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on International Finance |
| By: | Christian Fons-Rosen (Universitat Pompeu Fabra and Barcelona Graduate School of Economics); Sebnem Kalemli-Ozcan (University of Maryland, CEPR, and NBER); Bent E. Sorensen (University of Houston and CEPR); Carolina Villegas-Sanchez (ESADE - Universitat Ramon Llull); Vadym Volosovych (Erasmus University Rotterdam and ERIM Research Institute of Management) |
| Abstract: | We quantify the causal effect of foreign investment on total factor productivity (TFP) using a new global firm-level database. Our identification strategy relies on exploiting the difference in the amount of foreign investment by financial and industrial investors and simultaneously controlling for unobservable firm and country-sector-year factors. Using our well identified firm level estimates for the direct effect of foreign ownership on acquired firms and for the spillover effects on domestic firms, we calculate the aggregate impact of foreign investment on country-level productivity growth and find it to be very small. |
| Keywords: | Multinationals; FDI; Knowledge Spillovers; Selection; Productivity |
| JEL: | E32 F15 F36 O16 |
| Date: | 2013–04–11 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:uvatin:20130058&r=ifn |
| By: | Richard Fabling; Lynda Sanderson (The Treasury) |
| Abstract: | Using comprehensive, shipment-level merchandise trade data, we examine the extent to which New Zealand exporters maintain stable New Zealand dollar prices by passing on exchange rate changes to foreign customers. We find that the extent to which firms absorb exchange rate fluctuations in the short run is significantly related to both invoice currency choice and exporter characteristics when these are analysed separately. However, when jointly accounted for, the role of exporter characteristics largely disappears. That is, some firm types are more inclined to invoice in the New Zealand dollar, while others use either the importer or a third currency. In the short run, this translates into differences in exchange rate pass through because of price rigidity in the invoice currency. Differences across invoice currencies diminish, but do not disappear, over time as prices adjust to reflect bilateral exchange rate movements. |
| Keywords: | Exchange rate pass-through; Firm performance |
| JEL: | D21 F14 F31 |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:nzt:nztwps:13/03&r=ifn |
| By: | Christian Grisse; Thomas Nitschka |
| Abstract: | We analyse bilateral Swiss franc exchange rate returns in an asset pricing framework to evaluate the Swiss franc's safe haven characteristics. A "safe haven" currency is a currency that offers hedging value against global risk, both on average and in particular in crisis episodes. To explore these issues we estimate the relationship between exchange rate returns and risk factors in augmented UIP regressions, using recently developed econometric methods to account for the possibility that the regression coefficients may be changing over time. Our results highlight that in response to increases in global risk the Swiss franc appreciates against the euro as well as against typical carry trade investment currencies such as the Australian dollar, but depreciates against the US dollar, the Yen and the British pound. Thus, the Swiss franc exhibits safe-haven characteristics against many, but not all other currencies. We find statistically significant time variation in the relationship between Swiss franc returns and risk factors, with this link becoming stronger in times of stress. |
| Keywords: | Exchange rate, monetary policy, risk factors, safe haven, Swiss franc, uncovered interest rate parity |
| JEL: | E32 F44 G15 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:snb:snbwpa:2013-04&r=ifn |
| By: | ITO Takatoshi; KOIBUCHI Satoshi; SATO Kiyotaka; SHIMIZU Junko |
| Abstract: | This paper is the first comprehensive research using a questionnaire survey on the choice of invoicing currency with all Japanese manufacturing firms listed in the Tokyo Stock Exchange. Questionnaires were sent out to 920 Japanese firms in September 2009, and 227 firms responded. We present new firm-level evidence on invoicing currency by the destination and type of trading partners, with a particular emphasis on the difference between arms-length and intra-firm trades. We also conduct cross-section analysis to investigate what determines the invoicing choice of Japanese firms. Our novel findings are as follows. (1) The invoicing choice depends on whether it is an intra-firm trade or an arms-length trade. While yen invoicing tends to be chosen in arms-length trades, there is a strong tendency that invoicing in the importer's currency is used in intra-firm trades, suggesting that the parent firm in Japan assumes and manages the currency risk. In exports to Asian subsidiaries, U.S. dollar invoicing is used. (2) Firm size does matter in the choice of invoice currency. The larger (smaller) the size of the firms, the more likely they are to conduct intra-firm (arms-length, resp.) trades. (3) In terms of the number of Japanese firms, using yen invoicing is more prevalent than U.S. dollar invoicing. However, adjusting for the export value of each firm, the share of U.S. dollar invoicing is on average larger than that of yen invoicing, mainly because Japanese firms with a large volume of exports tend to have a global sales and production network where U.S. dollar invoicing is dominant, especially in the case of "triangular trade." |
| Date: | 2013–04 |
| URL: | http://d.repec.org/n?u=RePEc:eti:dpaper:13034&r=ifn |
| By: | Linda Goldberg, Cedric Tille (IHEID, The Graduate Institute of International and Development Studies, Geneva) |
| Abstract: | We develop a theoretical model of international trade pricing in which individual exporters and importers bargain over the transaction price and exposure to exchange rate uctuations. We nd that the choice of price and invoicing currency reects the full market structure, including the extent of fragmentation and the degree of heterogeneity across importers and across exporters. Our study shows that a party has a higher e¤ective bargaining weight when it is large or more risk tolerant. A higher e¤ective bargaining weight of importers relative to exporters in turn translates into lower import prices and greater exchange rate pass-through into import prices. We show the range of price and invoicing outcomes that arise under alternative market structures. Such structures matter not only for the outcome of speci c exporter-importer transactions, but also for aggregate variables such as the average price, the average choice of invoicing currency, and the correlation between invoicing currency and the size of trade transactions. |
| Keywords: | currency, invoicing, exchange rate |
| Date: | 2013–04–13 |
| URL: | http://d.repec.org/n?u=RePEc:gii:giihei:heidwp09-2013&r=ifn |