全球智库信息集成服务系统(G2TT): DP15948 Exchange Rate Fluctuations and Firm Leverage

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP15948
	DP15948 Exchange Rate Fluctuations and Firm Leverage
	Sebnem Kalemli-Ozcan; Xiaoxi Liu; Ilhyock Shim
发表日期	2021-03-21
出版年	2021
语种	英语
摘要	We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency debt. These firms can borrow more as a result and increase their leverage. When home currency depreciates, the reverse happens as firms have to de-lever with a negative shock to their balance sheets. Using firm-level data for leverage from 10 emerging market economies during the period from 2002 to 2015, we show that firms operating in countries whose non-financial sectors hold more of the debt in foreign currency, increase (decrease) their leverage relatively more after home currency appreciations (depreciations). Combining the leverage data with firm-level FX debt data for 4 emerging market countries, we further show that our results hold at the most granular level. Our quantitative results are asymmetric: the effects of depre-ciations, that are generally associated with sudden stops, are quantitatively larger than those of appreciations, which take place at a slower pace over time during capital inflow episodes. As our exercise compares depreciations and appreciations of similar size, these results are suggestive of financial frictions being more binding during depreciations than a possible relaxation of such frictions during appreciations.
主题	International Macroeconomics and Finance
URL	https://cepr.org/publications/dp15948
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/544938
推荐引用方式 GB/T 7714	Sebnem Kalemli-Ozcan,Xiaoxi Liu,Ilhyock Shim. DP15948 Exchange Rate Fluctuations and Firm Leverage. 2021.