Carry Trades and FX Risk Buffers: Foreign Currency Debt of Emerging Market Firms
利用企业层面资产与负债的货币构成数据，发现新兴市场非金融企业通过发行短期外币债务并持有本币流动资产进行利差交易，同时保留部分外币资产作为外汇风险缓冲，且上市公司参与更多、缓冲更少。
Abstract The surge in foreign currency (FC) corporate debt in emerging economies has sparked concerns about macroeconomic stability, heightened by speculation about non-financial firms engaging in carry trades. Using firm-level data on the currency denomination of both assets and liabilities, we find evidence of firms' carry trades: firms save in local currency liquid assets and earn higher interest income after issuing short-term FC debt. They also set aside FC liquid assets as FX risk buffers. A large degree of heterogeneity in incentives is observed. Notably, listed firms participate more in carry trades and allocate less FX risk buffers than non-listed firms.