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Deuda empresarial denominada en dólares y depreciación: ¿mucho ruido y pocas nueces?

  • Hoyt Bleakley
  • Kevin Cowan

(Disponible en idioma inglés únicamente) Es mucho lo que se ha escrito recientemente sobre los problemas de los mercados emergentes que pueden ser producto del descalce entre los pasivos denominados en divisas y los activos (o flujos de ingresos) denominados en la moneda del país. En particular, varios modelos desarrollados tras las crisis financieras de finales de los años 90 sugieren que el aumento del valor en términos de pesos de los pasivos en dólares producto de una devaluación puede compensar, mediante un efecto de valor neto, las repercusiones de la competencia expansionista. Determinar con precisión cuál de los dos efectos es el predominante es, en última instancia, una cuestión empírica. Desde esta óptica, en este trabajo se elabora una nueva base de datos con información contable (incluida la composición en divisas de los pasivos) de más de 450 compañías no financieras en cinco países latinoamericanos. Los autores calculan, al nivel de empresa, el efecto de forma reducida que tiene la tenencia de instrumentos de deuda denominada en divisas sobre la inversión, durante un período de reacomodo del tipo de cambio. Se ha hallado de manera sistemática que, contrariamente al signo predicho del efecto del valor neto, las compañías que tienen más deuda en dólares no invierten menos que sus contrapartes a continuación de una depreciación. El trabajo muestra que este resultado se debe a que las compañías hacen corresponder la denominación en divisas de sus pasivos con la sensitividad de sus ganancias al tipo de cambio. Esta correspondencia permite que las compañías que mantienen deudas en dólares compensen los efectos negativos de una depreciación en su balance general con el mayor grado de competitividad que obtienen.

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Paper provided by Inter-American Development Bank, Research Department in its series Research Department Publications with number 4412.

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Date of creation: Jul 2005
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Handle: RePEc:idb:wpaper:4412
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