Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks
Códigos JEL.: E43, E44, F30, F41
- Autores:
-
Acosta Henao, Miguel
Amado, María Alejandra
Martí, Montserrat
Pérez Reyna, David
- Tipo de recurso:
- Work document
- Fecha de publicación:
- 2025
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/76228
- Acceso en línea:
- https://hdl.handle.net/1992/76228
- Palabra clave:
- Uncovered interest rate parity
U.S. monetary policy
Bank lending
Firm financing
Firm heterogeneity
Economía
- Rights
- openAccess
- License
- https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf
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Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| title |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| spellingShingle |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks Uncovered interest rate parity U.S. monetary policy Bank lending Firm financing Firm heterogeneity Economía |
| title_short |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| title_full |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| title_fullStr |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| title_full_unstemmed |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| title_sort |
Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy Shocks |
| dc.creator.fl_str_mv |
Acosta Henao, Miguel Amado, María Alejandra Martí, Montserrat Pérez Reyna, David |
| dc.contributor.author.none.fl_str_mv |
Acosta Henao, Miguel Amado, María Alejandra Martí, Montserrat Pérez Reyna, David |
| dc.subject.keyword.none.fl_str_mv |
Uncovered interest rate parity U.S. monetary policy Bank lending Firm financing Firm heterogeneity |
| topic |
Uncovered interest rate parity U.S. monetary policy Bank lending Firm financing Firm heterogeneity Economía |
| dc.subject.themes.none.fl_str_mv |
Economía |
| description |
Códigos JEL.: E43, E44, F30, F41 |
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2025 |
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2025-06-03T19:37:36Z |
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2025-06-03T19:37:36Z |
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2025-06 |
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1657-7191 |
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https://hdl.handle.net/1992/76228 |
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1657-7191 |
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https://hdl.handle.net/1992/76228 |
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eng |
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eng |
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Documentos CEDE; 2025-15 |
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https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf |
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openAccess |
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70 páginas |
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Acosta Henao, MiguelAmado, María AlejandraMartí, MontserratPérez Reyna, David2025-06-03T19:37:36Z2025-06-03T19:37:36Z2025-061657-7191https://hdl.handle.net/1992/76228Códigos JEL.: E43, E44, F30, F41This paper investigates the granular transmission of U.S. monetary policy shocks to deviations from the uncovered interest rate parity (UIPDs) in emerging economies. Using a comprehensive dataset from Chile that accounts for firm-bank relationships and the time-variant characteristics of both firms and banks, we uncover several key findings: (1) Shocks to the federal funds rate (FFR) increase banks’ costs of foreign borrowing; (2) these higher credit costs disproportionately affect small firms, raising their UIPDs more than for large firms; (3) this size-differentiated impact stems from the relatively higher interest rates on domestic currency loans faced by small firms; (4) in contrast, interest rates on dollar-denominated loans respond homogeneously across all firms; (5) we find no differential effect on loan quantities, suggesting an active role of credit supply and demand. We rationalize these findings with a small open economy model of corporate default that incorporates heterogeneous firms borrowing from domestic banks in both foreign and domestic currencies. In our model, a higher FFR reduces the marginal cost of defaulting on domestic-currency debt for small firms more than for large firms.Este artículo investiga la transmisión granular de los choques de política monetaria estadounidense sobre las desviaciones de la paridad descubierta de tasas de interés (UIPDs) en economías emergentes. Utilizando datos para Chile, que incluyen las relaciones firma-banco y las características variables en el tiempo tanto de empresas como de bancos, encontramos que ( 1) los choques a la tasa de fondos federales (FFR) aumentan los costos de endeudamiento externo de los bancos; (2) estos mayores costos crediticios afectan desproporcionalmente a las empresas pequeñas, elevando sus UIPDs más que para las empresas grandes; (3) este impacto diferenciado por tamaño proviene de las tasas de interés relativamente más altas en préstamos en moneda nacional que enfrentan las empresas pequeñas; (4) en contraste, las tasas de interés en préstamos denominados en dólares responden homogéneamente para todas las empresas; (5) no encontramos efecto diferencial en las cantidades de préstamos, que sugiere un papel activo de la oferta y demanda crediticia. Racionalizamos estos hallazgos con un modelo teórico de economía pequeña y abierta de incumplimiento de pagos de préstamos que incorpora empresas heterogéneas que se endeudan con bancos nacionales tanto en moneda extranjera como nacional. En nuestro modelo, una FF R más alta reduce el costo marginal de incumplir la deuda en moneda doméstica para las empresas pequeñas más que para las empresas grandes.70 páginasapplication/pdfengDocumentos CEDE; 2025-15https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfinfo:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Heterogeneous UIPDs Across Firms: Spillovers from U.S. Monetary Policy ShocksDocumento de trabajoinfo:eu-repo/semantics/workingPaperinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_8042http://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/WPUncovered interest rate parityU.S. monetary policyBank lendingFirm financingFirm heterogeneityEconomíaPublicationORIGINALdcede2025-15.pdfdcede2025-15.pdfapplication/pdf10027320https://repositorio.uniandes.edu.co/bitstreams/17470988-c957-4a95-abf4-be3f82fc5b7d/downloadda49ca42b6ff4a5f87193a51de1ed251MD51LICENSElicense.txtlicense.txttext/plain; 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