ترکیب بدهی و اثرات ترازنامه ی استهلاک نرخ ارز : تجزیه و تحلیل در سطح بنگاه شیلی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|7041||2003||20 صفحه PDF||سفارش دهید||7144 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Emerging Markets Review, Volume 4, Issue 4, December 2003, Pages 397–416
By studying the behavior of foreign currency borrowing, maturity, sales and the investment decisions of firms listed in the Chilean Stock Exchange from 1994 to 2001, this paper assesses whether in the aftermath of the Asian crisis of the late 1990s the depreciation of the local currency (Chilean peso) affected these firms’ real and financial decisions. At issue is the contrast between a negative net-worth effect and a potential expansionary competitiveness effect for the tradable sector. We find that there exists little evidence that devaluations cause a positive impact on investment and sales for firms with dollar denominated debt. The maturity structure of Chilean firms is mainly explained by the size of the companies. Large firms will have a debt structure biased to higher maturities. Analyzing dollar denominated debt composition the evidence shows that larger firms maintained a higher proportion of dollar denominated debt reflecting the development of the financial sector in Chile.
After six years of continuous real appreciation and virtual stability of the nominal exchange rate, Chile started to experience a significant nominal and real depreciation in early 1998 that in a matter of two years put the peso around two thirds of its 1997 real value. The Asian crisis first and the Russian moratorium and the Brazilian devaluation later were the main foreign triggers that ignited such an abrupt change in trend in an economy that was clearly overheated at that time. Much has been debated on the effects of this abrupt depreciation could have had on firms’ financial health. It has been commonly argued that much of the early efforts of the Central Bank of Chile to prevent a more intense depreciation by increasing domestic interest rates were motivated by its intention to avoid a financial collapse of firms highly leveraged specially in dollars. Indeed, although there was not much available information on currency mismatches at the firm level, in 1998 there was the suspicion that this could be a serious problem after a long period of nominal exchange rate stability, high economic growth and increasing access to foreign funds. In retrospective, however, that risk proved to be much lower than feared. When sudden currency depreciation occurs, much of the discussion focuses on the macroeconomic determinants and consequences instead of its microeconomic aspects. However, private debt in foreign currency may be an important factor behind a currency crisis: a devaluation increases the value of dollar denominated debt lowering firm's patrimony, especially if those firms do not have their main income streams in foreign currency. Nevertheless, this negative income effect could be offset if firms have its main source of income from exports, avoiding substantial currency mismatches between asset and liabilities. Hence, currency depreciation may cause a contraction of investment for dollar-indebted firms if the negative wealth effect dominates the expansionary competitiveness effect. The macroeconomic monetary policy implication of a currency crisis is different depending on whether the impact of the depreciation on output is expansionary or contractionary. In the event that the competitiveness effect dominates over the leverage in dollar debt, the defense of the domestic currency that typically central bankers aim to (as the Central Bank of Chile did) will not make much of a sense because the depreciation will expand instead of reducing output. In the other case, in which depreciation has a negative effect on firms’ net wealth the central bank implementation of tighter monetary policies would be more justified. As was noted by Bleakley and Cowan (2002), to evaluate whether the debt-effect dominates over the competitiveness effect is an empirical issue, requiring evidence directly from firms. There are two studies using Chilean data that analyze financial activities by firms during episodes of financial crisis or expansions. Firstly, Gallego and Loayza (2000) study the effect of developments in Chilean financial markets on firms’ financial structure based on annual balance sheet data available from 1985 to 1995. They choose this period because it corresponds to a wave of financial liberalization and to a significant stock market expansion. After analyzing the main government policies towards financial markets they found remarkable changes in size, activity and efficiency of the banking sector. They also found that firms’ cash flows and the level of indebtedness influence firms’ investments although internal cash-flow and debt-to-capital ratio did not. However, Hernández and Walker (1993) study the firm-specific and aggregate factors that determine the financial structure of the firm. They investigate whether the financial crisis of 1983–1984 in Chile and the implementation of banking prudential regulations affected the debt and equity composition of domestic non-financial firms. They find that after the crisis the debt-to-equity ratio declined, particularly in firms in the tradable sector. This resulted from the liquidation of assets and corresponding debt reduction induced by the new prudential banking regulations. Our purpose in this paper is to assess the impact of domestic currency depreciation, like the one experienced by Chile after the Asian crisis on firms’ activity and balance sheets, using investment, sales and leverage indicators. In the choice of both the equations to estimate and the empirical methodology, we follow closely Bleakley and Cowan (2002). In particular, we apply standard panel data procedures developed in Doornik et al., 2002, Bond, 2002 and Anderson and Hsiao, 1982 and Baltagi (1995). We find that there exists little evidence of a positive impact on investment and sales for firms with dollar denominated debt as consequence of a devaluation. The debt maturity structure of Chilean firms is predominantly explained by the size of the companies. We observed that large firms experience a debt structure biased towards higher maturities. Analyzing the dollar denominated debt composition, the evidence shows that larger firms maintained a higher proportion of dollar denominated debt reflecting the development of the financial sector in Chile. The paper is organized as follows. The next section presents some basic information on the macroeconomic context in which events developed. Then, Section 3 gives some statistics concerning the database, while Section 4 elaborates on the strategy and methodology applied to investment and sales equations. Empirical results are reported in 5 and 6. The paper ends with some general comments and conclusions.
نتیجه گیری انگلیسی
This paper uses panel data estimation techniques to analyze the impact that domestic currency depreciations have on firms’ activity in the case of Chile during much of the 1990s. We implement alternative specifications using investment and debt composition as dependent variables either in maturity or currency, and real exchange rate and US dollar debt level with their interactions as core independent variables. We also include year time dummies to control for macroeconomic dynamics. The reported evidence indicates that currency depreciations, like the one experienced by Chile after the turmoil initiated by the Asian crisis in July 1997 expand—although modestly—corporate investment in the case of those firms previously indebted in foreign currency. However, once other performance indicators are considered this effect vanishes. Why we did not observe any expansion in Chilean corporate investment after 1998? Perhaps because overall economic growth fell substantially (there was even a mild recession in 1999 and a sharp contraction of internal demand), and our estimations show that this negative aggregate growth effect clearly dominates as reflected in time dummy coefficients. Therefore, we do not observe balance sheet effects of depreciation on investment either by considering traditional contemporaneous specifications or under a dynamic inter-temporal structure. We found similar results for sales (not reported in the paper) and debt composition. A possible explanation for many of these results lies in the data: debt in dollar terms was never really large for the aggregate of firms in the sample (close to 2% of total debt at the peak in 1998) nor it was so even for pure tradeable firms (approx. 10% in 1998). Why, if foreign money was so plenty at the time? On one side, the Chilean domestic financial markets did provide a funding option to direct foreign financing, especially for those not to large firms by recycling abundant domestic savings (approx. 25% of GDP). However, it is likely that an important proportion of the huge inflows of foreign capital during the 1990s went to firms not openly traded in the stock exchange market. Such was the case of direct foreign investment, particularly in copper mining. We confirm some previous results in the literature that the maturity structure of Chilean firms is explained mainly by the size of companies. Large firms have a debt structure biased to higher maturities. In addition, the evidence shows that larger firms maintained a higher proportion of dollar denominated debt.