中国企业层面有效汇率测算:2000～2006
发布时间：2018-11-07 15:50
【摘要】：企业在进出口地区结构上存在巨大差异,这使得即使在同一时期内,不同企业可能面临截然不同的汇率变动与风险。本文利用2000~2006年企业-交易层面的海关贸易数据,测算了中国企业层面的名义和实际有效汇率,并进一步测算了企业层面汇率风险的衡量指标:企业有效汇率的波动性。研究发现:(1)有效汇率变动在企业间存在巨大差异,尽管加总有效汇率在2000~2006年总体呈现贬值趋势,但是有57%的企业实际上面临了有效汇率升值。(2)行业内差异解释了企业层面有效汇率差异的绝大部分,因此在基于企业数据的经验研究中,即使采用行业层面有效汇率也会导致较大的估计偏误。(3)企业有效汇率波动与企业出口地与进口地数目显著负相关。这意味着出口地与进口地的多元化有助于分散企业的汇率风险。
[Abstract]:There are great differences in the regional structure of import and export, which makes different enterprises may face different exchange rate changes and risks even in the same period. Based on the customs trade data from 2000 to 2006, this paper calculates the nominal and actual effective exchange rates at the enterprise level in China, and further measures the volatility of the effective exchange rate at the enterprise level. It is found that: (1) there are great differences between enterprises in the change of effective exchange rate, although the aggregate effective exchange rate shows an overall trend of depreciation from 2000 to 2006. However, 57% of the enterprises actually face the appreciation of the effective exchange rate. (2) Intra-industry differences explain most of the differences in the effective exchange rates at the firm level, so in the empirical study based on enterprise data, Even using the effective exchange rate at the industry level will lead to greater bias. (3) there is a significant negative correlation between the volatility of the effective exchange rate and the number of export and import places. This means diversification of export and import locations helps diversify firms' exchange rate risk.
【作者单位】： 北京师范大学经济与工商管理学院;南开大学国际经济研究所;南开大学跨国公司研究中心;
【分类号】：F832.6
[Abstract]:There are great differences in the regional structure of import and export, which makes different enterprises may face different exchange rate changes and risks even in the same period. Based on the customs trade data from 2000 to 2006, this paper calculates the nominal and actual effective exchange rates at the enterprise level in China, and further measures the volatility of the effective exchange rate at the enterprise level. It is found that: (1) there are great differences between enterprises in the change of effective exchange rate, although the aggregate effective exchange rate shows an overall trend of depreciation from 2000 to 2006. However, 57% of the enterprises actually face the appreciation of the effective exchange rate. (2) Intra-industry differences explain most of the differences in the effective exchange rates at the firm level, so in the empirical study based on enterprise data, Even using the effective exchange rate at the industry level will lead to greater bias. (3) there is a significant negative correlation between the volatility of the effective exchange rate and the number of export and import places. This means diversification of export and import locations helps diversify firms' exchange rate risk.
【作者单位】： 北京师范大学经济与工商管理学院;南开大学国际经济研究所;南开大学跨国公司研究中心;
【分类号】：F832.6
【参考文献】
相关期刊论文 前1条
1 李宏彬;马弘;熊艳艳;徐Z，
本文编号：2316825
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