汇率波动对出口稳定的影响：中间品进口的作用

本文在一个市场渗透率内生决定的框架中讨论汇率波动对出口稳定的影响。基于包含企业异质性的理论分析，发现汇率波动会影响出口在不同企业之间的重新配置以及企业在出口市场的进入退出决策。平均来看，汇率波动会引起企业出口金额的下降以及更多(少)地退出(进入)市场。进一步分析发现，相较其他企业，汇率波动对企业出口的负向影响对中间品进口更少以及小规模出口企业更明显，而中间品进口可以对冲汇率波动的负向作用。本文使用我国海关进出口交易数据对汇率波动如何影响出口稳定进行实证分析，结果支持了理论部分提出的假说。本文的政策性含义是，只要企业能够更加深度并优化对国际分工和全球供应链的参与，汇率弹性增强并不会对其出口带来更大的汇率风险。

The Impact of Exchange Rate Volatility on Export Stability: The Role of Intermediate-Input Imports

From a macroeconomic perspective, enhancing the flexibility of the RMB exchange rate system helps China hedge against shocks caused by external instability. It thus meets the essential need to maintain economic and financial security during China's high-level opening up to the outside world. As the market-based RMB exchange rate mechanism has improved, the RMB exchange rate has become increasingly volatile. For micro firms, the marketization of the RMB exchange rate brings greater exchange rate risk. Therefore, reasonably limiting the volatility of the RMB exchange rate, minimizing exchange rate risk, and reducing potential losses due to exchange rate volatility are essential issues for firms. The in-depth development of the global supply chain represents new opportunities for Chinese export firms. It also provides an opportunity for firms to naturally hedge their exchange rate risk. This paper shows that firms can form a natural hedge against the exchange rate risk inherent in exports by importing intermediate inputs and using global supply chains to effectively manage exchange rate risk.Using a theoretical model, we first analyze the impact of exchange rate volatility on the intensive and extensive margins of exports by risk-averse firms and find that the exchange rate correlation of import sources and export destinations can hedge the exchange rate risk exporting firms face. As the exchange rate correlation of imports and exports varies greatly among firms, the effects of exchange rate volatility on firms' exports are heterogeneous, i.e., exchange rate volatility creates horizontal instability. However, exchange rate volatility changes firms' export volumes, causing export volatility over time, i.e., vertical instability. In addition to the intensive margin, we also analyze another type of vertical instability, i.e., the expansion margin and sustainability of firms' exports. We find that exchange rate volatility negatively affects the horizontal and vertical stability of exports and that firms can hedge the exchange rate risk associated with their exports by importing intermediate inputs. Further, this paper uses customs data on import and export transactions in 2010-2015 to investigate the impact of exchange rate volatility on the stability of Chinese firms' exports and to explore how exchange rate risk can be hedged through the importation of intermediate inputs. The benchmark results hold under a series of robustness tests.This paper contributes to the literature in the following three ways. First, it innovatively discusses the impact of exchange rate volatility on the intensive margin of exports in a framework that incorporates endogenous market penetration decisions. Previous theoretical analyses consider only the impact of exchange rate volatility on the export expansion margin. The primary mechanism is exchange rate volatility, which increases the productivity of export markets. Second, this paper focuses on firms' export stability, measures China's horizontal and vertical export stability from 2010 to 2015 using microdata, and analyzes the impact of exchange rate volatility. In contrast with the literature on the measurement of a single export indicator, this paper investigates the impact of exchange rate volatility on Chinese firms in a comprehensive and multifaceted manner and considers both the horizontal and vertical dimensions, the intensive margin, the expansion margin, and the impact of export stability. Third, using Chinese customs data that identifies the source of imports and the destination of exports, this paper examines how firms in developing countries can hedge their exchange rate risk by importing intermediate inputs. The literature extensively analyzes the economic impact of exchange rate volatility from the perspectives of financial development, foreign exchange derivatives, productivity, and the degree of diversification in export destinations. Chinese firms are highly embedded in global supply chains at both the import and export ends, and many firms are both importers and exporters. Therefore, understanding how exchange rate risk can be hedged by the importation of intermediate inputs is of great practical importance.