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Currency Depreciation and Emerging Market Corporate Distress

50 Pages Posted: 12 Dec 2016 Last revised: 15 May 2017

Valentina Bruno

American University - Department of Finance and Real Estate

Hyun Song Shin

Bank for International Settlements

Date Written: May 15, 2017

Abstract

How do emerging market corporates fare during periods of currency depreciation? We find that non-financial firms that issued dollar-denominated bonds for financial reasons are also the firms whose share prices are most vulnerable to local currency depreciation. The results are consistent with the existence of currency mismatches in the balance sheet, with implications for creditworthiness in an environment of depreciating currencies.

Keywords: emerging market corporate debt, currency mismatch, China

JEL Classification: E44, G15

Suggested Citation

Bruno, Valentina and Shin, Hyun Song, Currency Depreciation and Emerging Market Corporate Distress (May 15, 2017). Available at SSRN: https://ssrn.com/abstract=2883488 or http://dx.doi.org/10.2139/ssrn.2883488

Valentina Giulia Bruno (Contact Author)

American University - Department of Finance and Real Estate ( email )

Kogod School of Business
4400 Massachusetts Ave., N.W.
Washington, DC 20016-8044
United States

HOME PAGE: http://www.american.edu/kogod/faculty/bruno.cfm

Hyun Song Shin

Bank for International Settlements ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

HOME PAGE: http://www.bis.org/author/hyun_song_shin.htm

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