【摘要】 美元在国际货币和金融体系中发挥着主导作用，其价值变动会通过全球金融市场对跨境美元信贷和实体经济发展产生重要影响。本文基于2000—2019年全球非金融上市公司数据，实证研究了美元汇率对企业投资的影响及其传导机制。结果表明：美元名义有效汇率升值通过金融渠道抑制企业投资，通过贸易渠道促进企业投资，总体来看金融渠道占主导位置。相较于发达经济体，新兴经济体企业投资受美元升值的抑制作用更为显著；金融危机事件会放大美元升值对投资的抑制作用；提高金融发展水平、加强外汇市场干预和宏观审慎监管，有助于缓解美元升值的负向影响。本文揭示了美元汇率作为全球流动性重要指标，其价值变动通过金融市场对全球经济增长的负面影响及其可能带来的潜在风险，这对我国防范外部风险冲击、完善宏观经济调控和推动经济高质量发展具有重要的政策启示。更多还原

【Abstract】 The US dollar plays a key role in the international monetary and financial system. The dollar exchange rate has important impact on cross-border capital flows denominated in USD and the real economic growth through global financial markets. The dollar appreciation cycle is often accompanied with a decline in real GDP growth in emerging economies. As more and more countries open up their capital accounts, it’s important to cope with external risk shocks and build up a feasible regulatory system to reduce the negative impact of US dollar exchange rate on macroeconomic development and individual behaviors at the micro level.This paper focus on how the US dollar exchange rate affects corporate investment. Exchange rate fluctuations can affect investment activity through both the trade channel and the financial channel. The traditional trade channel operates through net exports. Specifically, dollar appreciation means the relative depreciation of the local currency, which will improve the export competitiveness of domestic products. Firms are motivated to increase investment by increased export revenue and cash flows. By contrast, the financial channel operates through exchange rate fluctuations which trigger valuation changes, balance-sheet adjustments and shifts in risk-taking. Global financial risk and investment uncertainty increase when the US dollar appreciates. Internal risk control and external regulatory constraints limit the lending ability of global banks. Specifically, firms which borrowed in dollars to finance domestic real assets will suffer from the balance sheet effect and valuation mismatch when the US dollar appreciates. From the standpoint of creditors, the weaker credit position of borrowers increases tail risk in the credit portfolio, and reduce their global cross-border bank lending supply. Because of the reduction in global credit supply and increased financing costs, available cash flow for investment declines and investment activities are restrained. So the US dollar exchange rate affects corporate investment through two opposing channels.Using data of non-financial firms from 2000 to 2019, this paper empirically explores how the US dollar’s nominal effective exchange rates affect corporate investment. The results show that dollar appreciation significantly depresses corporate investment through the financial channel and encourages investment through the traditional trade channel. But the financial channel dominates. Compared with the bilateral exchange rate and the euro exchange rate, the US dollar exchange rate shows the particularity as a barometer of global liquidity. Bilateral exchange rate operates mainly through the trade channel while the dollar’s nominal effective exchange rate operates through the financial channel. What’s more, it shows a more significant effect on emerging economies than on developed economies. The 2008 global financial crisis further amplified such negative effect. The relationship between the US dollar exchange rate and corporate investment was not significant until the outbreak of the 2008 financial crisis. Domestic financial development, central banks’ foreign exchange intervention and macro-prudential policy can help alleviate such negative impact.This paper contributes to existing literature by revealing that the US dollar exchange rate is a barometer of global credit supply and provides evidence at the firm level of how its exchange rate affect the growth and stability of real economy through global financial market. What is more, we compare and analyze the different impacts of the bilateral exchange rate against the US dollar. The reverse causality problem is relatively smaller for the dollar index. Our cross-border firm-level panel data further confirms the conclusion of existing literature about the negative spillover effect of the US dollar, which is mainly drawn based on data analysis of macroeconomy. We conduct empirical research on different financial indicators and different time periods. Such heterogeneity analysis helps us better understand how the dollar exchange rate exerts its effects and provides more detailed policy recommendations for dealing with the spillover effects.The findings of this paper have important implications for emerging economies to prevent external risk shocks, enhance macroeconomic regulation, and achieve high-quality economic development. Firstly countries should pay special attention to the financial channel of the US dollar and strengthen forwarding-looking guidance of foreign exchange market. When dollar fluctuation significantly increases domestic financial risks or undermines the central bank’s ability to stabilize prices, macro-prudential policy or foreign exchange intervention can be used. Secondly, to reduce the negative spillover effects of the US dollar cycle, it’s necessary to establish a more feasible and balanced international monetary system. Thirdly, emerging market economies should strengthen the macroeconomic fundamentals and provide sufficient foreign exchange hedging derivatives. Last but not least, firms should rationally structure their debt and improve profitability by endogenous growth to reduce dependence on external financing such as US dollar loans.Further research can examine the financial channel at the macro level, and the “triangular” relationship between US dollar, cross border capital flows and real investment. Or we can explore the US dollar exchange rate on other economic variables such as corporate leverage and corporate innovation. In-depth research based on firms’ foreign debt data is also worth considering.更多还原