한국유가증권시장에 상장된 제조기업들 중에 12월 결산 법인을 대상으로 외환위기 이후 한국 제조기업들의 환노출 특성과 결정요인을 분석하였다. 과거의 환율변동이 현재의 기업가치에 영향을 줄 수 있다는 점을 고려하여 과거의 환율변동에 의한 지연된 환노출까지를 포 ...

한국유가증권시장에 상장된 제조기업들 중에 12월 결산 법인을 대상으로 외환위기 이후 한국 제조기업들의 환노출 특성과 결정요인을 분석하였다. 과거의 환율변동이 현재의 기업가치에 영향을 줄 수 있다는 점을 고려하여 과거의 환율변동에 의한 지연된 환노출까지를 포함한 전체 환노출 계수를 추정하여 환노출의 특성을 분석하였다. 또한 환노출 계수가 국제경영활동 정도를 나타내는 관련 변수들과 선형관계를 가질 수 없는 경우가 있음을 고려하여 순위종속변수 모형(ordered dependent variable model)을 이용한 환노출의 결정요인 분석을 수행하였다.
분석결과 표본기업들의 환노출은 동시적으로 나타나는 환노출과 함께 지연되어 나타나는 환노출이 있으며 이 두 환노출은 큰 차이가 있음을 확인하였다. 해당 월의 환율변동에 의한 환노출과 함께 1개월 전의 환율변동에 의한 환노출을 합산한 전체 환노출을 분석 대상으로 하여 분석을 한 결과 수출비율, 외화부채비율, 해외직접투자비율 등 국제경영활동 정도를 나타내는 변수와 환노출 간의 관계를 확인할 수 있었다. 수출비율이 높은 기업은 양의 환노출의 가능성이 높으며 외화표시부채비율이 높은 기업과 해외직접투자비율이 높은 기업은 음의 환노출 가능성이 높았다. 외환위기 이전을 대상으로 한 분석의 결과도 이러한 결론을 지지하는 결과를 얻을 수 있었다.

Foreign exchange rate exposure has been one of great concerns not only for managers of international firms but also for investors since Bretton Woods System. Academicians has built some logical frameworks as are helpful to understanding foreign exchan ...

Foreign exchange rate exposure has been one of great concerns not only for managers of international firms but also for investors since Bretton Woods System. Academicians has built some logical frameworks as are helpful to understanding foreign exchange rate exposure conceptually and practically.
International business activities of firms under floating exchange system face rising foreign exchange rate exposure. However, not a few previous studies report that they could not find any relations between foreign exchange rate exposure and proxy variables for firms' international business activities such as export, import, foreign direct investment and foreign currency debt. This result is possible only if firms in international business manage their foreign exchange rate exposure effectively. However, there is another possibility that researchers failed to find out any sources and/or results of currency exposure due to problems in research design.
Most of previous studies adopt regression model to estimate foreign exchange rate exposure. They estimate exchange rate exposure assuming contemporaneous relations between firm value and exchange rate changes. Other studies point out that the effect of foreign exchange rate changes are possibly realized gradually in stock prices. The rationales of lagged exchange rate exposure are such that: 1) there is difficulty in deciding whether the exchange rate change is temporal or permanent, 2) there is difficulty in gathering information of the firm in time, 3) there is difficulty in gathering information of other firms competing with the firm. In order to consider lagged effect of exchange rate changes on firm value, I add lagged variables of exchange rate change in the regression model. I sum up contemporaneous
and lagged exposures to get total exposure with the idea of constituting consistent estimator of market beta under non-synchronous trading.
I examine determinants of exchange rate exposure using estimated exchange rate exposure. I consider that estimated exposure is the outcome of management behavior including foreign exchange rate risk management. This means that linear relations between exchange rate and proxy variables can not be indisputably supported. Considering these points in mind I adopt ordered dependent variable model in the test of foreign exchange rate exposure determinants instead of general regression model.
I test manufacturing firms listed in the Korea Exchange from 1998 to 2003. The results show that lagged exchange rate exposure is prevalent in Korean manufacturing companies. One of the interesting results is that contemporaneous exchange rate exposure has the opposite sign from lagged exposure. While total exposure calculated by adding contemporaneous exchange rate exposure to lagged exposure changes into positive sign as added lags increase.
Estimation results of ordered dependent variable model show that foreign exchange rate exposure is related with proxy variables of international business firms. Firms with higher export ratio shows higher probability of revealing positive exchange rate exposure (when the value of Won decreases the firm value increases). Firms with high foreign debt ratio and/or firms with high foreign direct investment ratio reveal higher probability of negative exchange rate exposure. The test results also show that the effect of the change of exchange rate is not immediately realized on firm value.
I also examine the determinants of exchange rate exposure using general regression model for the purpose of robustness check. The result is supportive of the use of ordered dependent variable model.
For the purpose of comparison, I also attempt to analyze the data established before Korean Financial Crisis period from 1991 to 1996. Though I do not report the result for brevity the result is qualitatively the same.
This study suggests that lagged exchange rate exposure be considered in this kind of exchange rate exposure analysis. This study also suggests that general regression model is not efficient enough in the examination of the determinants of foreign exchange rate exposure.

Ⅰ. 서 론
Ⅱ. 환노출의 특성 분석
Ⅲ. 환노출의 결정요인
Ⅳ. 분석결과 및 시사점
참고문헌
Abstract

Ⅰ. 서 론
Ⅱ. 환노출의 특성 분석
Ⅲ. 환노출의 결정요인
Ⅳ. 분석결과 및 시사점
참고문헌
Abstract