Exchange Rate Volatility and Trade: Evidence from Chinese Importers

本文旨在研究中國進口企業在面對雙邊和多邊的外匯波動風險下的再分配行為。本文研究了雙邊匯率波動和多邊匯率波動對公司雙邊進口量的影響，並且進一步探索了這些影響是如何隨著公司擁有的進口來源國家數量和公司大小改變的。基於2000年到2006年的中國海關數據，我們發現雙邊匯率波動對公司進口具有負面的影響， 然而多邊匯率波動對公司的雙邊進口有積極作用。而且，這些影響會隨著公司擁有的進口國數量的增大和公司規模的增大而擴大。所以， 在考慮第三市場效應的前提下，公司面對雙邊匯率波動增大時會減少對相應進口國的進口。當來自第三市場的外匯風險增大時， 公司會增加對相應進口國的進口。擁有進口來源國數量多的公司和規模大的公司的這種再分配行為更加明顯。本研究運用了面板數據實證分析。我們通過運用不同的方法來定義多邊匯率波動，去除中轉貿易公司，非製造產品和匯率與美元掛鉤的貨幣等方式進一步驗證進口企業的再分配行為，得到了相同的結果。因此， 我們的結果證明了大公司和擁有進口來源國數量多的公司可以通過進口源的多樣化來分散風險。This study aims to examine the reallocation behavior of Chinese import firms under the bilateral and multilateral real exchange rate risks. We specifically investigate the effects of the bilateral and multilateral real exchange rate volatilities on the bilateral imports of Chinese import firms, as well as explore the manner in which these effects vary with the number of sourcing countries (or the scope of potential reallocations) and the firm size. Based on firm-level data from China Customs Database for the period 2000 to 2006, we find a trade-deterring impact of bilateral real exchange rate volatility and a trade-promoting impact of multilateral real exchange rate volatility on firm bilateral imports. Furthermore, these effects are intensified with the number of sourcing countries and the firm size. Therefore, in accounting for the third-market effects, the Chinese import firms tend to reallocate imports away from sourcing countries with higher real exchange rate risks. Firms are even more likely to do so when the scope of potential reallocations is extended and the firm size is larger. This study applied panel data regressions. In addition, most of our results are robust to checks related to use alternative measures in determining multilateral real exchange rate volatility, exclude intermediaries and non-manufacturing products, and eliminate US dollar peggers. To provide further insights, our findings indicate that bigger and multi-sourcing import firms can hedge their exchange rate risks through diversification.Gao, Yu.Thesis M.Phil. Chinese University of Hong Kong 2016.Includes bibliographical references (leaves ).Abstracts also in Chinese.Title from PDF title page (viewed on …).Detailed summary in vernacular field only