[34]	Hutson, E. and E. Laing, 2014, “Foreign Exchange Exposure and Multinationality”, Journal of Banking and Finance, 43: 97～113.
[35]	Lin, S., K. Shi and H. Ye, 2018, “Exchange Rate Volatility and Trade: The Role of Credit Constraints”, Review of Economic Dynamics, 30: 203～222.
[36]	Lu, B., Y. Wang and X. Tan, 2020, “Exchange Rate Volatility, Heterogeneous Firms and Market Concentration”, China and World Economy, 28(4): 51～75.
[37]	Melitz, M. J., 2003, “The Impact of Trade on Intra‐Industry Reallocations and Aggregate Industry Productivity”, Econometrica, 71(6): 1695～1725.
[38]	Tscheke, J., 2016, “Operational Hedging of Exchange Rate Risks”, Discussion Papers in Economics.
[39]	Vannoorenberghe, G., 2012, “Firm-Level Volatility and Export”, Journal of International Economics, 86(1): 57～67.
[40]	Wang, Y. and M. Yu, 2021, “Imports and RMB Exchange Rate Pass-Through: The Role of Quality Sorting”, Journal of Economic Behavior and Organization, 187(1): 470～487.