رژیم نرخ ارز و ترکیب انتشار ارز اوراق قرضه شرکتی: تجربه مکزیکی

This paper analyzes the effect that the change from a fixed to a floating exchange rate regime that took place in Mexico in December 1994 had on the currency composition of corporate debt. In particular, the paper asks whether a fixed exchange rate regime biases corporate borrowing towards foreign currency due to an implicit exchange rate guarantee given by the government. Therefore, under a predetermined regime, firms will not fully internalize their exchange rate risk and will be more likely to engage in balance sheet mismatches than under a floating regime. We study the main determinants of foreign currency borrowing of those firms listed in the Mexican Stock Exchange from 1992 to 2000 to test whether balance sheet currency mismatches fell after the adoption of the floating exchange rate regime. The results found support the view that the floating exchange rate regime has been useful in reducing exchange rate exposure.

This paper analyzes the effect that the change from a fixed to a floating exchange rate regime that took place in Mexico in December 1994 had on the currency composition of corporate debt. In particular, the paper asks whether a fixed exchange rate regime biases corporate borrowing towards foreign currency due to an implicit exchange rate guarantee given by the government. Therefore, under a predetermined regime, firms will not fully internalize their exchange rate risk and will be more likely to engage in balance sheet mismatches than under a floating regime. We study the main determinants of foreign currency borrowing of those firms listed in the Mexican Stock Exchange from 1992 to 2000 to test whether balance sheet currency mismatches fell after the adoption of the floating exchange rate regime. One key point in the current discussion on the reform of the international financial architecture is the impact of the exchange rate regime on financial vulnerability. One of the main channels through which the exchange rate regime can affect the vulnerability of an economy is through its impact on foreign currency borrowing. However, there is no clear consensus among economists regarding this last point. On the one hand, several authors have argued that a pegged exchange rate is another variation of implicit guarantees. This is the case because to maintain this regime the monetary authority will always claim that the prospects of a change in the parity are nil. Through its constant denial of the possibility of a change in the parity, the authorities will be implicitly assuming part of the cost that the private sector would incur in the case of a devaluation. In these circumstances, private sector agents will have less incentives to hedge their foreign currency exposure. These arguments have been made recently by many authors. The following quote from Fisher (2001) clearly states the biased incentives towards foreign currency borrowing in a pegged regime: The belief that the exchange rate will not change removes the need to hedge and reduces perceptions of the risk of borrowing in foreign currencies. Along the same lines, Mishkin (1996) highlights the advantages of floating regimes: Indeed, the daily fluctuations in the exchange rate in a flexible exchange rate regime have the advantage of making clear to private firms, banks and governments that there is substantial risk involved in issuing liabilities denominated in foreign currencies. On the other hand, without totally dismissing the implicit guarantees argument, several authors claim that some emerging markets have a natural tendency for liability dollarization that is more ingrained in the system than what can be explained by the presence of a pegged exchange rate regime. This has been termed the original sin hypothesis (see Eichengreen and Hausman, 1999). According to these authors: This is a situation in which the domestic currency cannot be used to borrow abroad or to borrow long term, even domestically. In the presence of this incompleteness, financial fragility is unavoidable because all domestic investments will have either a currency mismatch (projects that generate pesos will be financed with dollars) or a maturity mismatch (long-term projects will be financed with short-term loans). Critically, these mismatches exist not because banks and firms lack the prudence to hedge their exposures. The problem rather is that a country whose external liabilities are necessarily denominated in foreign exchange is, by definition, unable to hedge. Assuming that there will be someone on the other side of the market for foreign currency hedges is equivalent to assuming that the country can borrow abroad in its own currency. Similarly, the problem is not that firms simply lack the foresight to match the maturity structure of their assets and liabilities; it is that they find it impossible to do so. The incompleteness of financial markets is, thus, at the root of financial fragility. It follows that both fixed and flexible exchange rates are problematic. Other authors (for example, Calvo and Reinhart, 2000a and Calvo and Reinhart, 2000b) have made claims along similar lines arguing that the problem of unhedged foreign currency liabilities has deeper roots than the choice of exchange rate regimes. Therefore, the movement towards floating regimes that is taking place in emerging markets will not alleviate this problem. Although the debate has been intense, there are no empirical studies that look at this issue. In addition, we should say that at the end of the day this is mainly an empirical question. The recent Mexican experience represents a good case study to tackle this question. Mexico was the first country to suffer a “21st Century Crisis” (that started with the devaluation of the peso on December 19, 1994) and to adopt a floating exchange rate regime after that. In addition, the availability of data permits a thorough study of the determinants of corporate foreign currency debt. We take both of the hypothesis mentioned before seriously to argue that they complement each other. The fact that a country cannot issue debt in its own currency does not mean that those creditors that are lending in foreign currency should not take into consideration the exchange rate risks they are undertaking by lending to Mexican firms. Also, although there might not be a deep enough market for hedges, different firms have different exchange rate exposures according to whether they sell in domestic or foreign markets. Because of this, creditors can adjust their currency exposure by selecting different types of firms. Therefore, it is extremely plausible that in an economy suffering from “original sin” a fixed exchange rate carries with it an implicit exchange rate insurance and therefore biases incentives towards foreign currency lending to this economy. To formalize this arguments, in Section 2, we extend the simple model developed by Holmstrom and Tirole (1997) to allow for the possibility of currency mismatches. In our version of the model, firms can borrow in pesos from local banks that serve a monitoring role and in dollars from the international capital markets where the cost of capital is lower. Therefore, we take Eichengreen and Hausman (1999) seriously and model the implication of their hypothesis. This simple model has clear implications for the determinants of the share of dollar debt in total debt. Those firms that have a higher probability of success in their investment projects, have a smaller informational problem and are more export oriented will have a higher share of dollar-denominated debt and more leverage. Also, to the extent that a fixed exchange rate regime is associated with an implicit guarantee, the export orientation of a firm will be less important in determining foreign currency debt under this regime, increasing its share in total debt and leading to an increase in leverage. In Section 3, we describe the evolution of the share of dollar-denominated debt in total debt for Mexican corporates from 1992 to 2000 and perform an econometric study to asses its main determinants. In this section, we find that although the share of dollar denominated to total debt increased for the median firm from 32% in 1994 to 42% in 2000, the exposure to exchange rate risk decreased during the same period. The ratio of exports to dollar debt increased for the median firm from 2% in 1994 to 7.4% in 2000. The result of estimating the reduced form obtained from the model for the ratio of dollar denominated to total debt indicates on the one hand that during the predetermined exchange rate regime our endogenous variable was mainly explained by the size of the firm. On the other hand, during the free-floating regime, exports became the only significant variable determining the importance of dollar indebtedness. These results are robust even when we control for sales growth. Finally, Section 4 presents the main conclusion of the paper.

This paper tested the hypothesis that a fixed exchange rate regime biases corporate borrowing towards foreign currency due to an implicit exchange rate guarantee given by the government. Extending an asymmetric information model developed by Holmstrom and Tirole (1997), we derived a testable implication to find empirical support for our theory. Results indicate that in fact firms have been taking the exchange rate risk more seriously after the adoption of the floating exchange rate regime than before. This argument follows from the fact that on the one hand during the predetermined exchange rate regime the ratio of dollar denominated to total debt was mainly determined by the size of the firm. On the other hand, during the free-floating regime, exports became the only significant determinant of the importance of dollar indebtedness. Moreover, for the fixed exchange rate regime, there was not any difference between dollar and peso revenues, while during the floating regime only dollar revenues were an important determinant of the dollar debt to total ratio. It is important to mention that even though firms are now less exposed to the exchange rate risk than before 1994, there is still some level of exposure because the median of the ratio of exports to dollar-denominated debt is below 8%.10 Therefore, the fact that firms are less exposed and that they are decreasing further their exchange rate exposure does not imply that they are fully prepared to absorb an important exchange rate depreciation.