Capital Structure and Financial Risk: Evidence from Foreign Debt Use in East Asia
利用东亚非金融企业数据，分析企业选择本币、外币或对冲后本币债务的决定因素，并发现亚洲金融危机期间使用对冲后本币债务的企业市值跌幅最大，可能源于衍生品市场流动性不足。
Abstract Using a data set of East Asian nonfinancial companies, we examine a firm's choice between local, foreign, and synthetic local currency (hedged foreign currency) debt. We find evidence of unique as well as common factors that determine each debt type's use, indicating the importance of examining debt at a disaggregated level. We exploit the Asian financial crisis as a natural experiment to investigate the role of debt type in firm performance. Surprisingly, we find that the use of synthetic local currency debt is associated with the biggest drop in market value, possibly due to currency derivative market illiquidity during the crisis.