国际清算银行-汇率对企业绩效的影响_一种更好的方法（英）-2025.5_83页_5mb

Exchange Rate Effects on Firm Performance: Analysis of the NICER Approach

Abstract and Context

• Under the dominant currency paradigm, exchange rate fluctuations primarily affect firms through valuation effects on cash flows rather than expenditure switching.
• Valuation effects arise from currency mismatches in invoicing, leading to significant impacts on firm performance.
• This study uses firm-specific net-invoice-currency-weighted exchange rates (NICER) to quantify these effects in Thailand.

Methodology

• NICER Construction: Develops a new exchange rate index weighted by invoicing currencies (net exports), capturing valuation exposures.
• Data: Utilizes micro-level data from Thailand covering 40,000 firms across multiple datasets (trade, financial, employment).
• Approach: Employs shift-share instrumentation and regression analyses to isolate the valuation channel from expenditure-switching effects.

Key Findings

• Profitability:

  • NICER significantly impacts firm profits, with a 1% dollar appreciation reducing EBIT by 0.19% for exporters (vs. 0.13% for importers).
  • Effects are amplified for non-dollar invoicing currencies and heterogeneously across firm sizes, sectors, and trade dependency.

• Liquidity and Financing:

  • Firms face liquidity constraints following adverse NICER shocks, with large exporters mitigating this through external financing.
  • No significant impact on credit risks, but loan demand increases.

• Real Effects on Investment and Employment:

  • Adverse NICER shocks reduce investment and employment growth in the short term.
  • Effects persist due to slow price adjustment, underlining the valuation channel's importance.

• Heterogeneity:

  • Smaller firms and those with high trade dependency are most affected.
  • FX hedging provides partial relief but does not eliminate valuation exposures.

Conclusion and Implications

• Dominant Channel: Confirms the valuation effect as a key driver of firm performance under dominant currency pricing.
• Policy Relevance: Suggests nuanced FX interventions addressing currency mismatches could enhance welfare, while promoting financial hedging tools.
• Research Importance: Highlights the need for agent heterogeneity in macroeconomic modeling.

Policy Usefulness: This evidence underscores the importance of accounting for valuation effects beyond trade competitiveness in exchange rate analyses.