Abstract

This paper develops a heterogeneous firm-dynamics model to jointly study firms’ currency debt composition and investment choices. In our model, foreign currency borrowing arises from a dynamic trade-off between exposure to currency risk and growth. The model endogenously generates selection of productive firms into foreign currency borrowing. Among them, firms with high marginal product of capital use foreign loans more intensively. We assess econometrically the model’s predicted pattern of foreign currency borrowing using firm-level census data from the deregulation of these loans in Hungary, calibrate the model and quantify the aggregate impact of this financing. Our counterfactual exercises show that understanding the characteristics of firms borrowing in foreign currency is critical to assess the aggregate consequences of this financing.

中文翻译：

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汇率风险和公司动态

摘要

本文开发了一个异质的公司动态模型来共同研究公司的货币债务构成和投资选择。在我们的模型中，外币借贷源于货币风险敞口与增长之间的动态权衡。该模型内生地选择生产性企业进行外币借款。其中，资本边际产量高的企业更密集地使用国外贷款。我们使用来自匈牙利放松对这些贷款的管制的公司级普查数据，从计量经济学上评估模型预测的外币借款模式，校准模型并量化这种融资的总体影响。我们的反事实练习表明，了解公司外币借款的特征对于评估这种融资的总体后果至关重要。