국민연금기금의 적정 환헤지 비율에 관한 연구

초록

We used the mean-variance model to derive the optimal hedge ratio against the foreign exchange risk of the National Pension Fund. The data period covers from January 2001 till December 2004. Our analysis results suggest that the un-hedge policy is appropriate when current investment weights is maintained and there is no constraint on risk tolerance. But in case that a foreign investment weight is increased to 30%, the appropriate hedge ratio is between 40% and 50%, under the assumption of zero forward premium. It is appropriate to reduce the hedge ratio for the foreign equity investment to 25% and the hedge ratio for the foreign bond investment to 50%, when the hedge cost increases. When the shortfall risks of 0%, 2%, and 5% are introduced, hedge ratios of 100%, 88%, and 70%, respectively, for foreign investments are optimal.

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