یکپارچگی مدیریت ریسک ارز خارجی : نقش واردات در شرکت های تولیدی متوسط
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|741||2010||16 صفحه PDF||سفارش دهید||1 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Multinational Financial Management, Volume 20, Issues 4–5, December 2010, Pages 235–250
Empirical research has focused on export as a proxy for exchange rate exposure and the use of foreign exchange derivatives as an instrument to deal with this exposure. This empirical study applies an integrated foreign exchange risk management approach with a particular focus on the role of import in medium-sized manufacturing firms in Denmark (a small, open economy). We find a strong, negative relation between import and the use of foreign exchange derivatives on the aggregate level. Our findings are consistent with the notion that firms use import to match the foreign exchange exposure created by foreign sales activities.
Shapiro (1975) shows that one of the major factors affecting a multinational firm's exchange rate risk is sales in export markets. That export is a key element in determining the exchange rate exposure of a firm has been confirmed by numerous theoretical (e.g. Marston, 2001) as well as empirical studies (e.g. Allayannis and Ofek, 2001). Smith and Stulz (1985) show that corporate hedging can add value when firms face financial distress costs and/or progressive taxation. Froot et al. (1993) extend the conclusions reached by Smith and Stulz (1985) to a framework in which external financing is more costly than internally generated funds. Allayannis and Weston (2001) find a positive relation between firm value and the use of foreign exchange derivatives. Based on the above, it seems reasonable to suggest that hedging is linked to the export activities of a firm. However, using foreign exchange derivatives is not the only avenue for foreign exchange risk management. Guay and Kothari (2003) find that the use of derivatives appears to be a small part of the overall risk profile of non-financial firms. As noted by Nance et al. (1993), one substitute for the use of financial derivatives is an alteration of the debt-equity ratio. Another substitute is to change operations, e.g. by matching exports and imports, and thus create off-setting cash flows in exposed currencies. A study of the automotive industry by Williamson (2001) illustrates the importance of including changes in operations when trying to understand the dynamics of exchange rate exposure management. Miller, 1992 and Miller, 1998 provides a framework for integrated risk management in international business and Bartram et al. (2010) quantify the reduction in foreign exchange exposure from pass-through, operational hedging, and financial hedging based on a sample of large global manufacturing firms. Fundamentally, Meulbroek (2002) describes how firms have three ways of implementing risk management objectives: (1) modify operations; (2) adjust the capital structure; and (3) employ targeted financial instruments (financial hedging). Logue (1995) and Chowdhry and Howe (1999) show that very often operating exposures are not managed effectively by financial hedging. They suggest that longer term strategy adjustments involving operational hedges are the optimal way to manage longer term exposures. Consistent with this view, empirical evidence shows that transaction exposures are hedged extensively by financial derivatives while hedging of longer term operating exposures is undertaken more sporadically (e.g. Bodnar et al., 1998). Pantzalis et al. (2001) document the importance of operational hedges for managing exchange rate risk in a U.S. setting. They find that the exposure of non-contractual cash flows is best managed through operational hedging. In their study, they focus on the subsidiary network for providing the means of operational hedging. In a U.K. perspective, Bradley and Moles (2002) find that occasionally or often, more than half of the surveyed firms source inputs in the same currencies as sales are made in order to manage exchange rate risk. In a Danish setting, Aabo and Simkins (2005) find that a firm's size, exports, and foreign subsidiaries are positively related to operational hedging. This study uses an integrated foreign exchange risk management approach in order to understand the foreign exchange risk management strategies of medium-sized manufacturing firms. We go beyond the export ratio approach traditionally applied and specifically investigate the role of import that, due to data constraints, has often been neglected in previous studies. Following the reasoning of Graham and Harvey (2001), we use the survey approach in order to balance between the benefits and disadvantages of large sample analyses and clinical studies. Thus, we obtain and use information that would not be accessible in traditional, large sample analyses and, at the same time, we do not restrict ourselves to clinical studies that tend to produce unique results based on very small samples. Numerous studies have used the questionnaire approach for analyzing exchange rate exposure management in non-financial firms (e.g. Bodnar and Gebhardt, 1999, Bodnar et al., 1998, Ceuster et al., 2000, Hakkarainen et al., 1998, Mallin et al., 2001 and Marshall, 2000). The most cited of these studies is Bodnar et al. (1998), which covers publicly traded U.S. firms. In their study, Bodnar et al. ask firms about their percentage of consolidated operating costs in foreign currency; they find that many firms roughly balance out total foreign currency revenues with foreign currency expenses; and they note that their results may be indicative of firms using natural hedging as a way of managing foreign exchange exposures. However, in line with other empirical studies, Bodnar et al. do not investigate the aggregate impact of import on the use of foreign exchange derivatives. To the best of our knowledge, no study has empirically examined the simple but important question: what is the aggregate impact of import on the use of foreign exchange derivatives for managing exchange rate risk in manufacturing firms? On the firm-specific level, import may either increase or decrease the need for financial hedging. If a firm has costs in the same currencies as it has revenues, the firm will experience a natural hedge by matching foreign currency costs with foreign currency revenues and a subsequent decrease in its need for financial hedging. However, if a firm has costs in currencies in which it has no revenues, the firm will experience an increase in its exposure and an increase in its need for financial hedging. Whether import increases or decreases the need for financial hedging on an aggregate level is an empirical question yet to be addressed and it serves as the primary motivation for this paper. Our results are based on a survey of medium-sized manufacturing firms in a small, open economy (Denmark) and the responses of 215 such firms. Denmark is an interesting country for analyzing integrated foreign exchange risk management practices in medium-sized firms. It is a small, open (the sum of exports and imports equals the GDP) economy with a currency of its own. Denmark is a long-time member of the EU and the Danish Krone (DKK) is pegged to the Euro at 7.46 DKK with a band of ±2.25%. The three main trading partners of Denmark are Germany (Euro), Sweden (Swedish Krona), and the U.K. (British Pound). Thus, Danish firms are used to dealing in and being exposed to various currencies. It is interesting to base the study on medium-sized firms for two reasons. (1) By focusing on medium-sized firms, we provide unique knowledge about an important part of the business world that has hitherto often been neglected due to data constraints. In a European Union perspective, SMEs provide 75 million jobs and are a major source of entrepreneurial skills and innovation (European Commission, 2005). (2) In an internationalization perspective, medium-sized firms are interesting because they are large enough to be exposed and react to developments in the international environment – still, they lack the international network of multinational firms. Our results confirm the existence of an integrated risk management approach towards foreign exchange risk in medium-sized manufacturing firms in Denmark. On the aggregate level, we find a strong, negative relation between import and the use of foreign exchange derivatives. Our findings are consistent with the notion that firms use import to match the foreign exchange exposure created by foreign sales activities. We find limited support for the notion that the capital structure of a firm is an important element of an integrated foreign exchange risk management framework. Our results are important for understanding the diversity of “instruments” available to firms for managing their exchange rate risk. Our study is structured as follows. Section 2 states the methodology of the study. Section 3 shows descriptive statistics and univariate analysis. Section 4 reports empirical results from a multivariate regression analysis. Section 5 tests for robustness. Section 6 elaborates on the integrated foreign exchange risk management approach. Section 7 concludes.
نتیجه گیری انگلیسی
In this study, we generally expand the knowledge about import, the use of exchange rate derivatives, capital structure, and these factors’ interaction with internationalization parameters. Specifically, we go beyond the traditionally used export ratio and investigate the role of import. On the firm-specific level, import may increase (if it is conducted in currencies in which the firm has no export) or decrease (if it is conducted in currencies in which the firm has matching export) the need for financial hedging. On the aggregate level, we find that import is an important element of an integrated risk management approach towards exchange rate risk in medium-sized manufacturing firms reducing the need for financial hedging. We find limited support for changes in the capital structure being an important element of an integrated foreign exchange risk management approach. Our results are important for understanding the diversity of “instruments” available to firms in managing their exchange rate risk. Unduly restricting an analysis to cover only the use of financial derivatives gives a partial and potentially biased picture of the real world. Furthermore, focusing on medium-sized firms provides unique knowledge about a very important part of the business world. Our results are based on medium-sized manufacturing firms in a small, open economy. Thus, our results are not likely to be readily transferable to medium-sized firms in large, more closed economies such as the U.S. However, we see no reason why the results should not be transferable to medium-sized firms in other open economies. Furthermore, provided that globalization is not put on hold, the present results from medium-sized manufacturing firms in a small, open economy are likely to be representative of medium-sized manufacturing firms in larger, more closed economies in the future.