환변동보험 가입목적의 실증분석을 통한 환리스크 관리 행태의 고찰

초록

Recent depreciation of US dollar relative to the Won currency has drawn increasingly more interest to the foreign exchange risk insurance especially since many Korean exporting firms suffered the KIKO crisis in 2008. Under this circumstance, a good understanding of motivation for the foreign exchange risk insurance is necessary to yield a proper policy implication. This paper considers and compares two motivations for joining the foreign exchange risk insurance: foreign exchange gain and exchange risk management. By using the Markov switching model, we study how those two motivations affect the demand for the foreign exchange risk insurance. The Markov switching model allows for multiple regimes in relating the two motivations to the demand for the foreign exchange risk insurance. We also study how those two motivations depend on each other by estimating the Markov switching model. Our empirical findings show that exchange risk management is more persistent motivation for the foreign exchange risk insurance than foreign exchange gain. According to the evidences, exporting firms indeed seem to be aware that key role of foreign exchange risk insurance is to reduce exchange risk, not to make foreign exchange gains.

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