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

Abstract

CLC Number:

F224

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.

［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]	Qiang Xiong,Shuai Lian,Zhiwen Li,Shuai Jin. Design of Information Security Responsibility Coordination Contract in Software Supply Chain under Bilateral Moral Hazard [J]. Chinese Journal of Management Science, 2024, 32(10): 265-274.
[2]	Tao Jiang,Li Gao,Lu Liu,Xudong Chai. Information Heterogeneity in a Queue: Pricing Decision in Waiting Service Systems with Word-of-mouth [J]. Chinese Journal of Management Science, 2024, 32(10): 123-132.
[3]	Ran Huang,Liqin Hu,Mengyuan Li. Relationship Specific Investment, Bargaining Power and Firm Default Risk: A Study Based on Structural Analysis of Profit Flows [J]. Chinese Journal of Management Science, 2024, 32(9): 11-23.
[4]	Yanfen Zhang,Qi Xu,Zhongmiao Sun. Dynamics of Contract Design for Platform Supply Chain with Competing Suppliers under Moral Hazard [J]. Chinese Journal of Management Science, 2024, 32(9): 160-170.
[5]	Hengyu Li,Junwu Chai. Cooperation Strategy of Manufacturer in Live-streaming Considering with Spillover Effect [J]. Chinese Journal of Management Science, 2024, 32(9): 171-181.
[6]	Peng Wang,Yaoyu Wang,Jiancai Wang. Co-opetition Game Analysis Between Store Brand Strategy of Platform and Selling Channel Strategy of Manufacturer [J]. Chinese Journal of Management Science, 2024, 32(9): 214-224.
[7]	Jin Li,Gege Liu,Haixia Zhang,Jianghua Zhang. Manufacturer's Decentralized Encroachment Strategy with Consumer Green Preference and Channel Competition [J]. Chinese Journal of Management Science, 2024, 32(7): 281-290.
[8]	Ying Feng,Min Wei,Wenhao He,Yanzhi Zhang. Price Decision-making in a Gray Market Supply Chain Considering Reference Price Effect under Quality Information Asymmetric [J]. Chinese Journal of Management Science, 2024, 32(6): 207-218.
[9]	Zhipeng Li,Xiaoyu Zhou. Optimal Decisions of Online Video Industrial Chain under Consumer Satiation [J]. Chinese Journal of Management Science, 2024, 32(6): 229-239.
[10]	Deqing Ma,Xiaoqing Wang,Jinsong Hu. Sales Format Selection for Platform-based Supply Chain Considering Consumers' Webrooming Phenomenon in Multi-channel Retailing [J]. Chinese Journal of Management Science, 2024, 32(5): 133-146.
[11]	Zhongmiao Sun,Qi Xu,Yanfen Zhang. Dynamic Incentive Contract of On-Demand Service Platform with Different Types of Agents under Asymmetric Information [J]. Chinese Journal of Management Science, 2024, 32(5): 241-253.
[12]	Yifan Xiong. Heterogeneous Network Games with Multiple Activities [J]. Chinese Journal of Management Science, 2024, 32(5): 265-274.
[13]	Dan Zhao,Xiaochen Yan,Heping Wang,Yan Li. Evolutionary Game Analysis of Cooperative Innovation of Automakers under Dual-credit Policy [J]. Chinese Journal of Management Science, 2024, 32(4): 279-292.
[14]	Bo Li,Chunyan Zhang,Junbiao Zhang. The Evolutionary Game Logic of the Improvement of Quality and Safety Awareness of Food Enterprises ——Based on the Repeated Purchase Behavior of Consumers in the Dairy Industry [J]. Chinese Journal of Management Science, 2024, 32(4): 315-324.
[15]	Song Yang,Yancai Zhang,Aifeng Wang. Stability of Food Safety Social Co-governance Evolutionary Game with Multi-agent Participation [J]. Chinese Journal of Management Science, 2024, 32(4): 325-334.

Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0