如何应对基础设施和其他长寿项目中的汇率风险（英）

PublicDisclosureAuthorized PublicDisclosureAuthorized PolicyResearchWorkingPaper10568 HowtoDealwithExchangeRateRisk inInfrastructureandOtherLong-LivedProjects LucianodeCastroClaudioFrischtakArthurRodrigues InternationalFinanceCorporationSeptember2023 PolicyResearchWorkingPaper10568 Abstract Mostdevelopingeconomiesrelyonforeigncapitaltofinancetheirinfrastructureneeds.Theseprojectsareusuallystructuredaslong-term(25–35years)franchisesthatpayinlocalcurrency.Ifinvestorsevaluatetheirreturnsintermsofforeigncurrency,exchangeratevolatilityintroducesriskthatmayreducethelevelofinvestmentbelowwhatwouldbesociallyoptimal.Thispaperproposesamechanismwithverygeneralfeaturesthathedgesexchangeratefluctuation byadjustingtheconcessionperiod.Suchmechanismdoesnotimplyadditionalcoststothegovernmentandcouldbeofferedasazero-costoptiontolendersandinvestorsexposedtocurrencyfluctuations.Thisgeneralmechanismisillustratedwiththreealternativespecificationsanddatafroma25-yearhighwayfranchiseisusedtosimulatehowtheywouldplayoutineightdifferentcountriesthatexhibitdiverseexchangeratetrajectories. ThispaperisaproductoftheEconomicPolicyResearchDepartment,InternationalFinanceCorporation.ItispartofalargereffortbytheWorldBanktoprovideopenaccesstoitsresearchandmakeacontributiontodevelopmentpolicydiscussionsaroundtheworld.PolicyResearchWorkingPapersarealsopostedontheWebathttp://www.worldbank.org/prwp.TheauthorsmaybecontactedatLuciano-decastro@uiowa.edu,claudio.frischtak@interb.com.br,andarthur.mauriciorodrigues@gmail.com. ThePolicyResearchWorkingPaperSeriesdisseminatesthefindingsofworkinprogresstoencouragetheexchangeofideasaboutdevelopmentissues.Anobjectiveoftheseriesistogetthefindingsoutquickly,evenifthepresentationsarelessthanfullypolished.Thepaperscarrythenamesoftheauthorsandshouldbecitedaccordingly.Thefindings,interpretations,andconclusionsexpressedinthispaperareentirelythoseoftheauthors.TheydonotnecessarilyrepresenttheviewsoftheInternationalBankforReconstructionandDevelopment/WorldBankanditsaffiliatedorganizations,orthoseoftheExecutiveDirectorsoftheWorldBankorthegovernmentstheyrepresent. ProducedbytheResearchSupportTeam Howtodealwithexchangerateriskininfrastructureandotherlong-livedprojects∗ LucianodeCastro† ClaudioFrischtak‡ ArthurRodrigues§ Keywords:Exchangeraterisk,infrastructureprojects,Governmentprotection,insuranceforexchangeraterisk,biddingforpublicprojects,investorsriskaversion,concessionperiods. JELcodes:H4,F3,H8. ∗WearegratefultoEduardoEngel,VictorTito,CesaireAssahMehandseminarparticipantsatBNDESforhelpfulcomments. †DepartmentofEconomics,TippieCollegeofBusiness,UniversityofIowa.E-mail:luciano-decastro@uiowa.eduLucianoacknowledgesfinancialsupportbyCNPq. ‡InternationalGrowthCentre(IGC).E-mail:claudio.frischtak@interb.com.br §DepartmentofEconomics,PontifíciaUniversidadeCatólicadoRiodeJaneiro(PUC-Rio).E-mail: arthur.mauriciorodrigues@gmail.com ExecutiveSummary Currencyriskremainsasignificantdeterrenttoforeigninvestmentflowstodevelopingandemergingeconomies,particularlyforlong-durationinfrastructureinvestments.Giventhena-tureofsuchlong-terminvestments,thattakeplaceinnon-tradablesectorsforwhichnaturalhedgeisunlikely,hedginginstrumentsarefrequentlycostly,ifatallavailable.Thus,eithergovernmentassumestheimplicitforeignexposureliabilitybyprovidingguarantees,orcon-tentsitselfwithasmallerinflowofforeigncapital.Countriesthataremostinneedoftobuildormodernizetheirinfrastructureandattractforeigninvestmenttypicallyfacebalanceofpaymentproblemsandahighopportunitycostofforeignexchange.Forthosecountries,findingalternativehedgingmechanismsisapolicypriority. Thispaperproposesanalternativeapproachtoaddresscurrencyriskininfrastructureandlong-terminvestments.Themainideaistoadjustthelengthoftheconcessioninsuchawaythataguaranteedefinedexanteasa“targetfunction”isachieved.Inthismechanism,anunfavorable(totheforeigninvestor)exchangeratewouldcauseanextensionoftheconcessionperiod,whileanappreciationofthelocalcurrencyleadstoashortenedlengthoftheconces-sion.Weshowthatarisk-neutralgovernmentwouldbeindifferenttothepurelyfinancialimplicationsofprovidingthemechanism,evenifitwerenottochargeforaccess.More-over,consideringthelikelyincreaseinforeigninvestors’willingnesstobidforthecountries’projects,themechanismwouldinfactleadtogainsonasocialwelfarefunctionindependentonhowthegovernmentvaluesconsumer(user)surplusandefficiencyoffirmsprovidingtheservice.Thisfindingisintuitivetotheextentthatbyprovidinghedgetosuppliersofforeigncapital,governmentswouldattractalargernumberofcompetitorswillingtoofferalowertarifftoconsumersand/orgreaterrevenuestogovernment. Weinitiallypresentthegovernmentguaranteemechanisminitsmostgeneralform,withanon-specific“targetfunction”foreachpartnerintheconcession.Thepaperthendiscussesingreaterdetailthreespecificmechanisms:ensuringanexchangeratelevel,withthegovern-mentguaranteeingaspecificinflation-adjustedexchangerate;aguaranteeofthenetpresentvalueatthebeginningofthefranchise;andaguaranteeofequalreturnsamong(nationalandnon-national)partners,whilenotcommittin