实际汇率、公司利润与投资规模  

Research on the Real Exchange Rate,Corporate Profits and Investment

作　　者：杨雨晴 施建淮[1] Yang Yuqing;Shi Jianhuai(School of Economics,Peking University)

机构地区：[1]北京大学经济学院

出　　处：《国际金融研究》2022年第8期87-96,共10页Studies of International Finance

摘　　要：本文构建了开放经济条件下的理论模型,对实际汇率如何影响公司利润和投资规模展开分析,并基于中国上市公司面板数据对实际汇率、公司利润与投资规模之间的作用路径进行了实证检验。研究发现,实际汇率变动对贸易部门和非贸易部门公司利润和盈利能力的影响具有异质性,实际汇率贬值会使贸易部门公司的利润显著增加。中介效应检验表明,实际汇率会通过作用于贸易部门公司的盈利状况进一步对其投资水平和资产规模产生同向影响。基于引入工资占比和金融摩擦的实证检验,本文探讨了实际汇率通过公司的实际工资支付影响其利润的作用机制,并验证了实际汇率影响公司投资规模的内部融资渠道,即实际汇率贬值会降低贸易部门公司的实际工资水平并推升利润收益,公司内部融资能力增强,投资和资产规模扩大。The literature has shown that the changes of real exchange rate have significant effects on the real economymainly by influencing the corporate sector.With the financial opening up in China,real exchange rate movements can have pro-found and important effects on corporate profits and investment.To study the relationship between real exchange rate and firms’profits and investment,this paper first builds a small openeconomy model with financial frictions.Based on the theoretical analysis,this paper formulates and examines the relationshipbetween and among the real exchange rate,corporate profits and investment using firm-level panel data of listed companies inChina from 2006 to 2020.The results of the panel data regression models show that the impacts of the real exchange ratechanges on the profits and profitability of tradable goods producing firms and non-tradable goods producing firms are heteroge-neous.A real depreciation will significantly increase the profits of tradable sector firms.The results of the mediation analysisshow that a real depreciation will boost investment and total assets of tradable sector firms through affecting their profits.By in-troducing the wage ratio and financial frictions into the fixed effects models,this study further analyzes how the real exchangerate affects corporate profits,and verifies that the real exchange rate can affect corporate investment and asset through the inter-nal financing channel.Real depreciations will increase the profits of tradable goods producing firms by lowering their real wage,strengthening their internal financing capacity and expanding investment.The research results have the following policy implications.Firstly,the overall impact of real exchange rate movements onreal economy is time-varying because of economic structure changes.As China is turning to high-quality development,a mod-erate appreciation can increase the proportion of the service industry and further optimize the industrial structure.Secondly,tradable sector firms should pay close atten

关 键 词：实际汇率 内部融资 公司利润 投资规模 

分 类 号：F832[经济管理—金融学] F752F275