外汇汇率风险规避(1)

May28,2002HedgingForeignExchangeExposure:RiskReductionfromTransactionandTranslationHedging∗AbstractUsingasampleofSwedishfirmsweinvestigatetheriskreducingeffectofforeignexchangeexposurehedging.Further,weinvestigateriskreductionfromusingdifferenthedginginstruments,andparticularinterestisdirectedtowardstheimpactoftransactionexposurehedgesandtranslationexposurehedgesrespectively.Wefindthatfirms’foreignexchangeexposureisincreasingwiththelevelofinherentexposure,measuredasthedifferencebetweenrevenuesandcostsdenominatedinforeigncurrency,andthatitisdecreasingwithfirmsize.Wefindasignificantreductioninforeignexchangeexposurefromtheuseoffinancialhedges.Theevidencesuggeststhattheusageofforeigndenominateddebtaswellascurrencyderivativesreducefirms’foreignexchangeexposure.Further,wefindthattransactionexposurehedgessignificantlyreduceexposure,andthattranslationexposurehedgesalsoreduceexposure.Apossibleexplanationforthelatteristhattranslationexposureapproximatestheexposedvalueoffuturecashflowsfromoperationsinforeignsubsidiaries(i.e.economicexposure).Ifso,byhedgingtranslationexposure,economicexposureisreduced.NiclasHagelinandBengtPramborgDepartmentofCorporateFinanceSchoolofBusiness,StockholmUniversityS-10691Stockholm,SwedenTelephone:[phone]E-mail:[e-mail]∗Thispaperhasbenefitedsubstantiallyfromsuggestionsbytwoanonymousrefereesandtheeditor,RichardM.Levich,andwearegratefulfortheircontributions.WewouldalsoliketothankJohanAdolphson,NiclasAndrén,HosseinAsgharian,DavidBurnie,MartinHolmen,J.AustinMurphy,LarsNordén,FredrikStenberg,CarstenSørensen,andMartinR.Youngforvaluablecomments.WealsoacknowledgecommentsfromparticipantsintheEFMAConference2001inLugano,the13thAnnualPACAP/FMAFinanceConference2001inSeoul,the31stFMAAnnualMeeting2001inToronto,andcommentsfromworkshopparticipantsatSchoolofBusiness,StockholmUniversity,andattheArneRydeWorkshopinEmpiricalFinance2001,LundUniversity.1IntroductionThepurposeofthispaperistoinvestigatetherelationshipbetweenforeignexchange(FX)exposureandhedgingactivityusingfinancialinstruments.Ourstudyismotivatedbythepossibilitythatexposuremanagementmaybecostly,butyetineffectiveinreducingtotalrisk.CopelandandJoshi(1996)arguedthatanticipatingtheconsequencesofhedgingisdifficultsincesomanyothereconomicfactorschangewhenFXrateschange.Asaconsequence,hedgingactivityrisksbeingwastefultothefirm’sshareholders,andmayactuallyincreaseexposure.Surveyevidencesuggeststhatfirms’managementperceivehedgingascomplicated(seeAlkebäckandHagelin,1999).Hence,knowledgeaboutwhetherornothedgingissuccessfulisofimportancetoshareholders.1Untilrecently,littleefforthasbeendirectedtoanalyzewhetherfirmsaresuccessfulornotinreducingriskpertainingtoFXexposure.Afewrecentstudieshave,however,attemptedtoanswerthisquestion.TheFXexposureof171JapanesemultinationalswasexaminedbyHeandNg(1998).Theydocumentedthat25percentofthefirmsexperiencedsignificantFXexposure.TheextenttowhichafirmwasexposedtoFXriskwaslinkedtothefirm’sexportratio.HeandNg(1998)alsoexaminedtherelationshipbetweenFXexposureandvariablesthatwereassumedtoreflectderivativesusage.TheresultsshowedthatfirmsthatwerepredictedtohedgehadlowerFXexposure,onaverage,thancomparablesamplefirms.Nydahl(1999)investigated47Swedishfirms’FXexposure.Theevidenceshowedthatexposureincreasedwiththefractionofsalesclassifiedasforeign.Further,usingsurveyevidenceonfirms’hedgingofforeignassets,Nydahl(1999)examinedtheassociationbetweentranslationexposurehedgingandFXexposure.Theresultsindicatethattranslationhedgingreducedthesamplefirms’FXexposure.AllayannisandOfek(2001)analyzedthelinkbetweenFXexposureandtheuseofcurrencyderivativesforasampleofnonfinancialS&P500firms.Theyusedrecentlyreportedinformation1Inadditiontoreducetotalrisk,toaddvaluehedgingmustbeaimedatminimizingtheadvertimpactfrommarketimperfections,suchasprogressivetaxrates,costsoffinancialdistress,andagencyproblems(seeSmithandStulz,1985).1onfinancialinstrumentswithoff-balancesheetrisk,whichfirmsintheU.S.havebeenrequiredtoreportunderSFASNo105since1991,toinvestigatewhethercurrencyderivativesusagereducedfirms’FXexposure.TheirevidencesuggestedthatderivativesusagereducedFXexposure.Guay(1999)alsousedU.S.dataonderivativesusagethatwasmadeavailableduetotheissueofSFASNo105.Incontrasttothecross-sectionalstudyofAllayannisandOfek(2001)Guay(1999)examinedthechangeintherisklevelforfirmssurroundingeachfirm’sinceptionofderivativesusage.Firmriskwasfoundtodecreasefollowingtheinception.Wong(2000)investigatedtheFXexposureofmanufacturingfirmsintheU.S.totestforanassociationbetweenFXexposureandderivativedisclosuresrequiredbytheSFASNo119(anditspredecessorsSFASNo105and107).HedocumentedweakassociationsbetweenderivativedisclosuresandFXexposureandsuggestedthatthiscanbeduetoinabilityincontrollingforfirms’inherentexposuresandshortcomingsoftheaccountingdisclosures.Nevertheless,takentogethertheresultsofthefivestudiespresentedabovesuggestthattheuseofcurrencyderivativesmayhelptoreducefirms’FXexposure.Thisstudycontributestotheexistingliteraturemainlybyanalyzinghowfirms’FXexposureisaffectedbydifferenttypesofhedges.Incontrasttoearlierstudies,weinvestigat