Currency Risks in Russian Companies: the Impact on Efficiency

Anyway most companies in the modern world are included in the international trade by exporting produced products and services, importing intermediate goods or other sources in foreign currency, owning assets and financial instruments linked to the operations with currencies, etc. This paper presents the study of the impact of currency risks on the Russian public companies from 2010 to 2016. In this research the effectiveness of company is determined as the ordinary stock return of the firm for a certain period. The sample includes 119 companies whose the market capitalization exceeds 1 bln. Rubles. According to the available data, the branch cut was performed from the following sectors: metal and mining, oil and gas, telecommunications, banks and financial companies, energy. In the first stage, three regression models were applied for obtaining results, and two of them took into account the asymmetric exchange rate exposure. The best results were shown by the model with colog-coefficient that takes into account the asymmetry, and GARCH (1, 1) error that clusters the emerging volatility in financial markets. At the second stage, significant determinants of the exchange rate exposure were identified based on panel data for the same period. The novelty of the work consists in the applying of modified model with the colog-coefficient, which takes into account the differences in the perception of currency risks. In addition, there has not previously been an industry analysis of currency risks for Russian companies as well as the study of the exchange rate exposure under two different exchange rate regimes (currency corridor and free-floating) for this region.