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

中国管理科学 ›› 2023, Vol. 31 ›› Issue (6): 12-24.doi: 10.16381/j.cnki.issn1003-207x.2021.0067cstr: 32146.14.j.cnki.issn1003-207x.2021.0067

奈特不确定、汇率波动与外商直接投资

陈强¹, ², 许万紫¹

1.上海财经大学经济学院，上海200433； 2.数理经济学教育部重点实验室，上海200433

收稿日期:2021-01-10 修回日期:2021-07-12 出版日期:2023-06-20 发布日期:2023-06-17
通讯作者: 许万紫(1989-)，男(汉族)，江苏常州人，上海财经大学经济学院，博士研究生，研究方向：数量经济学,Email:xu.wanzi@163.sufe.edu.cn. E-mail:xu.wanzi@163.sufe.edu.cn
基金资助:
教育部人文社会科学基金资助项目(20YJC790013)；中央高校基本科研业务费专项资金资助项目(2023110139)

Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment

CHEN Qiang¹, ², XU Wan-zi¹

1. The School of Economics, Shanghai University of Finance Economics, Shanghai 200433, China;2. Key Laboratory of Mathematical Economics, Ministry of Education, Shanghai 200433, China

Received:2021-01-10 Revised:2021-07-12 Online:2023-06-20 Published:2023-06-17
Contact: 许万紫 E-mail:xu.wanzi@163.sufe.edu.cn

摘要/Abstract

摘要： 针对学术界关于汇率波动如何影响外商直接投资所存在的分歧，尝试给出一种新的解释。通过构建奈特不确定环境下的实物期权投资模型，将汇率不确定性分解成汇率风险(波动)和汇率模糊两个部分，分析汇率风险对跨国企业投资决策的影响，以及汇率模糊在其中的关键作用。并利用2003—2016年的面板数据，就东道国货币的有效汇率不确定性对中国外向FDI区位选择的影响进行实证分析。理论分析表明:汇率模糊对投资的边际作用方向取决于企业的模糊态度。汇率模糊增大会促进模糊偏好企业投资，抑制模糊厌恶企业投资，但是对模糊中性企业的投资没有影响。汇率风险对投资的边际作用方向取决于负向的风险直接效应及其通过模糊传导的间接效应之差。实证分析结果显示:控制汇率模糊之后的汇率风险对中国外向FDI具有负的效应，汇率风险与汇率模糊之间存在显著的正向交互效应。特别地，在汇率风险较大的时候，中国企业表现出较为明显的模糊偏好特征。

关键词: 模糊；汇率；FDI；奈特不确定

Abstract: The previous studies focused on the impacts of exchange rate volatility on foreign direct investment are equivocal. Several studies find the positive impact while the others find the negative impact. There have been some explanations for the contradictory phenomena, such as different industries, different foreign exchange policies or lack of adequate measurement. It attempts to give another reason in this paper which has not been proposed yet.

Key words: ambiguity； exchange rate； FDI； Knight uncertainty

中图分类号:

F224

陈强,许万紫. 奈特不确定、汇率波动与外商直接投资[J]. 中国管理科学, 2023, 31(6): 12-24.

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.

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奈特不确定、汇率波动与外商直接投资

Knight Uncertainty, Exchange Rate Volatility and Foreign Direct Investment

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