Currency Matching and Carry Trade by Non-Financial Corporations
JRC Working Papers in Economics and Finance, 2017/2
The paper investigates firms’ willingness to match the currency composition of their assets
and liabilities and their incentives to deviate from perfect matching. Using detailed information
at the loan contract level for the Hungarian non-financial corporate sector, the paper provides
strong evidence to support the theory that currency matching plays a role in exporters’ debt
currency choices. However, natural hedging is not the primary motivation for firms to choose
foreign currency: it explains less than 5 per cent of the overall new corporate foreign currency
loans contracted by exporters and less than 2 per cent of the aggregate new foreign currency
bank loans. Besides hedging, our results suggest that both carry trade and diversification
strategies are relevant factors in firms’ currency-of-denomination decisions.
KATAY Gabor;
HARASZTOSI Peter;
2017-05-19
Publications Office of the European Union
JRC106277
978-92-79-67439-6,
2467-2203,
OP KJ-AE-17-002-EN-N,
https://publications.jrc.ec.europa.eu/repository/handle/JRC106277,
10.2760/936295,
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