奈特不确定、汇率波动与外商直接投资

doi:10.16381/j.cnki.issn1003-207x.2021.0067

中国管理科学 ›› 2023, Vol. 31 ›› Issue (6): 12-24.doi: 10.16381/j.cnki.issn1003-207x.2021.0067

奈特不确定、汇率波动与外商直接投资

陈强¹, ², 许万紫¹

1.上海财经大学经济学院，上海200433； 2.数理经济学教育部重点实验室，上海200433

收稿日期:2021-01-10 修回日期:2021-07-12 出版日期:2023-06-20 发布日期:2023-06-17
通讯作者: 许万紫(1989-)，男(汉族)，江苏常州人，上海财经大学经济学院，博士研究生，研究方向：数量经济学,Email:xu.wanzi@163.sufe.edu.cn. E-mail:xu.wanzi@163.sufe.edu.cn
基金资助:
教育部人文社会科学基金资助项目(20YJC790013)；中央高校基本科研业务费专项资金资助项目(2023110139)

Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment

CHEN Qiang¹, ², XU Wan-zi¹

1. The School of Economics, Shanghai University of Finance Economics, Shanghai 200433, China;2. Key Laboratory of Mathematical Economics, Ministry of Education, Shanghai 200433, China

Received:2021-01-10 Revised:2021-07-12 Online:2023-06-20 Published:2023-06-17
Contact: 许万紫 E-mail:xu.wanzi@163.sufe.edu.cn

摘要/Abstract

摘要： 针对学术界关于汇率波动如何影响外商直接投资所存在的分歧，尝试给出一种新的解释。通过构建奈特不确定环境下的实物期权投资模型，将汇率不确定性分解成汇率风险(波动)和汇率模糊两个部分，分析汇率风险对跨国企业投资决策的影响，以及汇率模糊在其中的关键作用。并利用2003—2016年的面板数据，就东道国货币的有效汇率不确定性对中国外向FDI区位选择的影响进行实证分析。理论分析表明:汇率模糊对投资的边际作用方向取决于企业的模糊态度。汇率模糊增大会促进模糊偏好企业投资，抑制模糊厌恶企业投资，但是对模糊中性企业的投资没有影响。汇率风险对投资的边际作用方向取决于负向的风险直接效应及其通过模糊传导的间接效应之差。实证分析结果显示:控制汇率模糊之后的汇率风险对中国外向FDI具有负的效应，汇率风险与汇率模糊之间存在显著的正向交互效应。特别地，在汇率风险较大的时候，中国企业表现出较为明显的模糊偏好特征。

关键词: 模糊；汇率；FDI；奈特不确定

Abstract: The previous studies focused on the impacts of exchange rate volatility on foreign direct investment are equivocal. Several studies find the positive impact while the others find the negative impact. There have been some explanations for the contradictory phenomena, such as different industries, different foreign exchange policies or lack of adequate measurement. It attempts to give another reason in this paper which has not been proposed yet.

Key words: ambiguity； exchange rate； FDI； Knight uncertainty

中图分类号:

F224

陈强, 许万紫. 奈特不确定、汇率波动与外商直接投资[J]. 中国管理科学, 2023, 31(6): 12-24.

CHEN Qiang, XU Wan-zi. Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment[J]. Chinese Journal of Management Science, 2023, 31(6): 12-24.

参考文献

［1］ Blonigen B A. Firm-specific assets and the link between exchange rates and foreign direct investment［J］. The American Economic Review, 1997, 87(3): 447-465.
［2］ Campa J M. Entry by foreign firms in the United States under exchange rate uncertainty［J］. The Review of Economics and Statistics, 1993, 75(4): 614-622.
［3］ Rivoli P, Salorio E M. Foreign direct investment and investment under uncertainty［J］. Journal of International Business Studies, 1996, 27(2): 335-357.
［4］ Cushman D O. Real exchange rate risk, expectations, and the level of direct investment［J］. The Review of Economics and Statistics, 1985, 67(2): 297-308.
［5］ Goldberg L S, Kolstad C D. Foreign direct investment, exchange rate variability and demand uncertainty［J］. International Economic Review, 1995, 36(4): 855-873.
［6］ Knight F H. Risk, uncertainty and profit［M］. Boston: Houghton Mifflin Company, 1921.
［7］ Gilboa I, Schmeidler D. Maxmin expected utility with non-unique prior［J］. Journal of Mathematical Economics, 1989, 18(2): 141-153.
［8］ Chen Zengjing, Epstein L G. Ambiguity, risk and asset returns in continuous time［J］. Econometrica, 2002, 70(4): 1403-1443.
［9］ Ghirardato P, Maccheroni F, Marinacci M, et al. Differentiating ambiguity and ambiguity attitude［J］. Journal of Economic Theory, 2004, 118(2): 133-173.
［10］ Dixit A K, Pindyck R S. Investment under uncertainty［M］. New Jersey: Princeton University Press, 1994.
［11］ Schmeidler D. Subjective probability and expected utility without additivity［J］. Econometrica, 1989, 57(3): 571-587.
［12］ Sargent T J, Hansen L P. Robust control and model uncertainty［J］. The American Economic Review, 2001, 91(2): 60-66.
［13］ Maenhout P J. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium［J］. Journal of Economic Theory, 2006, 128(1): 136-163.
［14］ Anderson E W, Ghysels E, Juergens J L. The impact of risk and uncertainty on expected returns［J］. Journal of Financial Economics, 2009, 94(2): 233-263.
［15］ Brenner M, Izhakian Y. Asset priving and ambiguity: empirical evidence［J］. Journal of Financial Economics, 2018, 130(3): 503-531.
［16］ Aizenman J. Exchange rate flexibility, volatility, and domestic and foreign direct investment［J］. IMF Economic Review, 1992, 39(4): 890-922.
［17］王自峰. 汇率水平与波动程度对外国直接投资的影响研究［J］. 经济学(季刊), 2009, 8(4): 1497-1526.Wang Zifeng. The effects of exchange rate levels and volatility on FDI ［J］. China Economic Quarterly, 2009, 8(6): 1497-1526.
［18］费为银,夏登峰,唐仕冰.Knight不确定与随机汇率下外商投资决策［J］.管理科学学报,2016,19(6):125-135.Fei Weiyin, Xia Dengfeng, Tang Shibing. On study of a foreign investor’s investment with random exchange rate under Knightian uncertainty［J］. Journal of Management Sciences in China, 2016, 19(6): 125-135.
［19］ Liu Haiyue, Deseatnicov I. Exchange rate and Chinese outward FDI［J］. Applied Economics, 2016, 48(51): 4961-4976.
［20］彭红枫. 汇率对FDI的影响:基于实物期权的理论分析与中国的实证［J］. 中国管理科学, 2011, 19(4): 60-67.Peng Hongfeng. The impact of exchange rate on FDI: the theory analysis based on real option and empirical study in China［J］. Chinese Journal of Management Science, 2011, 19(4): 60-67.
［21］ Nishimura K G, Ozaki H. Irreversible investment and Knightian uncertainty［J］. Journal of Economic Theory, 2007, 136(1): 668-694.
［22］ Beisner P, Lin Qian, Riedel F. Dynamically consistent α-maxmin expected utility［J］. Mathematical Finance, 2019, 30(3): 1073-1102.
［23］ Duffie D, Epstein L G. Stochastic differential utility［J］. Econometrica, 1992, 60(2): 353-394.
［24］ Jeanneret A. Foreign direct investment and exchange rate volatility: a non-linear story［R］. Working Paper, University of Lausanne and Swiss Finance Institute, 2007.
［25］ Brambor T, Clark W R, Golder M. Understanding interaction models: improving empirical analyses［J］. Political Analysis, 2005, 13: 1-20.
［26］ Balli H O, Sorensen B E. Interaction effects in econometrics［J］. Empirical Economics, 2013, 45(1): 583-603.
［27］ Botric V, Skuflic L. Main determinants of foreign direct investment in the southeast European countries［J］. Transition Studies Review, 2006, 13(2): 359-377.
［28］罗伟, 葛顺奇. 中国对外直接投资区位分布及其决定因素——基于水平型投资的研究［J］. 经济学(季刊), 2013, 12(4): 339-360.Luo Wei, Ge Shunqi. Location distribution and its determinants of China’s foreign direct investment: a horizontal FDI perspective［J］. China Economic Quarterly, 2013, 12(4): 339-360.
［29］ Xing Yuqing. Why is China so attractive for FDI-the role of exchange rates［J］. China Economic Review, 2006, 17(2): 198-209.
［30］ Strat V A, Davidescu A, Paul A M. FDI and the unemployment: a causality analysis for the latest EU members［J］. Procedia Economics and finance, 2015, 23: 635-643.
［31］项本武. 东道国特征与中国对外直接投资的实证研究［J］. 数量经济技术经济研究, 2009, 7(10): 33-46.Xiang Benwu. An empirical research on the features of host-country and China’s direct investment abroad［J］. The Journal of Quantitative and Technical Economics, 2009, 7(10): 33-46.
［32］ Ramasamy B, Yeung M C, Laforet S, et al. China’s outward foreign direct investment: location choice and firm ownership［J］. Journal of World Business, 2012, 47(1): 17-25.
［33］ Deng Ping. Why do Chinese firms tend to acquire strategic assets in international expansion［J］. Journal of World Business, 2009, 44(1): 74-84.
［34］ Wei Ziyi. The literature on Chinese outward FDI［J］. The Multinational Business Review, 2010, 18(3): 73-112.
［35］ Froot K A, Stein J C. Exchange rates and foreign direct investment: an imperfect capital markets approach［J］. Quarterly Journal of Economics, 1991, 106(4): 1191-1217.
［36］ Liu Haiyue, Tang Yingkai, Chen Xiaolan, et al. The determinants of Chinese outward FDI in countries along “One Belt One Road”［J］. Emerging Markets Finance and Trade, 2017, 53(6): 1374-1387.

[1]	熊强,练帅,李治文,金帅. 双边道德风险下软件供应链信息安全责任协调契约设计[J]. 中国管理科学, 2024, 32(10): 265-274.
[2]	姜涛,高丽,刘露,柴旭东. 队列中的信息异构：基于口碑传播的等待制服务系统定价决策[J]. 中国管理科学, 2024, 32(10): 123-132.
[3]	黄苒,胡丽琴,李梦圆. 专有关系投资、议价力与企业违约风险[J]. 中国管理科学, 2024, 32(9): 11-23.
[4]	张艳芬,徐琪,孙中苗. 供应商竞争下考虑道德风险的平台供应链最优动态激励契约[J]. 中国管理科学, 2024, 32(9): 160-170.
[5]	李恒宇,柴俊武. 溢出效应下制造商的直播带货策略研究[J]. 中国管理科学, 2024, 32(9): 171-181.
[6]	王鹏,王要玉,王建才. 零售平台自有品牌与制造商渠道策略的竞合博弈分析[J]. 中国管理科学, 2024, 32(9): 214-224.
[7]	李进,刘格格,张海霞,张江华. 基于消费者绿色偏好和渠道竞争的制造商分散式入侵策略[J]. 中国管理科学, 2024, 32(7): 281-290.
[8]	冯颖,魏敏,何文豪,张炎治. 质量信息不对称下考虑参考价格效应的灰市供应链定价决策[J]. 中国管理科学, 2024, 32(6): 207-218.
[9]	李志鹏,周晓宇. 考虑消费者餍足效应的网络视频产业链最优决策研究[J]. 中国管理科学, 2024, 32(6): 229-239.
[10]	马德青,王晓晴,胡劲松. 多渠道零售下考虑消费者反展厅现象的平台型供应链销售模式选择[J]. 中国管理科学, 2024, 32(5): 133-146.
[11]	孙中苗,徐琪,张艳芬. 信息不对称下按需服务平台拥有不同类型代理人时的动态激励契约[J]. 中国管理科学, 2024, 32(5): 241-253.
[12]	熊一凡. 多重行动异质网络博弈[J]. 中国管理科学, 2024, 32(5): 265-274.
[13]	赵丹,严啸宸,汪和平,李艳. 双积分政策下汽车企业合作创新演化博弈分析[J]. 中国管理科学, 2024, 32(4): 279-292.
[14]	李波,张春燕,张俊飚. 食品企业质量安全意识提升的演化博弈逻辑[J]. 中国管理科学, 2024, 32(4): 315-324.
[15]	杨松,张言彩,王爱峰. 多主体参与下食品安全社会共治演化博弈稳定性[J]. 中国管理科学, 2024, 32(4): 325-334.

奈特不确定、汇率波动与外商直接投资

Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 15

Metrics

本文评价

推荐阅读 0