مواجهه با نرخ ارز، مصون سازی، و استفاده از مشتقات ارز خارجی

We examine whether firms use foreign currency derivatives for hedging or for speculative purposes. Using a sample of S&P 500 nonfinancial firms for 1993, we find evidence that firms use currency derivatives for hedging, as their use, significantly reduces the exchange-rate exposure firms face. We also find that, while the decision to use derivatives depends on exposure factors (i.e., foreign sales and foreign trade) and on variables largely associated with theories of optimal hedging (i.e., size and R&D expenditures), the level of derivatives used depends only on a firm's exposure through foreign sales and trade.

Exchange-rate movements affect expected future cash flows, and therefore the value, of large multinationals, small exporters (importers) and import competitors, by changing the home currency value of foreign revenues (costs) and the terms of competition. In light of this, it is surprising that previous research in the area (Jorion, 1990, Amihud, 1993 and Bodnar and Gentry, 1993) finds that US multinationals, exporters, and manufacturing industries are not significantly affected by exchange-rate movements. One possible explanation is the fact that corporations make extensive use of foreign currency derivatives and other hedging instruments (e.g., foreign debt) to protect themselves from unexpected movements of exchange rates.1 To the extent that US multinationals, exporters, and importers fully cover their exposure to exchange-rate movements, we should not expect to find any effect of exchange-rate movements on firms' values. However, derivatives can also be used for speculative purposes, as alleged in the much publicized stories of Procter & Gamble and Metallgesellschaft. This creates a genuine concern for investors and regulators as to what role derivatives play in a corporation. In this paper, we examine whether firms use foreign currency derivatives for hedging or for speculative purposes. In particular, to identify a firm's hedging or speculative behavior in the data, we examine (a) the effect of foreign currency derivative use on its exchange-rate exposure and (b) the determinants of the amount of derivative use. We measure exchange-rate exposure as the sensitivity of the value of the firm, proxied by the firm's stock return, to an unanticipated change in an exchange rate, as defined in Adler and Dumas (1984). We test the hypothesis that using foreign currency derivatives for hedging reduces a firm's foreign exchange-rate exposure, and that the degree to which firms use derivatives is related to its exposure through foreign sales and foreign trade. Many papers examine which theory of optimal hedging is consistent with the use of derivatives that we observe in the data.2 However, there is no direct evidence that derivatives are actually used to hedge. Hentschel and Kothari (1997) and Simkins and Laux (1997) examine directly firms' use of currency derivatives, but the former does not find any evidence and the latter finds only weak evidence that their use influences exposure. However, given that a firm's exchange-rate exposure is determined by both its real operations (i.e., foreign sales) and its financial hedging activities, we estimate a multivariate regression that links a firm's exposure to both those factors. This contrasts with Hentschel and Kothari, who rely only on univariate tests. We also use a continuous variable for hedging, instead of the dummy variable used by Simkins and Laux. When the dummy is used by itself, it appears to be negatively related to a firm's exposure. However, when the authors use their measure of hedging and foreign sales in the same model, the effect of the hedging dummy is no longer significant and its sign (positive) is inconsistent with the hypothesis that firms use derivatives to hedge. Using a sample of S&P 500 nonfinancial firms for 1993, we find that a firm's exchange-rate exposure is positively related to its ratio of foreign sales to total sales, and negatively related to its ratio of foreign currency derivatives to total assets.3 These associations are significant at the 1% level and robust to alternative time periods, exchange-rate indices, and estimation techniques. We also find this result robust to the use of an alternative sample, which includes all US manufacturing firms with assets above 100 million during 1994 and 1995. Finally, we obtain similar results using individual exchange rates (e.g., the US dollar/Japanese yen and the US/Canadian dollar exchange rate), instead of an exchange-rate index. Our evidence supports the hypothesis that firms use foreign currency derivatives, not to speculate in the foreign exchange markets, but as protection against exchange-rate movements. It also provides an explanation for the lack of significant exchange-rate exposure that has been documented in past studies. In addition, our results confirm and extend those of Jorion (1990), who uses a sample of major US multinationals to show that a firm's exchange-rate exposure is positively related to its ratio of foreign sales to total sales. We use a two-stage framework (Cragg, 1971), to examine what determines corporations' level of derivative use. This two-stage process allows us to examine separately a firm's decision to hedge from its decision of how much to hedge. Similar to Geczy et al. (1997), we find that firms with larger size, R&D expenditures, and exposure to exchange rates through foreign sales or foreign trade are more likely to use currency derivatives. These results are consistent with the Froot et al. (1993) theory of optimal hedging, and also high fixed start-up costs of hedging explanations. While these tests reveal the factors that prompt corporations to hedge, they do not answer the question of what determines the extent of hedging. Using—in the second stage of the estimation—the notional amount of currency derivatives for those firms that chose to hedge, we find that exposure factors (foreign sales and foreign trade) are the sole determinants of the degree of hedging. In other words, given that a firm decides to hedge, the decision of how much to hedge is affected solely by its exposure to foreign currency movements through foreign sales and trade. This result provides additional support to our hypothesis that firms use currency derivatives for hedging purposes. Finally, foreign debt can be another way to hedge foreign currency exposure. As in the case of foreign currency derivatives, we examine separately a firm's decision to issue foreign debt and its decision of how much foreign debt to issue. Again, we find that exposure through foreign sales is positively and significantly related to a firm's decision to issue foreign debt and to the level of foreign debt. Overall, these findings are consistent with our hypothesis that firms use foreign debt to hedge their exchange-rate exposure. The paper is organized as follows: Section 2 describes our sample; Section 3 presents the tests of the relation between exchange-rate exposure and foreign currency derivatives; Section 4 presents the tests on the use and amount of foreign currency derivatives; and Section 5 concludes

This paper examines whether firms use currency derivatives for hedging or for speculative purposes. Using a sample of S&P 500 nonfinancial firms for 1993, we examine the impact of currency derivatives on firm exchange-rate exposure, the factors that prompt corporations to hedge, and the factors that affect their decision on how much to hedge. We find a strong negative association between foreign currency derivative use and firm exchange-rate exposure, suggesting that firms use derivatives as a hedge rather than to speculate in the foreign exchange markets. This relation is robust to alternative time intervals and exchange-rate indices to estimate exposure and estimation methods (e.g., weighted least squares and probit) that we use to examine the relation between exchange rate exposure and currency derivative use. It is also robust to the use of a larger, alternative sample that includes all US manufacturing firms that have total assets above 100 million during 1994 and 1995 and to the use of individual exchange rates instead of trade-weighted exchange-rate indices. We find additional supportive evidence on the firm's hedging behavior, when we examine separately, using a two-stage framework, the factors that are associated with a firm's decision to hedge and its decision on the level of hedging. We find evidence that a firm's exposure through foreign sales and foreign trade is a very important factor that both prompts corporations to hedge and guides their decision on how much to hedge. Firms can also use foreign debt to protect themselves from exchange-rate movements. Similarly, we find that a firm's exposure through foreign sales is an important determinant of its decision to use foreign debt and on its decision on the level of foreign debt. Collectively, our results suggest that firms use currency derivatives and foreign debt as a hedge. Our paper has important implications for managers and financial regulators. A firm's exposure to exchange-rate movements is mitigated through the use of foreign currency derivatives. This finding suggests that an intervention in the derivatives markets may not be warranted, and provides an explanation for the lack of significant exposure documented in past studies.