SỐ 213 | Tháng 12/2023
Ảnh hưởng của bất định tỷ giá hối đoái đến đầu tư trực tiếp nước ngoài theo phương pháp tiếp cận Bayes
Lê Thông Tiến, Phạm Thị Tuyết Trinh, Nguyễn Minh Sáng
Tóm tắt:
Nghiên cứu kiểm tra ảnh hưởng của bất định tỷ giá hối đoái (TGHĐ) đến đầu tư trực tiếp nước ngoài (FDI) ở nhóm quốc gia theo chế độ tỷ giá neo mềm và nhóm quốc gia theo chế độ tỷ giá thả nổi với bộ dữ liệu bao gồm 114 quốc gia trong giai đoạn 2000 đến 2021 bằng phương pháp Bayes cho mô hình hiệu ứng ngẫu nhiên. Kết quả nghiên cứu cho thấy, ảnh hưởng của bất định TGHĐ đến FDI chủ yếu là cùng chiều với xác suất cao (94%-95%) ở nhóm quốc gia có chế độ tỷ giá neo mềm. Đối với các quốc gia có chế độ tỷ giá thả nổi, ảnh hưởng của bất định TGHĐ đến FDI vẫn là cùng chiều nhưng yếu hơn so với nhóm các quốc gia có chế độ tỷ giá neo mềm với xác suất ảnh hưởng cùng chiều của bất định TGHĐ dao động từ 88% đến 90%. Do đó, lý thuyết về sự Linh hoạt của sản xuất vẫn được ủng hộ mạnh mẽ hơn lý thuyết Lo ngại rủi ro. Sự khác biệt giữa hai chế độ TGHĐ được thể hiện ở mức độ phổ biến của xác suất ảnh hưởng cùng chiều của bất định TGHĐ.
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The Effect of Exchange Rate Volatility on Foreign Direct Investment: The Bayes Approach
Abstract:
This research examined the effect of exchange rate volatility on foreign direct investment in a group of countries with soft pegged exchange rate regimes and a group of countries with floating exchange rate regimes. The study dataset covered 114 countries from 2000 to 2021. Bayesian “random-effects” model were used to estimate the empirical model and perform statistical inferences throughout the research. The impact of exchange rate volatility on foreign direct investment was mainly positive, with a high probability (94%-95%) in the group of countries with soft pegged exchange rate regimes. For countries with floating exchange rate regimes, the impact of exchange rate volatility on foreign direct investment was still positive but weaker than in the group of countries with soft pegged exchange rate regimes. The probability of a positive effect of exchange rate volatility ranged from 88% to 90%. Therefore, the production flexibility is more strongly supported than the risk aversion. The difference between the two exchange rate regimes is shown in the prevalence of the probability of a positive effect of exchange rate volatility.