美元汇率对企业投资的影响及其传导机制  

The Impact and Mechanism of Dollar Exchange Rate on Firm Investment

作　　者：谭小芬 曹倩倩 苟琴[2] 李想 TAN Xiaofen;CAO Qianqian;GOU Qin;LI Xiang(Beihang University,100191;Central University of Finance and Economics,100081;Peking University,100871)

机构地区：[1]北京航空航天大学经济管理学院,100191 [2]中央财经大学金融学院,100081 [3]北京大学经济学院,100871

出　　处：《财贸经济》2023年第3期55-70,共16页Finance & Trade Economics

基　　金：国家社会科学基金重大项目“负利率时代金融系统性风险的识别和防范研究”(20&ZD101);国家自然科学基金面上项目“全球金融网络视角下跨境资本流动管理与金融风险防范研究”(72073150)。

摘　　要：美元在国际货币和金融体系中发挥着主导作用,其价值变动会通过全球金融市场对跨境美元信贷和实体经济发展产生重要影响。本文基于2000—2019年全球非金融上市公司数据,实证研究了美元汇率对企业投资的影响及其传导机制。结果表明:美元名义有效汇率升值通过金融渠道抑制企业投资,通过贸易渠道促进企业投资,总体来看金融渠道占主导位置。相较于发达经济体,新兴经济体企业投资受美元升值的抑制作用更为显著;金融危机事件会放大美元升值对投资的抑制作用;提高金融发展水平、加强外汇市场干预和宏观审慎监管,有助于缓解美元升值的负向影响。本文揭示了美元汇率作为全球流动性重要指标,其价值变动通过金融市场对全球经济增长的负面影响及其可能带来的潜在风险,这对我国防范外部风险冲击、完善宏观经济调控和推动经济高质量发展具有重要的政策启示。The US dollar plays a key role in the international monetary and financial system.The dollar exchange rate has important impact on cross⁃border capital flows denominated in USD and the real economic growth through global financial markets.The dollar appreciation cycle is often accompanied with a decline in real GDP growth in emerging economies.As more and more countries open up their capital accounts,it's important to cope with external risk shocks and build up a feasible regulatory system to reduce the negative impact of US dollar exchange rate on macroeconomic development and individual behaviors at the micro level.This paper focus on how the US dollar exchange rate affects corporate investment.Exchange rate fluctuations can affect investment activity through both the trade channel and the financial channel.The traditional trade channel operates through net exports.Specifically,dollar appreciation means the relative depreciation of the local currency,which will improve the export competitiveness of domestic products.Firms are motivated to increase investment by increased export revenue and cash flows.By contrast,the financial channel operates through exchange rate fluctuations which trigger valuation changes,balance⁃sheet adjustments and shifts in risk⁃taking.Global financial risk and investment uncertainty increase when the US dollar appreciates.Internal risk control and external regulatory constraints limit the lending ability of global banks.Specifically,firms which borrowed in dollars to finance domestic real assets will suffer from the balance sheet effect and valuation mismatch when the US dollar appreciates.From the standpoint of creditors,the weaker credit position of borrowers increases tail risk in the credit portfolio,and reduce their global cross⁃border bank lending supply.Because of the reduction in global credit supply and increased financing costs,available cash flow for investment declines and investment activities are restrained.So the US dollar exchange rate affects corporate investmen

关 键 词：美元汇率 企业投资 金融渠道 贸易渠道 

分 类 号：F831.7[经济管理—金融学]