Análisis de la exposición económica al riesgo cambiario en el mercado español

  1. Milagros Vivel Búa 1
  2. Rubén Lado Sestayo 2
  1. 1 Universidade de Santiago de Compostela
    info

    Universidade de Santiago de Compostela

    Santiago de Compostela, España

    ROR https://ror.org/030eybx10

  2. 2 Universidade da Coruña
    info

    Universidade da Coruña

    La Coruña, España

    ROR https://ror.org/01qckj285

Revista:
GCG: revista de globalización, competitividad y gobernabilidad

ISSN: 1988-7116

Ano de publicación: 2017

Volume: 11

Número: 1

Páxinas: 20-55

Tipo: Artigo

DOI: 10.3232/GCG.2017.V11.N1.01 DIALNET GOOGLE SCHOLAR lock_openDialnet editor

Outras publicacións en: GCG: revista de globalización, competitividad y gobernabilidad

Resumo

This paper analyzes the economic exposure to exchange rate and its determinants in the Spanish market, considering six currencies against the euro: the US dollar, the Chinese yuan, the Swiss franc, the pound sterling, the Norwegian krone and the Russian ruble. This is relevant because the exchange rate volatility can have a direct impact on the operations of the company in the short term and it can also impact on its value in a longer time horizon. The results obtained in this study confirm that the majority of companies have an export profile in its foreign exchange risk exposure, ie benefit from depreciation of the euro against other currencies, especially the British pound. By contrast, the net importers predominate when we study the euro against the Swiss franc. Also, its determinants differ between exporters and importers, although we found that the geographic diversification is a operational hedging in both cases.

Referencias bibliográficas

  • Aabo, T., y Brodin, D. (2014). Firm-Specific Foreign Exchange Exposure Identification: The Fallacy of the Stock Market Approach. Applied Economics and Finance, 1(1), 1-12.
  • Aabo, T., Hansen, M. A., y Muradoglu, Y. G. (2015). Foreign Debt Usage in Non‐Financial Firms: a Horse Race between Operating and Accounting Exposure Hedging. European Financial Management, 21(3), 590-611.
  • Aabo, T., y Ploeen, R. (2014). The German humpback: Internationalization and foreign exchange hedging. Journal of Multinational Financial Management, 27(1), 114-129.
  • Adler, M. y Dumas, B. (1984). Exposure to Currency Risk: Definition and Measurement. Financial Management, 2, 41-50. Allayannis, G., Lel, U. y Miller, D. (2012). The use of foreign currency derivatives, corporate governance, and firm value around the world. Journal of International Economics, 87, 65-79.
  • Azofra, V. y Díez, J. M. (2001). La Cobertura Corporativa del Riesgo de Cambio en las Empresas No Financieras Españolas, 15, Documento de Trabajo, Nuevas Tendencias en Dirección de Empresas.
  • Bartov, E. y Bodnar, G. M. (1994). Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect. The Journal of Finance, 49(5), 1755-1785.
  • Bodnar, M. y Gentry, W. (1993). Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan and U.S. Journal of International Money and Finance, 12(1), 29-45.
  • Bodnar, M. y Wong, F. (2000). Estimating Exchange Rate Exposures: Some “Weighty” Issues. Documento de trabajo W7497, NBER.
  • Chamberlain, S., Howe, J. y Popper, H. (1997). The Exchange Rate Exposure of U.S. and Japanese Banking Institutions. Journal of Banking and Finance, 21(1), 871-892.
  • Chang, F., Chin-Wen, H. Shin-Rong, S. (2013). A re-examination of exposure to exchange rate risk: the impact of earnings management and currency derivative usage. Journal of Banking & Finance, 37(1), 3243-3257.
  • Choi, J., y Prasad, A. (1995). Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals. Financial Management, 24(3), 77-88.
  • Chow, E., Lee, W. y Solt, M. (1997). The Exchange Rate Risk Exposure of Asset Return. The Journal of Business, 70(1), 105123.
  • Chung, H., Majerbi, B., y Rizeanu, S. (2015). Exchange risk premia and firm characteristics. Emerging Markets Review, 22(1), 96-125.
  • Clark, E. y Judge, A. (2008). The Determinants of Foreign Currency Hedging: Does Foreign Currency Debt Induce a Bias? European Financial Management Journal, 14(3), 445-469.
  • Dolde, W. (1995). Hedging, Leverage, and Primitive Risk. The Journal of Financial Engineering, 4(2), 187-216.
  • Dong, L., Kouvelis, P. y Su, P. (2014). Operational hedging strategies and competitive exposure. International Journal of Production Economics, 153(1), 215-229.
  • Eiteman, D., Stonehill, A. y Moffet, M. (2000). Las Finanzas en las Empresas Multinacionales. 8ª edición. Madrid: Pearson Education.
  • Flood, E. y Lessard, D. (1986). On the Measurement of Operating Exposure to Exchanges Rates: A Conceptual Approach. Financial Management, 15(1), 25-37.
  • Fornés, G. y Cardoza, G. (2009). Foreign Exchange Exposure in Emerging Markets: a Study of Spanish Companies in Latin America. International Journal of Emerging Markets, 4(1), 6-25.
  • Fortuna, J. y Rodriguez, J. (2002). Exposición al Riesgo de Cambio en las Empresas de la Industria del Automóvil: un Análisis Internacional, 8o Congreso, La empresa en Castilla y León III, Valladolid.
  • García-Gallego, A. y Mures-Quintana M. (2013). La muestra de empresas en los modelos de predicción de fracaso: influencia de resultados de clasificación. Revista de métodos cuantitativos para la economía y la empresa, 15(1), 133-150.
  • He, J. y Ng, L., (1998). The Foreign Exchange Exposure of Japanese Multinational Corporations, The Journal of Finance, 53(2), 733-753.
  • Huber, P. J. (1967). The behavior of maximum likelihood estimates under nonstandard conditions. Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability, 1, 221–233.
  • Hutson, E. y Laing, E. (2014). Foreign exchange exposure and multinationality. Journal of Banking & Finance, 43, 97-113.
  • Hutson, E. y O´Driscoll, A. (2010). Firm-level exchange rate exposure in the Eurozone. International Business Review, 19(1), 468-478.
  • Ito, T., Koibuchi, S., Sato, K., y Shimizu, J. (2016). Exchange rate exposure and risk management: The case of japanese exporting firms. Journal of the Japanese and International Economies, 41(1), 17-29.
  • Jin, Y. y Jorion, P. (2006). Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers. The Journal of Finance, 61(2), 893-919.
  • Jong, A., Ligterink, J. y Macrae, V. 2006. A Firm-Specific Analysis of the Exchange Rate Exposure of Dutch Firms. Journal of International Financial Management and Accounting, 17(1), 1-28.
  • Jorion, P. (1990). The Exchange Rate Exposure of U.S. Multinationals. Journal of Business, 13(11), 375-386.
  • Kieschnick, R., y Rotenberg, W. (2015). Working Capital Management, the Credit Crisis, and Hedging Strategies: Canadian Evidence. Journal of International Financial Management & Accounting, 27(2), 208-232.
  • Krapl, A. y O´Brien, T. (2014). A comparison of FX exposure estimates with different control variables. Applied Financial Economics, 24(1), 437-451.
  • Lessard, D. y Lightsone, J. (1986). Volatile Exchange Rates Can Put Operations at Risk. Harvard Business Review, 64(4), 107-114.
  • Martínez, P. (1997). La Sensibilidad al Riesgo de Cambio en función de las Características Sectoriales. Actualidad Financiera, 11(11), 61-71.
  • Martinez, P. (1999). Metodología para la Medición de la Exposición Económica al Riesgo de Cambio: una Revisión, Información Comercial Española. Revista de Economía, 780, 63-79.
  • Martínez, P. y Berges, A. (2000). El riesgo de cambio en la empresa española, Revista de Economía Aplicada, 8(24), 81-104.
  • Martinez, P. y Martinez, M. (2002). Factores Determinantes de la Cobertura del Riesgo de Cambio mediante Operaciones Forward. Revista Europea de Dirección y Economía de la Empresa, 11(1), 37-50.
  • Meese, R. (1990). Currency Fluctuations in the Post Bretton Woods Era. Journal of Economic Perspectives, 4(1), 117-134.
  • Mozumder, N., De Vita, G., Larkin, C., y Kyaw, K. S. (2015). Exchange rate movements and firm value: Evidence from European firms across the financial crisis period. Journal of Economic Studies, 42(4), 561-577.
  • Muller, A. y Verschoor, W. (2006). European Foreign Exchange Risk Exposure. European Financial Management, 12(1), 195220.
  • Muller, A. y Verschoor, W. (2007). Asian foreign exchange risk exposure. Journal of the Japanese and International Economies, 21(1), 16-37.
  • Muller, A. y Verschoor, W. (2008). The Latin American exchange exposure of U.S. multinationals. Journal of Multinational Financial Management, 18(1), 112-130.
  • Nydahl, S. (1999). Exchange Rate Exposure, Foreign Involvement and Currency Hedging of Firms: Some Swedish Evidence. European Financial Management, 5(1), 241-257.
  • Paramati, S. R., Gupta, R., Maheshwari, S., y Nagar, V. (2016). The empirical relationship between the value of rupee and performance of information technology firms: evidence from India. International Journal of Business and Globalisation, 16(4), 512-529.
  • Streit, D. (2016). Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor. Journal of International Money and Finance, 60(1), 289-312.
  • Stulz, R. y Williamson R. (1997). Identifying and Quantifying Exposures. Financial Risk and the Corporate Treasury, Risk Publications, 33-51.
  • Takatoshi, I., Satoshi, K., Kiyotaka, S., y Junko, S. (2013) Exchange rate exposure and Exchange rate risk management: the case of Japanese exporting firms. Rieti Discussion Papers, Series 13-E-025.
  • Tsai, C. L. (2015). How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis? Energy Economics, 50(1), 47-62.
  • White, H. (1980). A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. Econometrica, 48(1), 817–838.
  • White, H. (1982). Maximum likelihood estimation of misspecified models. Econometrica, 50, 1–25.
  • Williamson, R. (2001). Exchange Rate Exposure and Competition: Evidence from de World Automotive Industry. Journal of Financial Economics, 59(1), 441-475.