G2TT
来源类型Discussion paper
规范类型论文
来源IDDP14419
DP14419 Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities
Leonardo Gambacorta; Sergio Mayordomo; Jose-Maria Serena Garralda
发表日期2020-02-18
出版年2020
语种英语
摘要We explore the link between firms’ dollar bond borrowing and their FX-hedged funding opportunities, as reflected in a positive corporate basis (the relative cost of local to synthetic currency borrowing). Consistent with previous research, we first document that firms substitute domestic for dollar borrowing when they have higher dollar revenues or long-term assets and when the corporate basis widens. Importantly, our novel firm-level dataset enables to show that when these funding opportunities appear, the currency substitution is stronger for high-grade firms, as they can offer to investors close substitutes for safe dollar assets. However, firms with higher dollar revenues or long-term assets do not react to changes in the corporate basis. Altogether, the composition of dollar borrowers shifts when the basis widens, as high-grade firms gain importance, relative to firms with operational needs.
主题Financial Economics
关键词Covered interest rate parity Credit spread Debt issuance Dollar convenience yield Foreign exchange rate hedge Limits of arbitrage
URLhttps://cepr.org/publications/dp14419
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/543313
推荐引用方式
GB/T 7714
Leonardo Gambacorta,Sergio Mayordomo,Jose-Maria Serena Garralda. DP14419 Dollar borrowing, firm-characteristics, and FX-hedged funding opportunities. 2020.
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