人民币汇率与企业投资行为：理论分析与经验研究

RMB Exchange Rate and Enterprise Investment Behavior:Theoretical and Empirical Evidence

文章以中国工业企业与海关贸易匹配后的数据为研究样本,从微观层面系统考察了人民币汇率变动对企业投资行为的影响,并重点分析了其中的潜在机制及异质性特征。结果显示,人民币汇率升值整体上不利于企业投资,且出口收入渠道占据主导作用,而要素配置渠道的适时调整会通过提高企业生产率进而有助于促进企业投资。同时,融资约束及"企业净化"效应能够弱化人民币汇率变动对投资的不利冲击,而企业规模的扩张则有助于扩大人民币汇率变动对企业投资的影响。此外,由于生产率的提高会显著弱化汇率升值对企业投资的负面冲击。因此,在供给侧结构性改革中,企业应考虑将提高生产率作为重要抓手,以有效应对外汇风险的负面冲击;政府的适当扶持不仅能够缓解企业融资约束,还能有效对冲企业的外汇风险暴露,对企业经营效率及发展质量的提升具有重要作用。

This study will try to investigate the micro-mechanism and empirical evidence of the impact of RMB exchange rate fluctuations on enterprise investment from a new perspective.Firstly,at the micro mechanism level,this study constructs a two-country model of household,enterprise,financial intermediary and central bank from the perspective of general equilibrium,and researches how the change of RMB exchange rate affects the investment behavior of enterprises in the environment of market clearing and equilibrium stability. Secondly,in terms of the empirical analysis,this study focuses on utilizing China’s industrial enterprise database and Chinese customs database for exchange rate affecting the investment behavior of micro enterprises.And every enterprise’s export and import records in Chinese customs database include destinations and volume details,which is helpful for evaluating the real effective exchange rate of different enterprises. Also,this estimated exchange rate could depict the heterogeneity of the enterprise itself,so as to be able to provide enlightenment for more accurate description of the impact of exchange rate fluctuations on investment. Finally,due to the significant differences in enterprises’ own characteristics,this study also focuses on the classification of enterprises based on different financing constraints,export and import attributes,high technology and low technology,and total factor productivity,and analyzes the heterogeneity of the impact of RMB exchange rate changes on enterprise investment.This study mainly draws the following findings:Firstly,the appreciation of RMB exchange rate will be detrimental to enterprise investment,among which the capital labor ratio plays the largest role in this influence process. Since this mechanism can improve the factor allocation effect of enterprises and has a positive effect on investment,the timely adjustment of capital labor ratio will not only improve enterprise productivity,but also further promote enterprise investment.Secondly,the formation of enterprise scale economy is conducive to promoting enterprise investment. Finally,the exit effect of enterprises will expand the adverse impact of RMB exchange rate fluctuations on investment,while financing constraints will weaken the impact of exchange rate appreciation on enterprise investment. In order to further quantify the heterogeneity of the impact of RMB exchange rate changes on enterprise investment from a multi-dimensional perspective,we also divide enterprises into export enterprises and non-export enterprises,stateowned enterprises and non-state-owned enterprises,as well as high-technology enterprises and low-technology enterprises. We find that RMB exchange rate fluctuations have significant heterogeneous characteristics on enterprise investment,which to some extent indicates that the channels for the impact of RMB exchange rate changes on enterprise investment are not consistent.The results of this paper mainly have the following three policy implications:Firstly,as the export revenue channel plays a major role in the process of RMB exchange rate’s impact on enterprise investment,especially the RMB exchange rate appreciation will restrain enterprise investment behavior. Therefore,along with the continuous improvement of the RMB exchange rate formation mechanism,when formulating appropriate policies to maintain the stability of RMB exchange rate,monetary authorities should take into account the adverse impact of exchange rate fluctuations on enterprise investment. Undoubtedly,it will play an important role in the effective investment and high-quality development of enterprises. Secondly,since the scale effect of enterprises promotes their investment,it can reduce the risk of enterprise investment caused by exchange rate fluctuations while improving enterprise productivity and further promoting the development of enterprise scale. Thirdly,the government can give certain support to enterprises with development potential and financing constraints,which is not only conducive to enterprises to cope with the negative impact of the foreign exchange market,but also beneficial to improve the allocation efficiency of financial resources. Therefore,it has important enlightenment for promoting enterprise investment and high-quality development.