Exchange Rate Risk Management : Evidence from East Asia

Allayannis, George ; Brown, Gregory W. ; Klapper, Leora

World Bank, Washington, DC

关键词: BALANCE SHEET;    BANK OF THAILAND;    BONDS;    BORROWING;    CAPITAL EXPENDITURES;   

DOI  :  10.1596/1813-9450-2606
RP-ID  :  WPS2606

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

The recent East Asian financial crisisprovides a natural experiment for investigating foreignexchange risk management by nonfinancial corporations.During this period, the financial crisis exposed local firmsto large depreciations in exchange rates and reduced accessto foreign capital. The authors explore the exchange ratehedging practices of firms that hedged exposure to foreigndebt in eight East Asian countries between 1996 and 1998.They identify and characterize East Asian companies thatused foreign currency derivatives, documenting differencesin size, financial characteristics, and exposure to domesticand foreign debt. They investigate the factors improtant inthe use of foreign currency derivatives. Unlike studies ofUS firms, they find limited support for existing theories ofoptimal hedging. Instead, they find that firms use foreignearnings as a substitute for hedging with derivatives. Andthey find evidence that firms engage in"selective" hedging. They investigate the relativeperformance of hedgers during and after the crisis. Theyfind no evidence that East Asian firms eliminated theirforeign exchange exposure by using derivatives. Firms thatused derivatives before the crisis performed just as poorlyas nonhedgers during the crisis. After the crisis, firmsthat hedged performed somewhat better than nonhedgers, butthis result appears to be explained by a larger post-crisiscurrency exposure for hedgers (an exchange rate riskpremium), which had limited access to derivatives duringthis period.