How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock?
研究2015年瑞士法郎突然升值17%的事件，发现企业无法通过价格传导和对冲完全规避极端汇率风险，在竞争激烈的行业尤其明显，且投资下降源于盈利机会减少而非融资约束。
Abstract Past research has suggested that firms can significantly reduce their exposure to moderate exchange rate fluctuations by means of pass-through and hedging. Studying the appreciation of the Swiss franc by 17% on January 15, 2015, we show that firms remain exposed to extreme currency events. Pass-through, a way to share the costs of exchange rate risk with foreign customers, fails after extreme exchange rate shocks, particularly in competitive industries. Firms’ exposure to currency tail risk has real consequences for their investment. The decrease in investment is explained by a reduction in profitable investment opportunities and not by financial constraints. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.