企業發行外幣債券的貨幣選擇：機會主義在金融海嘯期間是否仍存在？

Abstract

企業在發行債券時，除了使用本國貨幣發行之外，也有可能因為自然避險、流動性不足或是節省成本等原因去發行外幣債券。而過去的實證研究顯示，企業會因為機會主義而去選擇發行外幣債券的貨幣。 本論文收集了從2004年到2018年，50個國家，2024間企業的債券發行資料，針對主要的六個貨幣，建立縱橫資料，並利用固定效果模型去分析在金融海嘯期間，企業是否仍會因為機會主義，而去選擇發行外幣債券的貨幣，還是會因為金融市場的不穩定，匯率風險的上升，而放棄利率導向的貨幣選擇。 從研究的結果我們發現，企業在金融海嘯期間不會因為機會主義而去選擇發行外幣債券的貨幣，企業在金融海嘯期間多因為自然避險的原因去發行外幣債券。而在機會主義方面，相較於未拋補收益對於企業發行外幣債券有顯著的影響，拋補收益則沒有顯著的影響。另外我們也發現，企業可能認為匯率具有回歸均值的特性。 本文期望藉由區分一般期間以及金融海嘯期間，讓我們對於企業在金融危機期間的外幣債券發行行為，有更深入的了解。

In addition to issuing domestic bonds, firms issue foreign-currency bonds for some reasons, such as natural hedge, lack of liquidity, cost-saving. According to past literature, firms will choose their issuance currencies for the opportunistic motive. In this paper, we collect the bond-issuing data from 50 countries and 2024 firms in the period from 2004 to 2018. We focus on six main currencies and use panel data method. By using fixed effects model, we test, during financial crisis, whether firms choose issuance currencies for opportunistic incentives or they will abandon the interest-driven currency choice due to instability in financial market and rising exchange rate risk. Our findings show that firms will not choose their issuance currencies for opportunistic incentives during financial crisis. During financial crisis, firms issued foreign-currency bonds for natural hedge mostly. In the perspective of opportunism, uncovered yields have a significant impact when firms choose their issuance currencies, while covered yields do not. In addition, we also find that firms might expect exchange rate to have the property of mean reversion. We hope to have a deeper understanding of the firms’ choice of issuance currency during financial crisis by dividing the period into the general period and the financial crisis period.