Finance dependence and exchange rate pass-through: Empirical evidence from China

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2023-12-03 DOI:10.1016/j.ememar.2023.101088

Chenghao Hu

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Abstract

Does the degree of finance dependence, defined as firms' reliance on external finance for regular production activities, determine exporters' heterogeneous responses to real exchange rate shocks? This paper develops a stylized model to illustrate the role of finance dependence in shaping exporters' pricing decisions when the bilateral real exchange rate fluctuates. The model features distribution costs, endogenous markup, and firm heterogeneity. In the model, finance dependence can impact firms' export pricing decisions in a way isomorphic to firm productivity but in the opposite direction: firms with high finance dependence have a high demand elasticity and a low price elasticity to exchange rate fluctuations. Therefore, in response to real exchange rate shocks, financially more dependent firms exhibit lower exchange rate pass-through into export prices denominated in home country currency (RMB). To assess the model prediction, I develop a firm-destination-year-specific measure of finance dependence based on the basket of goods that firms export and employ the Chinese manufacturing firm export data from 2000 to 2006 for analysis. The empirical test is carried out at the most disaggregated firm-product-destination level and confirms the model prediction.

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金融依赖与汇率传递：中国的经验证据

融资依赖度是指企业在正常生产活动中对外部融资的依赖程度，它是否决定了出口商对实际汇率冲击的不同反应？本文建立了一个风格化模型，以说明当双边实际汇率波动时，融资依赖在影响出口商定价决策中的作用。该模型以分销成本、内生加价和企业异质性为特征。在该模型中，金融依赖性会以与企业生产率同构的方式影响企业的出口定价决策，但方向相反：金融依赖性高的企业对汇率波动的需求弹性高，价格弹性低。因此，在应对实际汇率冲击时，金融依存度较高的企业表现出较低的汇率对以母国货币（人民币）计价的出口价格的传递。为评估模型预测，笔者根据企业出口的一篮子商品制定了企业-目的地-年份的金融依赖度度量，并采用 2000 年至 2006 年的中国制造业企业出口数据进行分析。在最细分的企业-产品-目的地层面进行了实证检验，结果证实了模型预测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.