监管套息交易：来自印度企业外币借款的证据
Regulating Carry Trades: Evidence from Foreign Currency Borrowing of Corporations in India
Review of Economic Studies · 2024 · [{"name": "Viral V. Acharya", "affiliation": ["Center for Economic and Policy Research", "New York University"]}, {"name": "Siddharth Vij", "affiliation": []}]
中文摘要
摘要：我们证实，限制资本流动的宏观审慎管制能够遏制新兴市场企业外币借款所产生的风险。企业层面数据显示，当印度与美国之间的利差更高时，印度企业倾向于发行更多外币债务。然而，一旦监管机构对借款利率实施更严格的上限，这种“套息交易”关系便会瓦解；作为回应，风险较高的借款人减少发行的幅度最大。在采用这一宏观审慎措施之前，发行人的股价对汇率风险的敞口在发行后上升，2013年“缩减恐慌”事件即为例证；该措施消除了这一脆弱性来源，这在2018年10月油价冲击和新冠疫情暴发期间得到证实。我们没有发现证据表明该政策的有效性因泄漏或监管套利而受到削弱。
Abstract
Abstract We establish that macroprudential controls limiting capital flows can curb risks arising from foreign currency borrowing by corporates in emerging markets. Firm-level data show that Indian firms tend to issue more foreign currency debt when the interest rate differential between India and the U.S. is higher. This “carry trade” relationship, however, breaks down once regulators institute more stringent interest rate caps on borrowing; in response, riskier borrowers cut issuance most. Prior to adoption of this macroprudential measure, stock price exposure of issuers to currency risk rises after issuance, as witnessed during the “taper tantrum” episode of 2013; this source of vulnerability is nullified by the measure, as confirmed during the October 2018 oil price shock and the COVID-19 outbreak. We find no evidence of the policy’s efficacy being undermined by leakage or regulatory arbitrage.