| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15440 |
| DP15440 Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India | |
| Viral Acharya; Siddharth Vij | |
| 发表日期 | 2020-11-10 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We establish that macroprudential policies limiting capital flows can curb risks arising from corporate foreign currency borrowing in emerging markets. Using detailed firm- level data from India, we show that propensity to issue foreign currency debt for the same firm is higher when the difference in short-term interest rates between India and the US is higher, i.e., when the dollar ‘carry trade’ is more profitable; this behavior is driven by the period after the global financial crisis. The positive relationship between issuance and the ‘carry trade’ breaks down once regulators institute more stringent interest-rate caps on foreign currency borrowing. Riskier borrowers such as importers and those with higher interest costs cut issuance most. Firm equity exposure to foreign exchange risk rose after issuance in favorable funding conditions and emerged as a source of external sector vulnerability during the ‘taper tantrum’ of 2013. Macroprudential policy action limiting capital flows is able to nullify this effect, such as during the market stress due to the COVID-19 pandemic. |
| 主题 | Financial Economics |
| 关键词 | Emerging markets Foreign currency debt Foreign exchange risk Taper tantrum |
| URL | https://cepr.org/publications/dp15440 |
| 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/544432 |
| 推荐引用方式 GB/T 7714 | Viral Acharya,Siddharth Vij. DP15440 Foreign Currency Borrowing of Corporations as Carry Trades: Evidence from India. 2020. |
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