| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12654 |
| DP12654 Exchange Rate Exposure and Firm Dynamics | |
| Liliana Varela; Juliana Salomao | |
| 发表日期 | 2018-01-25 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper develops a heterogeneous firm-dynamics model to jointly study firms' currency debt composition and investment choices. In our model, foreign currency borrowing arises from a dynamic trade-off between exposure to currency risk and growth. The model endogenously generates selection of productive firms into foreign currency borrowing. Among them, firms with high marginal product of capital use foreign loans more intensively. We assess econometrically the model's predicted pattern of foreign currency borrowing using firm-level census data from the deregulation of these loans in Hungary, calibrate the model and quantify the aggregate impact of this financing. Our counterfactual exercises show that understanding the characteristics of firms borrowing in foreign currency is critical to assess the aggregate consequences of this financing. |
| 主题 | International Macroeconomics and Finance ; Macroeconomics and Growth |
| 关键词 | Firm dynamics Foreign currency debt Currency mismatch Uncovered interest rate parity |
| URL | https://cepr.org/publications/dp12654-2 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541465 |
| 推荐引用方式 GB/T 7714 | Liliana Varela,Juliana Salomao. DP12654 Exchange Rate Exposure and Firm Dynamics. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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