事实汇率制度选择、企业生产率与对外直接投资

The De Facto Exchange Rate Regime,Firm Productivity,and Firms’ OFDI Activities

企业"走出去"和汇率制度安排灵活化是中国参与全球经济的两大典型特征,本文从企业异质性视角讨论了双边事实汇率制度选择对企业对外直接投资的影响效应。理论层面上,本文将Gali and Monacelli(2005)的一般均衡框架拓展为两国模型,发现双边固定汇率制度降低了企业进入东道国开展OFDI活动的生产率阈值,提高了企业对外直接投资倾向。同时,尽管企业生产率的提升能够促进企业对外直接投资活动,但其促进力度明显不及双边事实固定汇率制度安排。实证层面上,本文采用了中国商务部公布的2000-2013年《境外投资企业(机构)名录》等微观企业数据,发现双边事实固定汇率制度能使企业进行OFDI概率平均提高0.8%~55.4%。考虑其他异质性因素及内生性问题后,本文主要结论依然稳健。

China is the capital exporting country worldwide. With Chinese OFDI activities increasing significantly, China’s exchange rate regime reforms have been undertaken step by step. Not only has the de jure exchange rate regime become more flexible, but also has the de facto exchange rate regime. Apart from the research on the exchange rate and OFDI based on the open macro economy, this paper explores how the bilateral exchange rate regime affects firms’ OFDI decisions from the microeconomic view, further enriching the research on exchange rate and OFDI. This paper builds a theoretical model under the general equilibrium framework and discusses the mechanisms between the bilateral exchange rate regime arrangement and firms’ OFDI activities based on a two-country open macroeconomic model. It also uses highly detailed micro data to test and analyze the related hypothesis. Specifically, it uses List of Overseas Investment Enterprises(institutions) data, China Industry Business Performance Data, bilateral de facto exchange rate regime data published on Shambaugh’s personal website, World Development Index data from the World Bank, the Gravity database from the CEPII, the IFS database, and the China Statistical Yearbook from 2000 to 2013.This paper shows that compared to the floating exchange rate regime, the fixed exchange rate regime can lower the threshold productivity required for firms to conduct OFDI activities and to switch from export to OFDI activities. That is, the bilateral fixed exchange rate regime can stimulate firms’ OFDI activities. This paper also shows that compared to the bilateral de facto floating exchange rate regime, the bilateral de facto fixed exchange rate regime can increase firms’ inclination to undertake OFDI activities by 0.8%~55.4%. Furthermore, on average, one-unit increases in firm productivity can increase firms’ probability of undertaking OFDI activities by 0.04%~2.9%. The bilateral de facto fixed exchange rate regime stimulates firms to conduct OFDI more than firm productivity. Second, considering the difference in ownership, the location of firms, and the incidence of financial crisis, the bilateral de facto fixed exchange rate regime and firm productivity can still stimulate firms’ OFDI inclination but to a different scale. Lastly, considering sample selection bias and two-way causality, our conclusions still stand. Overall, the conclusions of this paper are theoretically and empirically supported with significant robustness.The results of this paper show that the positive effects of the bilateral fixed exchange rate regime on firms’ OFDI activities should be appreciated. Specifically, firms in developing countries demonstrate lower productivity and lack international competition. The bilateral de facto fixed exchange rate regime can give them more opportunities to increase their core competitive capacity via international competition. In practice, the internationalization of the RMB is on the road. In the long run, the Chinese exchange rate regime arrangement will be more flexible, more and more nations will have more flexible bilateral exchange rate regime arrangements with China. Thus, Chinese firms must increase their own hardcore ability to face the significantly historical alterations of Chinese exchange rate arrangements with other countries. Three aspects of this paper are noteworthy. First, this paper is not confined to the view of exchange rate level or exchange rate volatility, but through the fundamental aspect of exchange rate regime arrangement. Second, it builds a two-country open macroeconomic model with firms’ heterogeneity and further discusses the mechanism by which the exchange rate regime affects firms’ OFDI activities. Third, this paper uses highly detailed firm level data to verify the mechanisms by which the bilateral exchange rate regime between China and host countries affect Chinese firms’ OFDI activities.Future breakthroughs in the following aspects may be made. Theoretically, we plan to build a two-country macroeconomic DSGE model and use simulation to argue how different exchange rate regime arrangements can affect firms’ OFDI levels with different firms’ total factor productivity level. Furthermore, we intend to incorporate Chinese characteristics into this medium-scale DSGE model, such as firms’ financial constraints, labor mobility, and factor misallocation. Empirically, if related data are accessible, we plan to decompose firms’ OFDI levels into intensive margins and extensive margins and to further elaborate on how exchange rate regimes can affect firms’ OFDI activities.