2023-06-08-IMF-美元汇率波动与新兴市场生产率增长_来自企业层面数据的证据（英）_45页_1mb

Dollar Exchange Rate Volatility and Productivity Growth in Emerging Markets: Evidence from Firm Level Data

• Abstract:
  The study examines the impact of dollar exchange rate volatility on firm productivity in 16 emerging markets (EMs) using firm-level data from 1998 to 2019. Results indicate that dollar exchange rate volatility reduces productivity growth with a one-year lag and a short-lived effect. Cross-country heterogeneity shows the impact is magnified in countries with low financial development, high dollar invoicing, high bilateral trade with the US, high collective bargaining coverage, and open capital accounts. Foreign exchange interventions mitigate this effect. Firm-level analysis reveals effects through financial friction and real options channels, with younger and highly leveraged firms being more vulnerable.

• Key Findings:

  • Dollar exchange rate volatility consistently reduces productivity, especially in EMs with weak financial systems and high trade/financial ties to the US.
  • The impact is amplified through trade and financial friction channels, with firms having low liquidity buffers or high leverage experiencing significant delays in investment.
  • Uncertainty-driven effects are stronger through real options channels for firms with irreversible investments, providing persistent delays.
  • Policies such as FX interventions and financial development can offset negative impacts.

• Methods:

  • Uses local projection framework, GARCH models, and instrumental variables based on US monetary policy shocks.
  • Controls for financial crises, uncertainty, and institutional differences.
  • Robustness checks confirm heterogeneity across countries and firms.

• Policy Implications:

  • Exchange rate volatility uncertainty undermines productivity in EMs, requiring policies to enhance financial resilience and manage capital flows.
  • EMs need tailored approaches considering trade-offs in exchange rate regimes (fixed vs. flexible) and interventions to stabilize conditions without losing policy autonomy.