Click here for search results
Exchange rate risk management : evidence from East Asia, Volume 1
Author:Allayannis, George; Brown, Gregory W.; Klapper, Leora F.; Collection Title:Policy, Research working paper ; no. WPS 2606
Country:Taiwan, China; Hong Kong SAR, China; Korea, Republic of; Philippines; Malaysia; Thailand; Indonesia; Singapore; Date Stored:2001/06/15
Document Date:2001/05/31Document Type:Policy Research Working Paper
Language:EnglishMajor Sector:Finance
Region:East Asia and Pacific; OTHReport Number:WPS2606
Sub Sectors:Other FinanceSubTopics:Environmental Economics & Policies; Payment Systems & Infrastructure; Economic Theory & Research; Banks & Banking Reform; Strategic Debt Management; Financial Intermediation
Volume No:1  

Summary: The recent East Asian financial crisis provides a natural experiment for investigating foreign exchange risk management by nonfinancial corporations. During this period, the financial crisis exposed local firms to large depreciations in exchange rates and reduced access to foreign capital. The authors explore the exchange rate hedging practices of firms that hedged exposure to foreign debt in eight East Asian countries between 1996 and 1998. They identify and characterize East Asian companies that used foreign currency derivatives, documenting differences in size, financial characteristics, and exposure to domestic and foreign debt. They investigate the factors improtant in the use of foreign currency derivatives. Unlike studies of US firms, they find limited support for existing theories of optimal hedging. Instead, they find that firms use foreign earnings as a substitute for hedging with derivatives. And they find evidence that firms engage in "selective" hedging. They investigate the relative performance of hedgers during and after the crisis. They find no evidence that East Asian firms eliminated their foreign exchange exposure by using derivatives. Firms that used derivatives before the crisis performed just as poorly as nonhedgers during the crisis. After the crisis, firms that hedged performed somewhat better than nonhedgers, but this result appears to be explained by a larger post-crisis currency exposure for hedgers (an exchange rate risk premium), which had limited access to derivatives during this period.

Official Documents
Official, scanned versions of documents (may include signatures, etc.)
File TypeDescriptionFile Size (mb)
PDF 50 pagesOfficial version*3.5 (approx.)
TextText version**
How To Order
Light-Weight Documents
Lighter (less MB) documents which may or may not be the final, official version
File TypeDescriptionFile Size (mb)
PDF 65 pagesWPS26060.19

* The official version is derived from scanning the final, paper copy of the document and is the official,
archived version including all signatures, charts, etc.
** The text version is the OCR text of the final scanned version and is not an accurate representation of the final text.
It is provided solely to benefit users with slow connectivity.

Permanent URL for this page: