Análisis de inversión y ganancias cambiarias en empresas mexicanas mediante regresión cuantílica: 1990-2018
DOI:
https://doi.org/10.24275/uam/azc/dcsh/ae/2021v36n91/MoralesPalabras clave:
ganancias cambiarias, descalces monetarios, inversión, saldo cambiarioResumen
Mediante una regresión cuantílica se demuestra que de 1990 a 2018 los impactos de las inversiones empresariales, la deuda en dólares y el tipo de cambio son diferenciados para los diversos niveles de ganancias cambiarias de un conjunto de empresas mexicanas. El valor del dólar y la deuda en moneda extranjera impactan negativamente las ganancias, y las inversiones en inmuebles, planta y equipo y el capital de trabajo neto tienen mayor influencia en la obtención de ganancias. La relación entre las ganancias cambiarias y las inversiones en activos recientes, intangibles y el capital del trabajo neto no se ha estudiado anteriormente. Estos resultados pueden ser útiles para la planeación de inversiones como un medio de administración del riesgo de pérdidas cambiarias.
Clasificación JEL: F31; F36; F65; G32.
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Bernanke, B.; Gertler, M. and Gilehrist, S. (1998). The Financial Accelerator in a Quantitative Business Cycle Framework. National Bureau of Economic Research, Working Paper, 6455.
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Bonono, M., Martins, B. and Pinto R. (2004). Debt composition and exchange rate balance sheet effects in Brazil: a firm level analysis. Ensaios Econômicos, No. 535, 1-39.
Brown, M., Ongena, S. and Yesin, P. (2011). Foreign currency borrowing by small firms in the transition economies. Journal of Financial Intermediation, vol. 20, (3), 285–302. https://doi.org/10.1016/j.jfi.2010.12.001
Byström, H. (2017). The currency composition of firms' balance sheets, asset value correlations, and capital requirements. Global Finance Journal, Vol. 34, 89–99. https://doi.org/10.1016/j.gfj.2017.03.007
Cabrera, J. M. y Munyo, J. C. (2008). Depreciación cambiaria, Dolarización e Inversión: Un Análisis Empírico con datos de panel a nivel de empresa. Revista de Economía. Banco Central de Uruguay. Vol. 15, No. 2, 117-167. Disponible en: http://www2.um.eduy/jmcabrera/Research/Balance%20Sheet%20%20Revista%20Eco.pdf
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Chui, M., Kuruc, E. and Turner, P. (2016). A new dimension to currency mismatches in the emerging markets: non-financial companies. BIS Working Papers, 550.
Davino, C.; Furno, M. and Vistocco, D. (2014). Quantile regression: theory and applications, Pondicherry, India: John Wiley and Sons.
Diaz, C. (1963). A note on the impact of devaluation and redistributive effect. The Journal of Political Economy, Vol. 71, No. 6, p. 577-580.
Doms, M. y Dunne, T. (1998). Capital Adjustment Patterns in Manufacturing Plants. Review of Economic Dynamics, 1(2), 409-429. https://doi.org/10.1006/redy.1998.0011
Fernández, J., Valencia, M. y Vásquez, F. (2019). Descalce cambiario del sector corporativo no financiero chileno y su efecto en resultados. Economía Chilena, 22 (1), 102-130.
Ghosh, S. (2008). Leverage, Foreign borrowing and corporate performance: firm-level evidence for India. Applied Economics Letters, 15, 607–616. https://doi.org/10.1080/13504850600722047
Harasztosi, P. y Kátay, G. (2020). Currency matching by non-financial corporations. Journal of Banking and Finance, Vol. 113, 1-20. https://doi.org/ 10.1016/j.jbankfin.2020.105739
Hardy, B. (2018). Foreign currency borrowing, balance sheet shocks, and real outcomes. BIS Working Papers, No 758.
Indawan, F., Fitriani, S., Karlina, I. y Grace, M.V. (2015). The Role of Currency Hedging on Firm Performance: A Panel Data Evidence in Indonesia. Bulletin of Monetary, Economics and Banking, Vol. 17 (3), 279-298. https://doi.org/10.21098/bemp.v17i3.39
Jiménez, F. (2017). Macroeconomía. Enfoques y Modelos. Lima: Editorial Macro.
Kadirgan, C. (2019). Exchange Rate Driven Balance Sheet Effect and Capital Flows to Emerging Market Economies. Central Bank of the Republic of Turkey Working Paper, No: 19/16. Consultado en: https://ideas.repec.org/p/tcb/wpaper/1916.html
Keller, L. (2019). Capital Controls and Risk Misallocation: Evidence from a Natural Experiment. Manuscrito. Disponible en línea:
https://rodneywhitecenter.wharton.upenn.edu/wp-content/uploads/2019/12/10-19.Keller.pdf
Keynes, J. M. (1936). Teoría general de la Ocupación, el interés y el dinero. México: Fondo de Cultura Económica. Varias reimpresiones.
Koenker, Roger and Bassett, Gilbert. (1978). Regression quantiles. Econometrica, 46 (1), 33–50. https://doi.org/0012-9682(197801)46:1<33:RQ>2.0.CO;2-J
Koenker, Roger and Bassett, Gilbert Jr. (1982). Robust Tests for Heteroskedasticity Based on Regression Quantiles. Econometrica, 50 (1), 43-62. https://doi.org/ 10.2307/1912528
Kohler, K. (2019). Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles. PKES Working Paper, Post Keynesian Economics Society (PKES), 1906.
Krugman, P. and Tylor, L. (1978). Contractionary effects of devaluation. Journal of International Economics, Vol. 8 (3), pp. 445-456. https://doi.org/10.1016/0022-1996(78)90007-7
Kuruc, E., Tissot, B. and Turner, P. (2016). Looking at aggregate currency mismatches and beyond. Conference on “Uses of Central Balance Sheet Data Offices´ information”, 45.
Madura, J. (2015). Administración financiera Internacional. México: Cengage Learning.
Mamani, J. G. (2014). El efecto del tipo de cambio en la inversión privada en economías en desarrollo y abiertas; evidencia empírica boliviana (1990-2013). Tesis licenciatura. Facultad en Ciencias en Economía y Financieras. Universidad Mayor de San Andrés.
Mankiw, N. G. (2006). Macroeconomía. Barcelona: Antoni Bosch.
Margaritis, D. and Psillaki, M. (2010). Capital Structure, Equity Ownership and Firm Performance. Journal of Banking & Finance, 34 (3), 621–632. https://doi.org/10.1016/j.jbankfin.2009.08.023
Mesa, F. y Salguero, L. (1998). Efectos de la Tasa de cambios real sobre la Inversión real en un modelo de transferencia de precios (pass through). Revista de Economía del Rosario, Vol.1 (1), p. 111-143.
Mishkin, F. S. (2014). Moneda, Banca y Mercados Financieros. México: Pearson.
Myers, S. C. and Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information the Investors do not have. Journal of Financial Economics, vol. 13(2), 187-221. https://doi.org/10.1016/0304-405X(84)90023-0
Nucci, F. y Pozzolo, A. F. (2001). Investment and the Exchange Rate: An Analysis with Firm-Level Panel Data. European Economic Review, vol. 45 (2), 259-283. https://doi.org/10.1016/S0014-2921(00)00050-7
Ribeiro, M., Toneto, R., Vieira, M. and Tarantin, W. (2017). The Correlation Effect between Commodity Prices and Exchange Rate for Brazilian Firms’ Balance Sheets. Inter-American Development Bank (IDB), Technical Note, No. IDB-TN-1168, 1-60.
Romer, D. (2006). Macroeconomía Avanzada. Madrid: McGraw-Hill.
Saldaña, L. y Velásquez, M. (2007). Impacto del tipo de cambio en las decisiones de inversión de las empresas peruanas entre 1994 y el 2005. Pontificia Universidad Católica del Perú. Documento de trabajo 254, 1-42.
Salomao, J. and Varela L. (2018). Exchange Rate Exposure and Firm Dynamics. Working paper, University of Minnesota.
Serena, J. M. and Sousa, R. (2017). Does exchange rate depreciation have contractionary effects on firm level investment? BIS Working Papers, No. 624. https://www.bis.org/publ/work624.htm
Shapiro, A. C. (1984). The impact of taxation on the currency-of-denomination decision for long-term foreign borrowing and lending. Journal of International Business Studies, vol. 15, (1), pp. 15–25. https://doi.org/10.1057/palgrave.jibs.8490468
Tobal, M. (2013). Currency Mismatch: New database and indicators for Latin America and the Caribbean. Center for Latin American Monetary Studies CEMLA Research Papers, 12.
Tobal, M. (2014). Prudential regulation, currency mismatches and exchange rate regimes in Latin America and the Caribbean. Center for Latin American Monetary Studies (CEMLA), Research Papers, 17.
Tobal, M. (2018). Currency mismatch in the banking sector in Latin America and the Caribbean. International Journal of Central Banking, 14 (1), 317-364.
Uribe, Jorge M. y Guillen, M. (2020). Quantile Regression for Cross-Sectional and Time Series Data Applications in Energy Markets Using R. Cham, Switzerland: Springer Nature.
Venkatesh, H. y Gourishankar S. (2019). Currency mismatches in Emerging Market Economies: Measurement, causes and policy implications, Presentation, 18th Annual Conference on Macroeconomics and Finance, Mumbai, India, december 16 y 17, 2019.
Alfaro, L., Asis, G., Chari, A. and Panizza, U. (2017). Lessons Unlearned? Corporate Debt in Emerging Markets. NBER Working Paper, National Bureau of Economic Research, 23407.
Allayannis, G., Brown, G. and Klapper, F. (2003). Capital structure and financial risk: evidence from foreign debt use in East Asia. Journal of Finance, vol. 58, (6), pp. 2667–2710. https://doi.org/10.1046/j.1540-6261.2003.00619.x
Álvarez, R. and Hansen, E. (2017). Corporate currency risk and Hedging in Chile: Real and Financial Effects. IDB Working Papers Series, No. IDB-WP-769.
Banerjee, R., Hofmann, B. and Mehrotra, A. (2020). Corporate investment and the exchange rate: The financial channel. BOFIT Discussion Papers. BOFIT The Bank of Finland Institute for Economies in Transition, 6.
Benetrix, A. S., Lane, P. R., and Shambaugh, J. C. (2015). International currency exposures, valuation effects and the global financial crises. Journal of International Economics, vol. 96, supplement 1, S98-S109. https://doi.org/ 10.1016/j.jinteco.2014.11.002
Bernanke, B.; Gertler, M. and Gilehrist, S. (1998). The Financial Accelerator in a Quantitative Business Cycle Framework. National Bureau of Economic Research, Working Paper, 6455.
Bianchi, J. and Mondragon, J. (2018). Monetary independence and rollover crisis. Working Papers 755, Federal Reserve Bank of Minneapolis, revised 03 Dec. 2018. https://doi.org/10.21034/wp.755
Bonomo, M. and Terra, M.C. (2001). The Dilemma of Inflation vs. Balance of Payments: Crawling Pegs in Brazil: 1964-98. In Frieden J. y Stein E. (eds.) The currency game: Exchange Rate Politics in Latin America, 119-155. Washington, Inter-American Development Bank.
Bonono, M., Martins, B. and Pinto R. (2004). Debt composition and exchange rate balance sheet effects in Brazil: a firm level analysis. Ensaios Econômicos, No. 535, 1-39.
Brown, M., Ongena, S. and Yesin, P. (2011). Foreign currency borrowing by small firms in the transition economies. Journal of Financial Intermediation, vol. 20, (3), 285–302. https://doi.org/10.1016/j.jfi.2010.12.001
Byström, H. (2017). The currency composition of firms' balance sheets, asset value correlations, and capital requirements. Global Finance Journal, Vol. 34, 89–99. https://doi.org/10.1016/j.gfj.2017.03.007
Cabrera, J. M. y Munyo, J. C. (2008). Depreciación cambiaria, Dolarización e Inversión: Un Análisis Empírico con datos de panel a nivel de empresa. Revista de Economía. Banco Central de Uruguay. Vol. 15, No. 2, 117-167. Disponible en: http://www2.um.eduy/jmcabrera/Research/Balance%20Sheet%20%20Revista%20Eco.pdf
Cerutti, E., Claessens, S. and Leaven, L. (2017). The use and effectiveness of macroprudential policies: New evidence. Journal of Financial Stability, 28 (C), 203-224. https://doi.org/10.1016/j.jfs.2015.10.004
Chui, M., Kuruc, E. and Turner, P. (2016). A new dimension to currency mismatches in the emerging markets: non-financial companies. BIS Working Papers, 550.
Davino, C.; Furno, M. and Vistocco, D. (2014). Quantile regression: theory and applications, Pondicherry, India: John Wiley and Sons.
Diaz, C. (1963). A note on the impact of devaluation and redistributive effect. The Journal of Political Economy, Vol. 71, No. 6, p. 577-580.
Doms, M. y Dunne, T. (1998). Capital Adjustment Patterns in Manufacturing Plants. Review of Economic Dynamics, 1(2), 409-429. https://doi.org/10.1006/redy.1998.0011
Fernández, J., Valencia, M. y Vásquez, F. (2019). Descalce cambiario del sector corporativo no financiero chileno y su efecto en resultados. Economía Chilena, 22 (1), 102-130.
Ghosh, S. (2008). Leverage, Foreign borrowing and corporate performance: firm-level evidence for India. Applied Economics Letters, 15, 607–616. https://doi.org/10.1080/13504850600722047
Harasztosi, P. y Kátay, G. (2020). Currency matching by non-financial corporations. Journal of Banking and Finance, Vol. 113, 1-20. https://doi.org/ 10.1016/j.jbankfin.2020.105739
Hardy, B. (2018). Foreign currency borrowing, balance sheet shocks, and real outcomes. BIS Working Papers, No 758.
Indawan, F., Fitriani, S., Karlina, I. y Grace, M.V. (2015). The Role of Currency Hedging on Firm Performance: A Panel Data Evidence in Indonesia. Bulletin of Monetary, Economics and Banking, Vol. 17 (3), 279-298. https://doi.org/10.21098/bemp.v17i3.39
Jiménez, F. (2017). Macroeconomía. Enfoques y Modelos. Lima: Editorial Macro.
Kadirgan, C. (2019). Exchange Rate Driven Balance Sheet Effect and Capital Flows to Emerging Market Economies. Central Bank of the Republic of Turkey Working Paper, No: 19/16. Consultado en: https://ideas.repec.org/p/tcb/wpaper/1916.html
Keller, L. (2019). Capital Controls and Risk Misallocation: Evidence from a Natural Experiment. Manuscrito. Disponible en línea:
https://rodneywhitecenter.wharton.upenn.edu/wp-content/uploads/2019/12/10-19.Keller.pdf
Keynes, J. M. (1936). Teoría general de la Ocupación, el interés y el dinero. México: Fondo de Cultura Económica. Varias reimpresiones.
Koenker, Roger and Bassett, Gilbert. (1978). Regression quantiles. Econometrica, 46 (1), 33–50. https://doi.org/0012-9682(197801)46:1<33:RQ>2.0.CO;2-J
Koenker, Roger and Bassett, Gilbert Jr. (1982). Robust Tests for Heteroskedasticity Based on Regression Quantiles. Econometrica, 50 (1), 43-62. https://doi.org/ 10.2307/1912528
Kohler, K. (2019). Exchange rate dynamics, balance sheet effects, and capital flows. A Minskyan model of emerging market boom-bust cycles. PKES Working Paper, Post Keynesian Economics Society (PKES), 1906.
Krugman, P. and Tylor, L. (1978). Contractionary effects of devaluation. Journal of International Economics, Vol. 8 (3), pp. 445-456. https://doi.org/10.1016/0022-1996(78)90007-7
Kuruc, E., Tissot, B. and Turner, P. (2016). Looking at aggregate currency mismatches and beyond. Conference on “Uses of Central Balance Sheet Data Offices´ information”, 45.
Madura, J. (2015). Administración financiera Internacional. México: Cengage Learning.
Mamani, J. G. (2014). El efecto del tipo de cambio en la inversión privada en economías en desarrollo y abiertas; evidencia empírica boliviana (1990-2013). Tesis licenciatura. Facultad en Ciencias en Economía y Financieras. Universidad Mayor de San Andrés.
Mankiw, N. G. (2006). Macroeconomía. Barcelona: Antoni Bosch.
Margaritis, D. and Psillaki, M. (2010). Capital Structure, Equity Ownership and Firm Performance. Journal of Banking & Finance, 34 (3), 621–632. https://doi.org/10.1016/j.jbankfin.2009.08.023
Mesa, F. y Salguero, L. (1998). Efectos de la Tasa de cambios real sobre la Inversión real en un modelo de transferencia de precios (pass through). Revista de Economía del Rosario, Vol.1 (1), p. 111-143.
Mishkin, F. S. (2014). Moneda, Banca y Mercados Financieros. México: Pearson.
Myers, S. C. and Majluf, N. S. (1984). Corporate Financing and Investment Decisions When Firms Have Information the Investors do not have. Journal of Financial Economics, vol. 13(2), 187-221. https://doi.org/10.1016/0304-405X(84)90023-0
Nucci, F. y Pozzolo, A. F. (2001). Investment and the Exchange Rate: An Analysis with Firm-Level Panel Data. European Economic Review, vol. 45 (2), 259-283. https://doi.org/10.1016/S0014-2921(00)00050-7
Ribeiro, M., Toneto, R., Vieira, M. and Tarantin, W. (2017). The Correlation Effect between Commodity Prices and Exchange Rate for Brazilian Firms’ Balance Sheets. Inter-American Development Bank (IDB), Technical Note, No. IDB-TN-1168, 1-60.
Romer, D. (2006). Macroeconomía Avanzada. Madrid: McGraw-Hill.
Saldaña, L. y Velásquez, M. (2007). Impacto del tipo de cambio en las decisiones de inversión de las empresas peruanas entre 1994 y el 2005. Pontificia Universidad Católica del Perú. Documento de trabajo 254, 1-42.
Salomao, J. and Varela L. (2018). Exchange Rate Exposure and Firm Dynamics. Working paper, University of Minnesota.
Serena, J. M. and Sousa, R. (2017). Does exchange rate depreciation have contractionary effects on firm level investment? BIS Working Papers, No. 624. https://www.bis.org/publ/work624.htm
Shapiro, A. C. (1984). The impact of taxation on the currency-of-denomination decision for long-term foreign borrowing and lending. Journal of International Business Studies, vol. 15, (1), pp. 15–25. https://doi.org/10.1057/palgrave.jibs.8490468
Tobal, M. (2013). Currency Mismatch: New database and indicators for Latin America and the Caribbean. Center for Latin American Monetary Studies CEMLA Research Papers, 12.
Tobal, M. (2014). Prudential regulation, currency mismatches and exchange rate regimes in Latin America and the Caribbean. Center for Latin American Monetary Studies (CEMLA), Research Papers, 17.
Tobal, M. (2018). Currency mismatch in the banking sector in Latin America and the Caribbean. International Journal of Central Banking, 14 (1), 317-364.
Uribe, Jorge M. y Guillen, M. (2020). Quantile Regression for Cross-Sectional and Time Series Data Applications in Energy Markets Using R. Cham, Switzerland: Springer Nature.
Venkatesh, H. y Gourishankar S. (2019). Currency mismatches in Emerging Market Economies: Measurement, causes and policy implications, Presentation, 18th Annual Conference on Macroeconomics and Finance, Mumbai, India, december 16 y 17, 2019.
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2021-01-08
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Morales Castro, J. A., & López-Herrera, F. (2021). Análisis de inversión y ganancias cambiarias en empresas mexicanas mediante regresión cuantílica: 1990-2018. Análisis Económico, 36(91), 63–84. https://doi.org/10.24275/uam/azc/dcsh/ae/2021v36n91/Morales
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