Firm-specific Exchange Rate Shocks and Employment Adjustment: Theory and Evidence
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1 Firm-specific Exchange Rate Shocks and Employment Adjustment: Theory and Evidence Mi Dai Jianwei Xu Beijing Normal University November 2016 Mi Dai (Beijing Normal University) exchange rate and employment 11/16 1 / 28
2 Introduction In open economies, exchange rates are often considered to be an important shock that affects the labor market. Most previous studies have used industry or country level data to study the impact exchange rates on employment. Revenga (1992), Campa and Goldberg (2001); Klein et al. (2003) Limited evidence on how exchange rate changes induce labor reallocation across firms within an industry. The majority of job reallocation occured within narrowly defined industries. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 2 / 28
3 Introduction We examine how exchange rate shocks induce labor reallocation across firms within an industry. Methodological contribution: effective exchange rates at the firm-level Trade-weighted average of exchange rate changes of firm s all trading partners. Two major benefits: Examine the job reallocations across heterogenous firms along two dimensions: external orientation and trade partner choice. Facilitates the identification of the alternative transmission channels. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 3 / 28
4 Our approach Develop a theoretical model that link firm employment changes to firm-specific effective exchange rate changes and firm s external orientation. Empirically construct firm-specific exchange rate measures exploiting the richness of our data that reports exports by destination and imports by source country for each firm. Disentangle the contribution of external orientation and trade partner choice in intra-industry labor reallocation. Compare the estimated employment impacts of exchange rates using firm-specific, industry-specific and aggregate effective exchange rates. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 4 / 28
5 Major Findings Exchange rate movements induce significant labor reallocation across firms with different degrees of external orientation, and across firms with different trading partners, as predicted by theory. Trading partner distribution is as important as external orientation in explaining firm s heterogeneous employment response to exchange rate movements. Compared with effective exchange rate measures constructed at more aggregate levels, using firm-specific effective exchange rates increases the predicted cross-firm variation of exchange-rate-induced employment changes by around 40%. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 5 / 28
6 Literature Abundant literature on the impact of exchange rate fluctuations on employment. Earlier works: country or industry level. exchange rate variations and net employment: Branson and Love (1986, 1987); Revenga (1992); Burgess and Knetter, (1998); Goldberg and Tracy (2000); Campa and Goldberg (2001) exchange rate variations and gross job flows: Gourinchas (1999); Klein et al. (2003) Investigations at the firm level: Nucci and Pozzolo (2010) (for Italy). Ekholm et al. (2012) (for Norway). Mi Dai (Beijing Normal University) exchange rate and employment 11/16 6 / 28
7 Introduction Theory Empirical Strategy Data Results Further Discussions Mi Dai (Beijing Normal University) exchange rate and employment 11/16 7 / 28
8 Mi Dai (Beijing Normal University) exchange rate and employment 11/16 8 / 28
9 Elasticity of employment to bilateral exchange rate Theorem The elasticity of employment L in to bilateral exchange rate e nk is a function of firm s import intensity from country k (ϕ ink ), the share of exports to country k over its total sales (χ ink ), and the interaction between firm s share of domestic sales over its total sales (χ inn ) and the import penetration ratio of country k (M kn ). ln L in ln e nk = (α ink η IM ink )ϕ ink β ink χ ink γ nk χ inn M kn + λ nk (1) where α ink, β ink, γ nk > 0. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 9 / 28
10 Elasticity of employment to exchange rates ln L in ln e nk = (α ink η IM ink )ϕ ink β ink χ ink γ nk χ inn M kn + λ nk (2) The three terms in Equation (13) reflect different channels transmitting exchange rate shocks to employment. (α ink η IM ink )ϕ ink : the import cost channel. β ink χ ink : the export price channel. γ nk χ inn M kn : the import competition channel. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 10 / 28
11 Mi Dai (Beijing Normal University) exchange rate and employment 11/16 11 / 28
12 Linking employment to firm-specific effective exchange rates ln L in = (α in η IM in )ϕ in IMFEER β in χ in EXFEER γ n (1 χ in ) IMPEER + λ n (3) Links firm-level employment changes to three measures of effective exchange rate shocks using different trade shares as weights: imported-weighted effective exchange rates ( IMFEER). export-weighted effective exchange rates ( EXFEER). import-penetration exchange rates ( IMPEER). The impact of exchange rate changes on employment through the import cost channel, export price channel and the import competition channel. The magnitude of each channel will depend on the external orientation of the firm, ϕ in and χ in. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 12 / 28
13 Introduction Theory Empirical Strategy Data Results Further Discussions Mi Dai (Beijing Normal University) exchange rate and employment 11/16 13 / 28
14 Empirical Strategy An empirical counterpart of Equation (3): ln L it = β 0 + β 1 ϕ i,t 1 IMFEER it + β 2 χ i,t 1 EXFEER it (4) +β 3 (1 χ i,t 1 ) IMPEER jt + ν j + η t + ε it ϕ i,t 1 and χ i,t 1 : firm-level import and export intensity. IMFEER it, EXFEER it : import-weighted and export-weighted effective exchange rate changes (firm-specific). IMPEER jt : import-penetration-weighted effective exchange rate changes ( industry level). η t : year fixed effects. v j : industry fixed effects Mi Dai (Beijing Normal University) exchange rate and employment 11/16 14 / 28
15 Data Firm-level data. Annual Survey of Industrial Firms, collected and maintained by the National Bureau of Statistics of China. includes all State Owned Enterprises (SOE) and those Non-State Owned Enterprises with annual sales of RMB five million (or equivalently, about $850,000) or more. Trade data. transaction-level trade data from China s General Administration of Customs during Covers the universe of China s exporters and importers. Report export and import values at the firm-level by product (HS 8-digit) and by destination or source country. This data set allows us to calculate firm-level exports by destination and imports by source country. Match the two data sets. using firm name, telephone number and zip code. The merged data sets account for 54% of China s total exports and 50% of total imports over this period. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 15 / 28
16 Variable Construction Export-weighted and import-weighted effective exchange rates at the firm level: EXFEER it = k IMFEER it = k (EX ik,t 1 / EX ik,t 1 ) ln e kt (5) k (IM ik,t 1 / IM ik,t 1 ) ln e kt (6) change of import-penetration weighted effective exchange rate at the industry level. k IMPEER jt = k ( IM jk,t 1 ) ln e kt (7) DOMSALE jt 1 + IM jk,t 1 k Mi Dai (Beijing Normal University) exchange rate and employment 11/16 16 / 28
17 Variable Construction We also construct firm-level export and import intensity χ i,t 1 = ϕ i,t 1 = EX ik,t 1 k (8) SALES i,t 1 IM ik,t 1 k (9) SALES i,t 1 Mi Dai (Beijing Normal University) exchange rate and employment 11/16 17 / 28
18 Export exchange rate exposure export exchange rate exposure, firm level aggregate level industry level Mi Dai (Beijing Normal University) exchange rate and employment 11/16 18 / 28
19 Import exchange rate exposure import exchange rate exposure, firm level aggregate level industry level Mi Dai (Beijing Normal University) exchange rate and employment 11/16 19 / 28
20 Introduction Theory Empirical Strategy Data Results Further Discussions Mi Dai (Beijing Normal University) exchange rate and employment 11/16 20 / 28
21 Baseline results Dep variable: ln L it (1) (2) (3) (4) ϕ i,t 1 IMFEER it 0.213*** 0.269*** 0.212*** 0.266*** (0.045) (0.047) (0.045) (0.047) χ i,t 1 EXFEER it *** *** *** *** (0.034) (0.035) (0.035) (0.035) (1 χ i,t 1 ) IMPEER jt (0.093) (0.126) Industry FE Yes No Yes No Year FE Yes No Yes No Industry-year FE No Yes No Yes Observations 149, , , ,224 R-squared Mi Dai (Beijing Normal University) exchange rate and employment 11/16 21 / 28
22 Impact on labor reallocation What do these estimates imply about the impact of exchange rates on labor-reallocation? Calculate the fitted value of employment growth for each firm and year as follows: ln L it = β 1 ϕ i,t 1 IMFEER it + β 2 χ i,t 1 EXFEER it + β 3 (1 χ i,t 1 ) IMPEER jt (10) Examine how the predicted employment growth vary with export and import intensity major trading partner Mi Dai (Beijing Normal University) exchange rate and employment 11/16 22 / 28
23 Impact on labor reallocation ln L it (%) by export & import intensity, 2006 exp./imp. low medium high low medium high ln L it (%) by major export destination & import source, 2006 destination./source Japan United States Euro zone Korea Japan United States Euro zone Korea Mi Dai (Beijing Normal University) exchange rate and employment 11/16 23 / 28
24 Contribution of external orientation v.s. trade partner choice Measure intra-industry labor reallocation by the standard deviation of ln L it. Shut down the cross-firm variation of external variation or FEER. Fix export and import intensity at industry median Fix FEER at industry median Trade partner choice explains around 48% of the total variation of ln L it within an industry. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 24 / 28
25 Robustness Checks Alternative weighing Additional controls Lagged effects Subsample Add labor adjustment cost Mi Dai (Beijing Normal University) exchange rate and employment 11/16 25 / 28
26 Comparison with aggregate-level EER (1) (2) (3) (4) Dep variable: lnl it industry industry agg. agg. REER REER REER REER ϕ i,t 1 Industry_IMEER jt * (0.058) (0.062) χ i,t 1 Industry_EXEER jt *** *** (0.045) (0.047) ϕ i,t 1 Aggregate_EER t ** (0.140) (0.147) χ i,t 1 Aggregate_EER t *** *** (0.107) (0.111) (1 χ i,t 1 ) IMPEER jt (0.093) (0.126) (0.093) (0.126) Industry FE Yes No Yes No Year FE Yes No Yes No Industry-year FE No Yes No Yes Observations 142, , , ,002 Mi Dai (Beijing Normal University) exchange rate and employment 11/16 26 / 28
27 Comparison with aggregate-level EER Compare predicted labor-reallocation using different EER measures. (1) (2) (3) REER measures: firm REER industry REER aggregate REER year average Using FEER increases the predicted labor-reallocation by 40%. Exchange rate shocks contribute to around 2.6% of the actual intra-industry labor reallocation. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 27 / 28
28 Conclusion Investigate the impact of exchange rate shocks on intra-industry labor reallocation. Reallocation long two dimensions External orientation Trading partner distribution Trading partner distribution is as important as external orientation. Using FEER substantially increases the predicted variation of exchange-rate -incuded employment changes. Mi Dai (Beijing Normal University) exchange rate and employment 11/16 28 / 28
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