582
Views
6
CrossRef citations to date
0
Altmetric
Research Article

Spot exchange rate volatility, uncertain policies and export investment decision of firms: a mean-variance decision approach

ORCID Icon, ORCID Icon, ORCID Icon, & ORCID Icon
Pages 752-773 | Received 26 Mar 2020, Accepted 06 Oct 2020, Published online: 11 Nov 2020

References

  • Ackerberg, D. A., K. Caves, and G. Frazer. 2015. “Identification Properties of Recent Production Function Estimators.” Econometrica 83 (6): 2411–2451.
  • Alghalith, M. 2010. “The Interaction Between Food Prices and oil Prices.” Energy Economics 32 (6): 1520–1522.
  • Alghalith, M., C. Niu, and W. K. Wong. 2017. “The Impacts of Joint Energy and Output Prices Uncertainties in a Mean-Variance Framework.” Theoretical Economics Letters 7: 1108–1120.
  • Atkeson, A., and A. T. Burstein. 2010. “Innovation, Firm Dynamics, and International Trade.” Journal of Political Economy 118 (3): 433–484.
  • Balakrishnan, P., M. Parameswaran, K. Pushpangadan, and S. P. Babu. 2006. “Liberalization, Market Power, and Productivity Growth in Indian Industry.” The Journal of Policy Reform 9 (1): 55–73.
  • Beck, T. 2003. “Financial Dependence and International Trade.” Review of International Economics 11: 296–316.
  • Bloom, N. 2009. “The Impact of Uncertainty Shocks.” Econometrica 77 (3): 623–685.
  • Bloom, N., S. Bond, and J. V. Reenen. 2007. “Uncertainty and Investment Dynamics.” Review of Economic Studies 74 (2): 391–415.
  • Blundell, R., and S. Bond. 1998. “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87 (1): 115–143.
  • Bougheas, S., H. Lim, S. Mateut, P. Mizen, and C. Yalcin. 2018. “Foreign Currency Borrowing, Exports and Firm Performance: Evidence from a Currency Crisis.” The European Journal of Finance 24 (17): 1649–1671.
  • Broll, U., and B. Eckwert. 1999. “Exchange Rate Volatility and International Trade.” Southern Economic Journal 66: 178–185.
  • Broll, U., and B. Eckwert. 2009. “Modelling Information and Hedging: The Exporting Firm.” Economic Modelling 26: 974–977.
  • Broll, U., X. Guo, P. Welzel, and K. P. Wong. 2015a. “Exchange Rate Risk and the Impact of Regret on Trade.” Open Economics Review 26 (1): 109–119.
  • Broll, U., X. Guo, P. Welzel, and W.-K. Wong. 2015b. “The Banking Firm and Risk Taking in a two-Moment Decision Model.” Economic Modelling 50: 275–280.
  • Broll, U., and S. Mukherjee. 2017. “International Trade and Firms’ Attitude Towards Risk.” Economic Modelling 64: 69–73.
  • Broll, U., S. Mukherjee, and R. Sensarma. 2020. “Risk Preferences Estimation of Exporting Firms Under Exchange Rate Uncertainty.” Scottish Journal of Political Economy 67: 126–136. doi:10.1111/sjpe.12226.
  • Broll, U., J. E. Wahl, and W.-K. Wong. 2006. “Elasticity of Risk Aversion and International Trade.” Economics Letters 92 (1): 126–130.
  • Broll, U., P. Welzel, and K. P. Wong. 2016. “The Impact of Regret on Exports.” German Economic Review 17: 192–205.
  • Broll, U., and K. P. Wong. 2013. “The Firm Under Uncertainty: Real and Financial Decisions.” Decisions in Economics and Finance 36: 125–136.
  • Carlin, W., and C. Mayer. 2003. “Finance, Investment, and Growth.” Journal of Financial Economics 69 (1): 191–226.
  • Chamberlain, G. 1983. “A Characterization of the Distributions That Imply Mean—Variance Utility Functions.” Journal of Economic Theory 29 (1): 185–201.
  • Cheung, Y. W., and R. Sengupta. 2013. “Impact of Exchange Rate Movements on Exports: An Analysis of Indian non-Financial Sector Firms.” Journal of International Money and Finance 39: 231–245.
  • Cohen, A., and L. Einav. 2007. “Estimating Risk Preferences from Deductible Choice.” The American Economic Review 97: 745–788.
  • Costantini, J., and M. J. Melitz. 2008. “The Dynamics of Firm-Level Adjustment to Trade Liberalization.” In The Organization of Firms in a Global Economy, edited by E. Helpman, D. Marin, and T. Verdier, 107–141. Cambridge: Harvard University Press.
  • Dai, X., and L. Cheng. 2018. “The Impact of Product Innovation on Firm-Level Markup and Productivity: Evidence from China.” Applied Economics 50 (42): 4570–4581.
  • Dalal, A. J., and M. Alghalith. 2009. “Production Decisions Under Joint Price and Production Uncertainty.” European Journal of Operational Research 197 (1): 84–92.
  • Dang, Q. T., P. Jasovska, and H. G. Rammal. 2020. “International Business-Government Relations: The Risk Management Strategies of MNEs in Emerging Economies.” Journal of World Business 55 (1): 101042.
  • Davies, D., C. Eckberg, and A. Marshall. 2006. “The Determinants of Norwegian Exporters’ Foreign Exchange Risk Management.” The European Journal of Finance 12 (3): 217–240.
  • Davis, G. K. 1989. “Income and Substitution Effects for Mean-Preserving Spreads.” International Economic Review 30: 131–136.
  • De Loecker, J., P. K. Goldberg, A. K. Khandelwal, and N. Pavcnik. 2016. “Prices, Markups, and Trade Reform.” Econometrica 84 (2): 445–510.
  • De Loecker, J., and F. Warzynski. 2012. “Markups and Firm-Level Export Status.” American Economic Review 102 (6): 2437–2471.
  • Dhasmana, A. 2015. “Transmission of Real Exchange Rate Changes to the Manufacturing Sector: The Role of Financial Access.” International Economics 143: 48–69.
  • Eeckhoudt, L., C. Gollier, and H. Schlesinger. 1996. “Changes in Background Risk and Risk Taking Behaviour.” Econometrica 64: 683–689.
  • Eichner, T., and A. Wagener. 2003. “Variance Vulnerability, Background Risks, and Mean-Variance Preferences.” The Geneva Papers on Risk and Insurance Theory 28: 173–184.
  • Eichner, T., and A. Wagener. 2004. “Relative Risk Aversion, Relative Prudence and Comparative Statics Under Uncertainty: The Case of -Preferences.” Bulletin of Economic Research 56 (2): 159–170.
  • Eichner, T., and A. Wagener. 2009. “Multiple Risks and Mean-Variance Preferences.” Operations Research 57: 1142–1154.
  • Eichner, T., and A. Wagener. 2012. “Tempering Effects of (Dependent) Background Risks: A Mean-Variance Analysis of Portfolio Selection.” Journal of Mathematical Economics 48: 422–430.
  • Fabling, R., and L. Sanderson. 2013. “Exporting and Firm Performance: Market Entry, Investment and Expansion.” Journal of International Economics 89 (2): 422–431.
  • Ferraris, A. 2014. “Rethinking the Literature on “Multiple Embeddedness” and Subsidiary-Specific Advantages.” Multinational Business Review 22 (1): 15–33.
  • Gollier, C., and J. W. Pratt. 1996. “Risk Vulnerability and the Tempering Effect of Background Risk.” Econometrica 64: 1109–1123.
  • Handley, K., and N. Limão. 2015. “Trade and Investment Under Policy Uncertainty: Theory and Firm Evidence.” American Economic Journal: Economic Policy 7 (4): 189–222.
  • Heckman, J. J. 1979. “Sample Selection Bias as a Specification Error.” Econometrica: Journal of the Econometric Society 47 (1): 153–161.
  • Jory, S. R., T. Mishra, and Thanh Ngo. 2019. “Location-specific Stock Market Index: An Exploration.” European Journal of Finance 25 (4): 305–337.
  • Ju, J., and Shang-Jin Wei. 2005. Endowment Versus Finance: A Wooden Barrel Theory of International Trade. IMF Working Paper No. 5-123.
  • Ju, J., and Shang-Jin Wei. 2011. “When is Quality of Financial System a Source of Comparative Advantage?” Journal of International Economics 84 (2): 178–187.
  • Kawai, M., and I. Zilcha. 1986. “International Trade with Forward-Futures Markets Under Exchange Rate and Price Uncertainty.” Journal of International Economics 20 (1-2): 83–98.
  • Kimball, M. S. 1990. “Precautionary Saving in the Small and in the Large.” Econometrica 58: 53–73.
  • Kimball, M. S. 1993. “Standard Risk Aversion.” Econometrica 61: 589–611.
  • Lajeri-Chaherli, F. 2002. “More on Properness: The Case of Mean-Variance Preferences.” The Geneva Papers on Risk and Insurance Theory 27 (1): 49–60.
  • Lajeri-Chaherli, F. 2005. “Proper and Standard Risk Aversion in two-Moment Decision Models.” Theory and Decision 57: 213–225.
  • Lajeri, F., and L. T. Nielsen. 2000. “Parametric Characterizations of Risk Aversion and Prudence.” Economic Theory 15: 469–476.
  • Levinsohn, J., and A. Petrin. 2003. “Estimating Production Functions Using Inputs to Control for Unobservables.” The Review of Economic Studies 70 (2): 317–341.
  • Luo, Y., and H. Zhang. 2016. “Emerging Market MNEs: Qualitative Review and Theoretical Directions.” Journal of International Management 22 (4): 333–350.
  • Meyer, J. 1987. “Two-moment Decision Models and Expected Utility Maximization.” American Economic Review 77: 421–430.
  • Nakhoda, S. 2018. “The Impact of Long-Term Secured Loans on Exports at the Firm-Level: The Case of a Developing Country.” The Journal of International Trade & Economic Development 27: 565–584.
  • Nanda, S., and A. K. Panda. 2018. “The Determinants of Corporate Profitability: An Investigation of Indian Manufacturing Firms.” International Journal of Emerging Markets 13 (1): 66–86.
  • Owen, J., and R. Rabinovitch. 1983. “On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice.” The Journal of Finance 38 (3): 745–752.
  • Parlapiano, F., V. Alexeev, and M. Dungey. 2017. “Exchange Rate Risk Exposure and the Value of European Firms.” The European Journal of Finance 23 (2): 111–129.
  • Pratt, J., and R. Zeckhauser. 1987. “Proper Risk Aversion.” Econometrica 55 (1): 143–154.
  • Saha, A. 1997. “Risk Preference Estimation in Nonlinear Mean Standard Deviation Approach.” Economic Inquiry 35: 770–782.
  • Saha, A., C. R. Shumway, and H. Talpaz. 1994. “Joint Estimation of Risk Preference Structure and Technology Using Expo-Power Utility.” American Journal of Agricultural Economics 76: 173–184.
  • Schmidt, C. W., and U. Broll. 2009. “Real Exchange-Rate Uncertainty and US Foreign Direct Investment: An Empirical Analysis.” Review of World Economics 145: 513–530.
  • Serra, T., D. Zilberman, B. K. Goodwin, and A. Featherstone. 2006. “Effects of Decoupling on the Mean and Variability of Output.” European Review of Agricultural Economics 33 (3): 269–288.
  • Srinivasan, T. N., and J. Wallack. 2003. “Export Performance and the Real Effective Exchange Rate.” In Reforming India’s External, Financial, and Fiscal Policies, edited by A. O. Krueger and S. Z. Chinoy, 51–56. Stanford: Stanford University Press.
  • Topalova, P., and A. Khandelwal. 2011. “Trade Liberalization and Firm Productivity: The Case of India.” Review of Economics and Statistics 93 (3): 995–1009.
  • Veeramani, C. 2008. “Impact of Exchange Rate Appreciation on India’s Exports.” Economic and Political Weekly 43 (22): 10–14.
  • Viaene, J. M., and I. Zilcha. 1998. “The Behavior of Competitive Exporting Firms Under Multiple Uncertainty.” International Economic Review 39: 591–609.
  • Wagener, A. 2002. “Prudence and Risk Vulnerability in two-Moment Decision Models.” Economics Letters 74: 229–235.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.