汇率不确定性、金融市场化与企业投资行为

Exchange Rate Uncertainty,Financial Marketization and Enterprise Investment

全球经济不确定性背景下汇率不确定性引发的市场风险将传导至实体经济部门。本文从汇率不确定性增加投资收益率波动的角度构建理论模型,并利用2006年至2018年中国非金融上市公司季度数据,在构建企业资产可逆性与融资能力指标基础上,实证分析人民币汇率不确定性对企业投资行为的影响。结果发现:汇率不确定性显著抑制企业投资;汇率不确定性通过实物期权效应与金融摩擦效应影响企业投资行为,且影响效应在出口企业与非国有企业中更为显著;金融市场化显著弱化汇率不确定性对企业投资的负向冲击。我国汇率政策调整应保持相对稳定,同时应引导和管理企业汇率风险预期,加快金融市场化改革,降低企业资产处置成本与融资成本,保障投资恢复与宏观经济稳定。

In the context of global economic uncertainty,market risks caused by exchange rate uncertainty will be transmitted to the real sector.This paper constructs a theoretical model from the perspective that exchange rate uncertainty increases the volatility of investment return,and empirically analyzes the impact of RMB exchange rate uncertainty on corporate investment behavior based on the establishment of corporate asset reversibility and financing ability indicators based on the quarterly data of Chinese non-financial listed companies from 2006 to 2018.The results show that:(1)exchange rate uncertainty significantly inhibits firm investment;(2)Exchange rate uncertainty affects firm investment behavior through real option effect and financial friction effect,and the influence mechanism is more significant in export enterprises and non-state-owned enterprises;(3)Financial marketization significantly weakens the negative impact of exchange rate uncertainty on enterprise investment.The conclusion shows that China's exchange rate policy adjustment should be relatively stable,and at the same time,it should guide and manage enterprise exchange rate risk expectations,speed up the reform of financial marketization,reduce enterprise asset disposal costs and financing costs,and ensure investment recovery and macroeconomic stability.