Exchange Rate Risk Analysis Based on Firm Data: A Global Value Chain Perspective

Table 6

Heterogeneity analysis of GVC and exchange rate risk.

	Small size	Large size	Low income	High income	Foreign	Nonforeign
RER	0.031	0.427	0.078	0.485	0.02	0.373
	(0.125)	(1.969)	(0.334)	(2.102)	(0.027)	(2.174)
FRER	−0.048	−0.125	−0.022	−0.120	−0.531	−0.079
	(−1.168)	(−2.372)	(−0.560)	(−2.129)	(−3.112)	(−2.318)
BRER	−0.012	−0.061	−0.011	−0.079	−0.132	−0.042
	(−0.339)	(−2.127)	(−0.429)	(−2.127)	(−1.318)	(−1.883)
TFPRER	−0.017	−0.038	−0.021	−0.054	0.046	−0.030
	(−0.834)	(−1.657)	(−1.095)	(−2.262)	(0.831)	(−1.815)
F	−0.244	−0.035	−0.148	−0.031	−1.366	−0.066
	(−1.276)	(−0.187)	(−1.015)	(−0.161)	(−1.876)	(−0.494)
B	−0.22	0.307	0.252	0.299	0.644	0.209
	(−0.723)	(0.863)	(0.751)	(1.012)	(0.636)	(0.787)
TFP	0.118	−0.044	0.105	0.052	0.252	0.042
	(1.236)	(−0.377)	(1.119)	(0.575)	(1.469)	(0.537)
profitr	0.413	0.379	0.275	0.448	−0.099	0.401
	(3.298)	(3.345)	(2.080)	(4.339)	(−0.159)	(4.668)
R&D	0.043	0.021	0.017	0.034	−0.025	0.027
	(2.524)	(1.388)	(1.168)	(2.413)	(−0.366)	(2.452)
N	48,079	77,061	47,743	75,806	4,193	121,038
R^2	0.3478	0.347	0.4308	0.427	0.4136	0.379

Note: the t-statistic value of the variable is in parenthesis. , , and .