Spelling suggestions: "subject:"[een] CURRENCY MISMATCH"" "subject:"[enn] CURRENCY MISMATCH""
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[en] ESSAYS ON CURRENCY MISMATCHES, HEDGE AND PERFORMANCE OF BRAZILIAN FIRMS IN CURRENCY CRISES / [pt] ENSAIOS SOBRE DESCASAMENTOS CAMBIAIS, HEDGE E DESEMPENHO DAS EMPRESAS BRASILEIRAS EM CRISES CAMBIAISMARCIO MAGALHAES JANOT 23 March 2007 (has links)
[pt] Esta tese de doutorado consiste de três ensaios
relacionados ao gerenciamento de risco cambial e ao
desempenho das empresas brasileiras em períodos de crises
cambiais. O primeiro ensaio testa se as perdas patrimoniais
implicadas pelas depreciações cambiais reduzem o
investimento das empresas. Encontramos que, entre 2001 e
2003, empresas com elevados descasamentos cambiais na
véspera da crise reduziram seus investimentos em 8,1 pontos
percentuais, comparativamente às demais empresas de capital
aberto. Mostramos, também, que a depreciação cambial
aumentou a competitividade das empresas exportadoras, mas,
ainda assim, implicou perda de 12,5 pontos percentuais no
investimento das exportadoras com descasamentos cambiais,
relativamente às demais exportadoras. Essas quedas
estimadas de investimento são economicamente muito
relevantes, corroborando a importância dos efeitos
patrimoniais negativos das depreciações cambiais. O segundo
ensaio investiga se a listagem de ações nos Estados Unidos
através de ADRs disciplina as decisões corporativas.
Mostramos que as emissões de ADRs induzem uma gestão de
risco cambial mais eficiente: em antecipação à crise
cambial brasileira de 1999, em média, as empresas com ADRs
reduziram em 6,4 pontos percentuais a proporção de
descasamento cambial sobre ativos, relativamente às
empresas sem ADRs. Resultados adicionais conectam esse forte
ajuste à pressão de arbitradores internacionais.
Finalmente, o terceiro ensaio testa se as garantias
governamentais de que não haverá uma desvalorização
significativa do câmbio, implícitas nos regimes de câmbio
administrado, estimulam um endividamento excessivo em moeda
estrangeira. Dados de empresas brasileiras, antes e depois
do fim do regime de câmbio administrado em 1999, sugerem
que tais garantias não são relevantes para a decisão de
endividamento em moeda estrangeira. / [en] This thesis consists of three essays that relate the
currency risk management with the performance of Brazilian
firms in currency crises. The first essay tests if
the exchange-rate balance sheet effects of the currency
depreciation reduce the companies´ investments. We find
that, between 2001 and 2003, firms that shortly before the
crisis had large currency mismatches decreased their
investment rates by 8.1 percentual points, relatively to
other public firms. Moreover, we show that the currency
depreciation implied large competitive gains for the
exporters, and yet the investment of exporters with large
currency mismatches fell by 12.5 percentual points,
relatively to other exporters. The estimated falls in
investment are economically very relevant, thereby
corroborating the relevance of negative exchange-rate
balance sheet effects of currency depreciation. The second
essay investigate if the cross-listing in the U.S., mainly
through ADRs, discipline corporate decisions. Using data on
the Brazilian currency crisis of 1999, we show that firms
with ADRs manage their currency risk more effectively.
Anticipating the crisis, ADR firms reduced the average
ratio of their currency mismatches over assets by 6.4
percentage points, relatively to other public firms.
Additional results link this stronger adjustment to the
pressure of international arbitrageurs. Finally, the third
essay tests if the government guaranties that there won´t
be a large devaluation of the exchange rate, implicitly in
a fixed exchange-rate regime, bias corporate borrowing
towards foreign currency. Data on Brazilian firms, before
and after the end of the fixed exchange rate regime in
1999, suggest that the implicit guarantees do not have a
relevant impact on firms´ incentives to issue foreign debt.
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Essais sur deux enjeux majeurs des pays d'Europe de l'Est : l'endettement en devises étrangères et l'offre de travail / Essays on two central issues in Central and Eastern European countries : foreign currency indebtedness and labour supplyKátay, Gábor 20 November 2015 (has links)
Cette thèse traite deux sujets distincts, les deux représentant des enjeux importants pour un grand nombre de Pays d’Europe Centrale et Orientale (PECO). La première partie porte sur les emprunts en devises étrangères. Plusieurs études antérieures montrent que dans de nombreux PECO, l’endettement en devises étrangères a augmenté de manière considérable avant la crise et est devenu un enjeu majeur pour les entreprises, les ménages et pour la politique budgétaire et monétaire. Pour évaluer les risques associés à l’endettement excessif en devises étrangères, nous étudions la volonté des entreprises d’apparier la composition en devises de leurs actifs et leurs passifs ainsi que leurs incitations à dévier de l’appariement parfait. Nos résultats fournissent des preuves solides à l’appui du rôle de la couverture naturelle. Néanmoins, ce dernier n’est pas le motif principal d’endettement en devise étrangères : le motif de couverture naturelle n’explique qu’environ 10 à 20 pour cent de la dette totale en devises étrangères des entreprises avant et pendant la crise, respectivement. La plus grande partie de la dette en devises étrangères correspondrait, au moins en Hongrie, à des positions de carry trade détenues par des sociétés non financières. La deuxième partie de la thèse est consacrée à l’exploration des liens entre les systèmes socio-fiscaux et l’offre de travail à la marge extensive. Le deuxième chapitre propose une nouvelle stratégie de modélisation de l’offre de travail comme alternative aux deux approches dominantes basées sur le calcul marginal et les modèles d’utilité aléatoire. Finalement, le dernier chapitre utilise ce modèle pour quantifier la part de la différence entre les taux d’activité tchèque et hongrois qui peut être expliquée par les divergences des systèmes d’imposition et de protection sociale. Les estimations donnent des élasticités d’offre de travail similaires, ce qui suggère que les préférences individuelles sont essentiellement identiques dans les deux pays. Nos résultats montrent que la moitié de l’écart entre les taux d’activité s’explique par les différences des systèmes socio-fiscaux. / This thesis deals with two distinct topics, both of them representing central issues for many Central and Eastern European (CEE) countries. The first part of the thesis focuses on foreign currency (FX) lending. Several previous studies point out that in many CEE countries, FX borrowing rose significantly before the crisis and has become a major challenge for firms, households and for fiscal and monetary policy. To evaluate the risks associated with excessive FX indebtedness, we investigate firms’ willingness to match the currency composition of their assets and liabilities and their incentives to deviate from perfect matching. Our results provide strong evidence to support the role of natural hedging, however, it is not the primary motivation for firms to choose foreign currency : it explains only about 10 percent of the overall corporate FX debt during the pre-crisis and 20 percent during the post-crisis periods. Most likely, the largest part of the corporate FX debt, at least in Hungary, corresponds to open carry trade positions held by non-financial corporations. The second part of the thesis is devoted to exploring the links between tax-benefit systems and labour supply at the extensive margin. The second chapter presents an alternative modelling strategy of labour supply to the two dominating approaches based on marginal calculus and on random utility models. Finally, the last chapter uses this model to quantify the difference between the Hungarian and the Czech participation rates that can be attributed to differences in taxation and welfare benefits. We find that the estimated labour supply elasticities for the Czech Republic are very close to the results for Hungary, suggesting that, at least in this dimension, individual preferences are similar in the two countries. Results suggests that about one-half of the total difference in the participation rates can be explained by differences in the tax-benefit systems.
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