紀要論文

Macroeconomic Shocks and Firms’ Overseas Expansion : Evidence from the Factor-Augmented VAR Approach

eng

09111247

https://doi.org/10.15002/00030524

The Institute of Comparative Economic Studies, Hosei University

Journal of International Economic Studies

38

23

34

2024-03

Version of Record

This paper analyzes the effects of macroeconomic variations, such as exchange rate and global GDP, on Japanese firms’ overseas expansion behaviors. Particularly, we examine how macroeconomic shocks affect the number of overseas subsidiaries of individual firms under the framework of the factor-augmented VAR (FAVAR) model. Moreover, we combine the Tobit and FAVAR models to incorporate firms that own no overseas subsidiaries into our empirical analysis. The results can be summarized as follows. First, we show that most firms increase overseas subsidiaries in response to the appreciation of the exchange rate. However, the results of forecast error variance decomposition show that, compared with the exchange rate, global GDP shocks play a more important role in the variation of Japanese firms’ overseas expansion. Additionally, our results indicate that the variation of the exchange rate has only a temporary effect on overseas expansion behaviors.

Article

AA10459262