환변동보험 보장환율의 부분공적분 분석: 위안화와 주요 통화의 장기균형관계 중심으로

초록

Purpose : This study aims to analyze how this insurance product contributes to managing exchange rate risks faced by exporting firms Research design, data, methodology : This study use the guaranteed exchange rate of the Chinese yuan—the currency of Korea’s largest export partner—and those of the euro, Japanese yen, and U.S. dollar. Using the data ranged from December 2020 to December 2024, this study employs a fractional cointegration vector autoregressive (FCVAR) model and investigate the long-term equilibrium relationships among the guaranteed exchange rates of major currencies. Results : This paper finds that fractional cointegration fit well long run equilibrium relation between Chinese Yuan guaranteed exchange rate and other three major currency exchange rates: Japanese Yen, Euro, and US Dollar. Comparing to the traditional cointegration method, frational cointegration approach presents more various relations among those guranteed exchange rates. In addition, we observe significant comovement between the Yuan guaranteed exchange rates and that of US Dollar. Conclusions : The study provides meaningful insights for exchange rate risk management of exporting firms. In particular, the identified co-movement between the yuan and dollar guaranteed rates highlights the importance of monitoring these currencies jointly for exchange risk hedging. We also suggest that more flexible and various approach, such as, fractional cointegration, can be more informative for exporting firms’ risk management.

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