Financial Development, Exchange Rate Fluctuations and Debt Dollarization: A Firm-Level Evidence / Minsuk Kim.

Format:

Book

Government document

Author/Creator:

Kim, Minsuk.

Series:

IMF Working Papers; Working Paper ; No. 2019/168

IMF Working Papers

Language:

English

Physical Description:

1 online resource (43 pages)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2019.

Summary:

This paper examines how financial development influences the debt dollarization of nonfinancial firms in a sample of emerging market economies (EMEs). The macroeconomic channels are identified from an optimal portfolio allocation model and assessed empirically using the accounting information of nonfinancial firms from 21 EMEs during 2009–2017. The results show that financial development, measured by the private credit-to-GDP ratio, mainly reduces the influence of exchange rate volatility in determining a firm's debt currency composition, among other channels. Furthermore, the effect of exchange rate volatility becomes statistically insignificant beyond an estimated threshold credit-to-GDP ratio of 100 percent.

Contents:

Cover

Contents

I. Introduction

II. Related Literature

III. An Illustrative Model

IV. Firm-Level Data

V. Econometric Analysis

A. Data Description

B. Main Results

C. Robustness Tests

D. Evidence From Taper Tantrum

VI. Concluding Remarks

Appendices

I. Data

II. Mathematical Proof

III. Additional Summary Statistics

References

Figures

1. Financial Depth and Size of Foreign Exchange Derivative Markets

2. Average Marginal Effects of Exchange Rate Volatility on Dollar Debt Ratio

3. Post-Crisis Correlation Between Financial Depth and KA Openness

Tables

1. Firm-Level Variables: Summary Statistics

2. Macroeconomic Variables: Summary Statistics and Correlations

3. Macroeconomic Determinants of Dollar Debt Ratio

4. Reverse Causality

5. Capital Account Openness

6. Additional Robustness Tests

7. Impact of Exchange Rate Shocks on Investment

I.1. Average Dollar Debt Ratio in Select EMEs (Percent, End-2014)

I.2. Short-Term Interest Rates

III.1. Firm Characteristics By Dollar Debt Ratio

III.2. Sample Mean by Economy and Year.

Notes:

Description based on publisher supplied metadata and other sources.

ISBN:

9781513511146

1513511149

9781513511177

1513511173

OCLC:

1117633456