Exchange Rate Risk as an Obstacle to Export Activity

• Autorzy: Michał Brzozowski , Grzegorz Tchorek

Warianty tytułu

Ryzyko kursowe jako przeszkoda w działalności eksportowej. Wnioski z Polski

• Języki publikacji: EN

Abstrakty

Głównym celem artykułu jest określenie czynników determinujących podatność polskich firm przemysłu przetwórczego na ryzyko kursowe. W celu weryfikacji przyjętych założeń korzystamy z unikalnej bazy danych przedsiębiorstw do oceny wewnętrznych i zewnętrznych czynników wpływających na postrzegane ryzyko kursowe. Nasze obserwacje potwierdzają znaczenie ryzyka kursowego jako jednej z przeszkód w przypadku rozpoczynania i prowadzenia działalności eksportowej, a także jej rozszerzania na nowe rynki. Firmy doświadczające trudności w dostępie do finansowania, korzystające z finansowania za granicą, firmy, które doświadczają dewaluacji kursu negatywnie wpływającego na ich bilans finansowy, firmy innowacyjne i te, które importują, w większym stopniu odczuwają ryzyko kursowe. Jednocześnie firmy mające zagranicznego udziałowca, firmy z większym udziałem należności nominowanych w euro, fakturujące eksport w złotych, firmy konkurujące jakością produktu oraz poprzez kanały dystrybucji oraz te, które rozważają rozszerzenie działalności po wprowadzeniu euro, nie są tak wrażliwe na ryzyko wahań kursu. Podkreślając znaczenie ryzyka kursowego jako istotnego kosztu w działalności eksportowej przedsiębiorstw, formułujemy sugestie związane z zarządzaniem ryzykiem kursowym na poziomie mikro i makroekonomicznym. (abstrakt oryginalny)

EN

The focus of the paper is on identifying major factors that can determine the vulnerability of Polish manufacturing companies to exchange rate risk. In order to verify our hypotheses, we have estimated logistic regression models based on a unique database to assess internal and external factors that make companies vulnerable to exchange rate risk. Our observations confirm the importance of exchange rate variability as one of the obstacles to starting and conducting export activity as well as expanding it to new markets. We have found that exchange rate risk is particularly severe for companies that are financially constrained and get financing abroad as well as those whose balance sheets are negatively affected by devaluation. Also vulnerable are innovative firms and those that rely more on input imports. Exchange rate volatility appears to be less of a concern for foreign-owned companies and enterprises that have higher shares of euro-denominated receivables and invoice exports in the Polish zloty. Companies competing by means of product quality and distribution channels are also among those less vulnerable to exchange rate risk. Generally, we have confirmed the problem of exchange rate risk as an important cost to export activity. This gives some implications for exchange rate risk management at both the macroeconomic and microeconomic levels as well as for monetary integration. (original abstract)

Słowa kluczowe

PL

Kurs walutowy; Ryzyko kursowe; Eksport

EN

Exchange rates; Exchange risk; Export

• Czasopismo: Gospodarka Narodowa
• Rocznik: 2017
• Numer: nr 3
• Strony: 115-141

Twórcy

autor

Michał Brzozowski

• Uniwersytet Warszawski

autor

Grzegorz Tchorek

• Uniwersytet Warszawski

Bibliografia

• Aghion P., Bacchetta P., Ranciere R., Rogoff K. [2006], Exchange rate volatility and productivity growth: the role of financial development, NBER Working Paper, no. 12117.
• Albinowski M., Hagemejer J., Lovo S., Valera G. [2015], Sustaining micro competitiveness to ensure convergence and macro resilience of the Polish economy, MF Working Paper Series, no. 21.
• Altomonte C., Aquilante T. [2012], The EU-EFIGE/Bruegel-UniCredit Dataset, Bruegel Working Paper, no. 13.
• Altomonte C., Aquilante T., Ottaviano G. I. P [2012], The trigger of competitiveness - the EFIGE cross country report, Bruegel Blueprint Series, vol. XVII.
• Archer K. J., Lemeshow S. [2006], Goodness-of-fit test for logistic regression model fitted using sample data, "The Stata Journal", no. 6 (1): 97-105.
• Auboin M., Ruta M. [2013], The relationship between exchange rates and international trade: a literature review, "World Trade Review", no. 12 (3): 577-605.
• Baldwin R., Di Nino V., Fontagne L., De Santis R., Taglioni D. [2008], Study on the impact of the euro on trade and foreign direct investment, European Economy, Economic Papers, no. 321.
• Belke A. H., Goecke M., Guenther M. [2009], When does it hurt? The exchange rate "pain threshold" for German exports, RUHR Economic Papers, no. 148.
• Benkovskis K., Wörz J. [2014], What drives the market share changes? Price versus non-price factors, ECB Working Paper Series, no. 1640.
• Binder D. A. [1983], On the variances of asymptotically normal estimators from complex surveys, "International Statistical Review", no. 51: 279-292.
• Cieślik A., Michałek J. J., Michałek A., Mycielski J. [2015], Determinants of export performance: comparison of Central European and Baltic firms, "Czech Journal of Economics and Finance", no. 65 (3): 211-229.
• Colacelli M. [2008], Export responses to real exchange rate fluctuations: development status and exported good effects, Columbia University, New York.
• De Grauwe P. [1988], Exchange rate variability and the slowdown in the growth of international trade, "IMF Staff Papers", no. 35.
• De Grauwe P., Mongelli F. [2005], Endogeneities of optimum currency areas. What brings countries sharing a single currency closer together? ECB Working Paper Series, no. 468.
• Dell'Ariccia G. [1999], Exchange rate fluctuations and trade flows: evidence from the European Union, "IMF Economic Review", no. 46 (3): 315-334.
• de Nardis S., De Santis R., Vicarelli C. [2008], The single currency's effects on eurozone sectoral trade: winners and losers? "Economics: The Open-Access, Open-Assessment E-Journal", vol. 2, 1-34.
• Döhring B. [2008], Hedging and invoicing strategies to reduce exchange rate exposure: a euroarea perspective, 'European Commission, Economic Papers', no. 299, January.
• Eichengreen B., Hausmann R., Panizza U. [2003], Currency mismatches, debt intolerance and original sin: why they are not the same and why it matters, NBER Working Paper, no. 10036.
• Endrész M., Harasztosi P. [2014], Corporate foreign currency borrowing and investment: the case of Hungary, "Emerging Markets Review", vol. 21: 265-287.
• Fang W., Lai Y., Miller S. M. [2009], Does exchange rate risk affect exports asymmetrically? Asian evidence, "Journal of International Money and Finance", no. 28 (2): 215-239.
• Golovko E., Valentini F. [2011], Exploring the complementarity between innovation and export for SMEs' growth, "Journal of International Business Studies", no. 42 (3): 362-380.
• Gorodnichenko Y., Svejnar J., Terrell K. [2014], When does FDI have positive spillovers? Evidence from 17 transition market economies, "Journal of Comparative Economics", no. 42 (4): 954-969.
• Gorynia M., Jankowska B. (eds.) [2011], Wejście Polski do strefy euro a międzynarodowa konkurencyjność i internacjonalizacja polskich przedsiębiorstw, Difin, Warsaw.
• Grier K. B., Smallwood A. D. [2007], Uncertainty and export performance: evidence from 18 countries, "Journal of Money, Credit and Banking", no. 39 (4): 965-979.
• Guerron-Quintana P. [2012], Risk and uncertainty, "Business Review", no. 9 (1).
• Hall S., Hondroyiannis G., Swamy P. A. V. B., Tavlas G., Ulan M. [2010], Exchange-rate volatility and export performance: do emerging market economies resemble industrial countries or other developing countries? "Economic Modelling", no. 27: 1514-1521.
• Havránek T. [2010], Rose effect and the euro: is the magic gone? "Review of World Economics", vol. 146, no. 2: 241-261.
• Héricourt J., Poncet S. [2015], Exchange rate volatility, financial constraints and trade: empirical evidence from Chinese firms, "World Bank Economic Review", no. 29 (3): 550-578.
• Héricourt J., Nedoncelle C. [2015], Relative real exchange-rate volatility, multi-destination firms and trade: micro evidence and aggregate implications, CEPII Working Paper, no. 3.
• Herwartz H. [2003], On the (nonlinear) relationship between exchange rate uncertainty and trade - an investigation of US trade figures in the Group of Seven, "Review of World Economics", no. 139 (4): 650-682.
• Huchet-Bourdon M., Korinek J. [2011], To what extent do exchange rates and their volatility affect trade? "OECD Trade Policy Papers", no. 119, OECD Publishing.
• Kahiya E. T. [2013], Export barriers and path to internationalization: a comparison of conventional enterprises and international new ventures, "Journal of International Entrepreneurship", no. 11: 3-29.
• Kamps A. [2006], The euro as invoicing currency in international trade, ECB Working Paper, no. 665.
• Knight F. H. [1921], Risk, uncertainty, and profit, Houghton Mifflin, Boston.
• Kolasa M., Rubaszek M., Taglioni D. [2010], Firms in the great global recession: the role of foreign ownership and financial dependence, "Emerging Markets Review", no. 11 (4): 341-357.
• Lengnick-Hall C. A., Tammy E. B., Lengnick-Hall M. L. [2011], Developing a capacity for organizational resilience through strategic human resource management, "Human Resource Management Review", no. 21 (3): 243-255.
• López R. A., Nguyen H. D. [2013], Real exchange rate volatility and imports of Intermediate inputs: a microeconometric analysis of manufacturing plants, "Review of International Economics", vol. 23, iss. 5: 972-995.
• Mahagaonkar P., Schweickert R., Chavali A. S. [2009], Sectoral R&D intensity and exchange rate volatility: a panel study for OECD countries, Kiel Institute for the World Economy, Working Paper, no. 1531.
• Marczewski K. [2002], Zmiany kursu walutowego a ceny i reakcje przedsiębiorstw w handlu zagranicznym, Instytut Koniunktur i Cen Handlu Zagranicznego.
• Martin S. [1989], Industrial economics, Maxwell Macmillan, New York: 64-67.
• Melitz M. J. [2003], The impact of trade on intra-industry reallocations and aggregate industry, productivity, "Econometrica", no. 71: 1695-1725.
• Moïse E., Le Bris F. [2013], Trade costs: what have we learned? A synthesis report, "OECD Trade Policy Paper", no. 150.
• Monerris J. J. S., Colonques R. M., Urbano A. [2000], Product quality and distribution channels, Working Papers, Serie AD, Instituto Valenciano de Investigaciones Económicas, S. A.
• Mukherjee D., Pozo S. [2011], Exchange-rate volatility and trade: a semiparametric approach, "Applied Economics", no. 43: 1617-1627.
• Navaretti B., Bugamelli G. M., Schivardi F., Altomonte C., Horgos D., Maggioni D. [2010], The global operations of European firms, Bruegel Blueprint Series, vol. 12.
• NBP [2017], Szybki monitoring NBP. Informacja o kondycji sektora przedsiębiorstw ze szczególnym uwzględnieniem stanu koniunktury w IV kw. 2016 r. oraz prognoz na I kw. 2017 r.
• Papaioannou M. G. [2006], Exchange rate risk measurement and management: issues and approaches for firms, "South-Eastern Europe Journal of Economics", vol. 2: 129-146.
• Parteka A. [2013], The evolving structure of Polish exports (1994-2010) - diversification of products and trade partners, "Bank i Kredyt", no. 44 (5).
• Postek L., Tchorek G., Tymoczko I. D. [2015], Perspektywy przyjęcia euro według polskich przedsiębiorstw niefinansowych, "Bank i Kredyt", no. 46 (2): 129-164.
• Rodrik D. [2008], The real exchange rate and economic growth, "Brookings Papers on Economic Activity", vol. 39, iss. 2, Fall: 365-412.
• Rose A. K. [2000], One money, one market: estimating the effect of common currencies on trade, "Economic Policy", no. 30: 9-45.
• Rossi B. [2013], Exchange rate predictability, "Journal of Economic Literature", vol. 51, no. 4: 1063-1119.
• Russ K. N. [2007], The endogeneity of the exchange rate as a determinant of FDI: a model of entry and multinational firms, "Journal of International Economics", vol. 71, iss. 2, April: 344-372.
• Simakova J., Stavarek D. [2014], Exchange-rate impact on the industry-level trade flows in the Czech Republic, "Procedia Economics and Finance", vol. 1: 679-686.
• Taglioni D. [2002], Exchange rate volatility as a barrier to trade: new methodologies and recent evidence, "Economie Internationale", no. 89-90: 227-259.
• Tchorek G. [2015], Wpływ wprowadzenia euro na eksport - perspektywa mikroekonomiczna, in: Gospodarka na rozdrożu XXI w., ed. A. Nowak, Wydawnictwo Naukowe Wydziału Zarządzania UW: 135-147.
• Zhang Y., Chang H. S., Gauger J. [2006], The threshold effect of exchange rate volatility on trade volume: evidence from G-7 countries, "International Economic Journal", no. 20 (4): 461-476.