How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock?

IF 1.9 Q2 BUSINESS, FINANCE

Review of Corporate Finance Studies Pub Date : 2022-08-23 DOI:10.1093/rcfs/cfac024

Matthias Efing, Rüdiger Fahlenbrach, Christoph Herpfer, Philipp Krueger

引用次数: 0

Abstract

Past research has suggested that firms can significantly reduce their exposure to moderate exchange rate fluctuations by means of pass-through and hedging. Studying the appreciation of the Swiss franc by 17% on January 15, 2015, we show that firms remain exposed to extreme currency events. Pass-through, a way to share the costs of exchange rate risk with foreign customers, fails after extreme exchange rate shocks, particularly in competitive industries. Firms’ exposure to currency tail risk has real consequences for their investment. The decrease in investment is explained by a reduction in profitable investment opportunities and not by financial constraints.

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投资者和企业如何应对巨大的、意想不到的货币升值冲击?

过去的研究表明，企业可以通过传递和套期保值的方式显著减少其对适度汇率波动的敞口。通过对2015年1月15日瑞士法郎升值17%的研究，我们发现企业仍然面临极端货币事件的风险。转嫁是一种与外国客户分担汇率风险成本的方式，但在极端汇率冲击之后，这种方式就失效了，尤其是在竞争激烈的行业。企业对货币尾部风险的暴露对其投资产生了切实的影响。投资减少的原因是有利可图的投资机会减少，而不是财政拮据。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Corporate Finance Studies BUSINESS, FINANCE-

CiteScore

17.80

自引率

1.80%

发文量

期刊介绍： The Review of Corporate Finance Studies (RCFS) is dedicated to publishing high-quality research in the expansive field of Corporate Finance. The journal seeks original contributions, reviewing papers based on their unique insights into Corporate Finance. This encompasses a wide spectrum, including a firm's interactions with stakeholders, capital markets, internal organization structure, compensation mechanisms, corporate governance, and capital management. RCFS also welcomes research in financial intermediation, financial institutions, microstructure, and the implications of asset pricing for Corporate Finance. The journal considers theoretical, empirical, and experimental papers for review.