한국 환변동보험의 동태적 결정요인에 대한 실증분석

초록

This paper studies dynamic determinants of the foreign exchange risk insurance, which has been increasingly popular to Korean exporting firms. In this paper, we use monthly time-series data for the US interest rate, Won/Dollar exchange rate, the size of Korean export, the premium rate of foreign exchange risk insurance, and the volume of foreign exchange risk insurance during the period from 2000 to 2013. We find that all those time-series variables are cointegrated and therefore estimate the vector error correction model. The estimation results show that the foreign exchange risk insurance exhibits significantly positive response to the US interest rate forecast while it negatively responds to the Won/Dollar exchange rate. On the other hand, we find no significant responses of the foreign exchange risk insurance to the export and the insurance premium. As confirmation, we also estimate a vector autoregressive model by using the first-differenced time series data and observe that the associated impulse responses are similar to the responses derived from the vector error correction model. According to those evidences, it is implied that policy makers and practitioners should take the exchange rate as well as the US interest rate into account when they predict and manage the demand for the foreign exchange risk insurance.

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