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Does exchange rate depreciation have contractionary effects on firm-level investment?

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  • Jose Maria Serena

    (BIS)

  • Ricardo Sousa

    (ESM)

Abstract

We assess the conditions under which exchange rate fluctuations are contractionary for firm-level investment. To address this question, we match firm-level balance sheet data with a large dataset of firm-level bonds for about 1,000 firms from 36 emerging market economies over the period 1998–2014. We augment a standard firm-level investment model to control for (country-specific) macroeconomic variables, and interact the effect of an exchange rate depreciation with several dimensions of bond composition, namely: 1) currency of issuance; 2) maturity structure of bonds; and 3) market of issuance. We find that, conditional on the amount of debt issued in foreign currency, an exchange rate depreciation can have a contractionary impact on a firm’s investment spending. We also find that the market of issuance and maturity structure, in particular, when coupled with foreign currency-denominated debt can influence this impact.

Suggested Citation

  • Jose Maria Serena & Ricardo Sousa, 2018. "Does exchange rate depreciation have contractionary effects on firm-level investment?," Working Papers 26, European Stability Mechanism.
    • Handle: RePEc:stm:wpaper:26
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    More about this item

    Keywords

    Investment; exchange rate; balance sheet; bonds; firm-level data; debt;
    All these keywords.

    JEL classification:

    • F2 - International Economics - - International Factor Movements and International Business
    • F3 - International Economics - - International Finance
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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