Yushi Yoshida Faculty of Economics Kyushu Sangyo University Foreign Direct Investment and Exchange Rate Pass-through: Access to Foreign Markets Yushi Yoshida Faculty of Economics Kyushu Sangyo University

Foreign Direct Investment and Exchange Rate Pass-through 概要 海外直接投資が為替レートパススルーに与える影響の分析 理論的背景 1)Appendix, 2)Yoshida(1999) 実証分析：日本の電気機器・電子部品のデータからは、理論と整合的な影響があることが確認された。 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through パススルーの概念と応用 パススルー ＝１，　 complete 為替レートの変動が全て輸出価格に反映される ＝０， 輸出価格は一定 インフレショーン 貿易収支調整 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 海外直接投資の現状 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 海外直接投資の概観 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

independent local distributor with home production return DF MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

流通拠点： subsidiary distributor with home production return DF MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

生産拠点(代替的)： independent distributor with multinational production return DF MJ MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 生産拠点(補完的) : independent local distributor with multinational production return DF MJ MF MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

3) subsidiary distributor with multinational production ＦＤＩ return 海外直接投資 (生産拠点＋流通拠点) DF MJ MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 海外直接投資とパススルー　　 生産目的 substitution effect（代替的効果） － 完成品（輸出品と競合する） complimentary effect（補完的効果） ＋? 部品 流通目的 Power-shift effect － Elimination effect ＋ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Substitution Effect (生産拠点) 図 帰無仮説：パススルーは低くなる 実証研究　Gron and Swenson (1996) AER モデル (worked out but not in the paper) Assumptions linear　demand increasing　MC (quadratic form) Note: constant MC with minimum production Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Complimentary Effect (生産拠点) 図 帰無仮説：パススルーは高くなる(可能性がある） モデル　Yoshida (1999) Note：　Yoshida(1999)のTable2は川下企業の費用を考慮すると完全には成立しない。 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 流通拠点の海外子会社設立 垂直統合した後のパススルーの方が大きくなる Yoshida (1999) Assumptions 輸出企業は独占企業として、海外流通会社に販売する “Chain of monopolies” Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

垂直的統合前: α＝１ Chain of Monopolies return DF (0) (1) MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 垂直的統合前: α＝0 Monopsony return DF (１) (0) MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 垂直的統合前: 0<α<１ Intermediate case return DF (１－α) (α) MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

DF DF MJ Power-shift Effect and Elimination Effect return 目的関数 統合企業 Elimｉnation 輸出企業の利潤 DF (1) (0) Power-shift DF (α) (１－α) MJ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Elimination Effect 帰無仮説：パススルーは高くなる モデル　Yoshida (1999) Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Power-shift Effect 帰無仮説：パススルーは低くなる モデル　Appendix Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 海外直接投資　　概念図 生産目的 substitute effect（代替的効果） － 完成品（輸出品と競合する） compliment effect（補完的効果） ＋ 部品 流通目的 Power-shift effect － Elimination effect ＋ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Data Source サンプル期間：１９８８－１９９８（年次） 為替レート International Financial Statistics, IMF 輸出価格 日本貿易月表(9桁分類) FDI 海外進出企業総覧 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through 貿易財のサンプル 電気機器・電子部品産業 ビデオ機器(852110000) 1970億円 IC部品(854290000) 2730億円 コピー機器(900912000) 3900億円 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through FDI変数 ＦＤＩＩＮＤＳ 電気機器・電子部品産業全体 貿易財レベル ＦＤＩＤＥＡＬ１ (0，1)データ全期間　　　　　 ＦＤＩＤＥＡＬ２ 1　ｉｆ　1企業以上 ＦＤＩＤＥＡＬ３ 企業数 ＦＤＩＰＬＡＮＴ１ ＦＤＩＰＬＡＮＴ２ ＦＤＩＰＬＡＮＴ３ 構造変化 浸透度 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through パススルー推定式 Two-way fixed effect パネル分析 αi country　fixed　effect 国別の価格差(品質の差) λt time　fixed　effect 生産性・限界費用の変化 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through FDI係数の「期待される符合」 ＦＤＩＤＥＡＬ２ （1　ｉｆ　1企業以上） Power-shift － ＦＤＩＤＥＡＬ３ （企業数） elimination ＋ ＦＤＩＰＬＡＮＴ２ ＦＤＩＰＬＡＮＴ３ 　－　　substitution 　＋　　complement Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through － ＋ － Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through － ＋ － Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through － ＋ ？ Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Summary of Conclusions(1) パススルーの推定式において、ＦＤＩデータは有意な変数である。 ａ）ＦＤＩの目的を考慮する必要がある 生産か流通か ｂ）ＦＤＩが存在するか、しないかの区別が重要である。 構造の変化 ｃ）ＦＤＩの大きさ（件数）も重要である。 浸透度の変化 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Summary of Conclusions(2) ＰＴＭ効果を説明するのに、ＦＤＩが重要である。 二国間の統合度により、為替レートによる貿易財価格の影響が異なって表れる Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Summary of Conclusions(3) 貿易収支の調整は、貿易相手国とのＦＤＩによって影響をうける。 応用： 通貨危機の発生と密接に関係のある貿易赤字の調整 Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through

Foreign Direct Investment and Exchange Rate Pass-through End of presentation Feb17, 2001 Foreign Direct Investment and Exchange Rate Pass-through