مواجهه با نرخ ارز در سطح بنگاه در منطقه یورو

Using a sample of 1154 European firms from 11 countries, we show that firm-level exchange exposure for Eurozone and non-Eurozone European firms has increased since the introduction of the euro, but this rise was smaller for Eurozone than non-Eurozone firms. The increase in firm-specific exposure was offset by a substantial reduction in market-level exchange exposure in most Eurozone countries, so the advent of the euro appears to have been associated with a shift in exchange risk from systematic to firm-specific. We also find that post-euro, Eurozone firms’ exchange exposure is significantly greater than that of non-Eurozone European firms. This difference, however, disappears after controlling for several country-specific and firm-specific characteristics that potentially influence firms’ exchange exposure.

One of the purported benefits of a single currency zone is that foreign exchange risk is eliminated for intra-zone trade and investment, reducing uncertainty for firms operating across national borders (Eichengreen, 1990). For the Eurozone specifically, the elimination of exchange risk has been cited in various EU policy documents as an important benefit of Eurozone membership (see, for example, EU, 1995; EU, 2007). With the Eurozone now 10 years old, it is timely to look at Eurozone firms’ exchange exposure, a topic that has received surprisingly little empirical attention. We examine the issue by comparing the exchange exposure of a sample of Eurozone and non-Eurozone European firms. Our data set comprises 1154 firms from 11 European countries – 7 Eurozone members: Belgium, France, Germany, Italy, the Netherlands, Portugal and Spain, and 4 non-Eurozone countries: Norway, Sweden, Switzerland and the UK. In the first stage of our research, we estimate firm-level exchange exposure in two periods: the pre-euro period from January 1990 to December 1998, and the post-euro period from January 1999 to January 2008. This is conducted using the technique pioneered by Jorion (1990) that has become standard in the exchange exposure literature, involving a time-series regression of changes in the trade-weighted exchange rate against the return on a firm's stock, while controlling for market effects. Contrary to expectations, we find that in the post-euro period, Eurozone firms have higher exchange rate exposure than non-Eurozone firms. We also find that exposure increased after the introduction of the euro for both Eurozone1 and non-Eurozone firms, but this increase was smaller for Eurozone firms – a finding that is supportive of the benefits of Eurozone membership alluded to above. These findings prompt further investigation, and we conduct two further tests. First, if firm-level or ‘idiosyncratic’ exchange exposure has increased, what has happened to exposure at the level of the market? We find that market-level exchange rate exposure has declined in Eurozone countries by more than it has in non-Eurozone European countries. Second, we investigate why firms in the Eurozone have higher exchange exposure than firms in our sample of non-Eurozone countries. Using the exchange response coefficients estimated from the firm-specific time-series regressions as the dependent variable, we run cross-sectional regressions to determine whether this difference can be explained by country-level and firm-specific factors that have been found in prior studies to explain exchange exposure. The country-level factors are economic openness, shareholder rights and creditor rights; and the firm-specific factors are size, industry, and four financial ratios: debt-to-assets, market-to-book, dividend payout and the quick ratio. After controlling for these characteristics, we find no difference between the firm-specific exchange exposure of firms within and outside the Eurozone. The remainder of this paper is structured as follows. In Section 2 we describe our approach to estimating firm-level exchange exposure and present our data set. Sections 3 and 4 present our findings on firm-level and market-level exchange exposure respectively. In Section 5 we discuss and present our findings on the firm-level pooled cross-sectional analysis, and in Section 6 we discussion the implications for corporate strategy. Section 7 provides concluding comments.

In this paper we examined the exchange exposure experience of 1147 firms in seven Eurozone and four non-Eurozone European countries before and after the introduction of the single currency. Using univariate tests, we find that Eurozone firms’ exchange exposure is significantly greater than that of non-Eurozone firms. We also find that although exchange exposure increased from the pre-euro to the post-euro period for firms within and outside the Eurozone, the increase was smaller for the former than for the latter. Our finding that foreign exchange exposure has risen for Eurozone firms suggests that there may be some effect operating at the level of the market. To investigate this, we examined whether there is any difference between the extent to which stock market returns are affected by exchange rate changes before and after the introduction of the euro. We find that market-level exposures have declined within the Eurozone by more than they have outside it. Finally, we used a set of country-level and firm-level variables to address the question of why Eurozone firms are more exposed than non-Eurozone firms. When we control for these variables, there is no difference between the exposure of Eurozone firms and those in our four non-Eurozone European countries. The difference in measured exposure between Eurozone and non-Eurozone firms can be explained by non-Eurozone countries’ corporate governance systems giving creditors better rights vis-à-vis Eurozone countries, and Eurozone firms being smaller and having higher dividend payout ratios than non-Eurozone firms. The elimination of risk for intra-Eurozone transactions has been touted as an important benefit of Eurozone membership. While it is unquestionable that intra-Eurozone transactions are no longer associated with exchange risk, there has been little empirical analysis examining the exchange exposure of Eurozone firms. Our finding that Eurozone firms’ exposure increased less than non-Eurozone firms provides evidence that Eurozone membership has indeed provided some protection from higher foreign exchange exposure that has been borne by European firms in general. Further, that stock markets in Eurozone countries appear to be less sensitive to exchange rate fluctuations than non-Eurozone markets suggests that the exchange rate risk-reduction benefit of Eurozone membership manifests as lower systematic risk. Our findings have important implications for managers of Eurozone-based firms. As the world becomes more globalised, the risk associated with indirect exchange exposure increases. Measuring, managing and monitoring exchange rate risk should be the concern of the whole firm, rather than just the finance function.