비대칭적 환위험노출과 결정요인 분석

초록

This study empirically examines yearly foreign exchange-rate risk exposures and analyzes their determinants, using daily exchange rates of Korean Won per US Dollar and per Japanese Yen, Korea Stock Composite Price Index, and stock returns of listed firms. Our empirical results show that Korean firms should be more exposed to changes of Japanese Yen than those of US Dollar, suggesting that exchange rate risk exposures to Japanese Yen have become more significant for Korea's foreign trade. Further, this exposures are greatest in order for chemical products, foods, electronics, and automobile industries. Considering that these industries have been major sources of Korea's economic growth, our results imply that exchange rate exposures to Japanese Yen could have substantial significant effects on firm values and thus on Korean economy. Examining the asymmetry of exchange rate exposures, we find that asymmetrical exchange rate exposures to US Dollar may result from exporting companies' strategy to maintain market shares, but those to Japanese Yen is likely the product of hedging options. Further, we documents that firm size, leverage, and growth are significant determinants of foreign exchange rate exposures. We, however, observe that export and liquidity are not significant for determining exposures. Analyzing the effect of firm size on exchange rate exposures, we find that large firms are well prepared for exchange rate risk, however, small firms are almost totally naked to the risk. These findings imply that it would be better to stabilize foreign exchange rate for promotion of national economic growth and firm values as well.

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