Currency Matching and Carry Trade by Non-Financial CorporationsJRC Working Papers in Economics and Finance, 2017/2

摘要

The paper investigates firms’ willingness to match the currency composition of their assetsand liabilities and their incentives to deviate from perfect matching. Using detailed informationat the loan contract level for the Hungarian non-financial corporate sector, the paper providesstrong evidence to support the theory that currency matching plays a role in exporters’ debtcurrency choices. However, natural hedging is not the primary motivation for firms to chooseforeign currency: it explains less than 5 per cent of the overall new corporate foreign currencyloans contracted by exporters and less than 2 per cent of the aggregate new foreign currencybank loans. Besides hedging, our results suggest that both carry trade and diversificationstrategies are relevant factors in firms’ currency-of-denomination decisions.