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Korean Academic Society of Business Administration
[ Article ]
korean management review - Vol. 47, No. 5, pp.1261-1282
ISSN: 1226-1874 (Print)
Print publication date 31 Oct 2018
Received 12 Jul 2018 Revised 17 Sep 2018 Accepted 18 Sep 2018
DOI: https://doi.org/10.17287/kmr.2018.47.5.1261

금융위기와 환노출 관리 효과

권택호*
*(단독저자) 충남대학교 경상대학 경영학부 교수 thk5556@cnu.ac.kr
Financial Crisis and Effect of Foreign Exchange Exposure Management
Taek Ho Kwon*
*Professor, Chungnam National University, First Author

초록

이 연구에서는 환율이 급격하게 변동하는 경우 환노출을 관리하고 있는 기업이 부담하게 될 수도 있는 위험에 대하여 분석한다. 한국 유가증권시장 비금융업종 기업에 대해 2001년에서 2010년까지의 기간을 대상으로 분석한다. 분석을 위해 전체 표본기간을 두 개의 하위 기간으로 구분한다. 기간1(2001~2005)은 환율의 급격한 변동이 없었던 기간이고, 기간2(2006~2010)는 환율이 급변했던 글로벌금융위기를 포함한 기간이다. 기간2에서의 환노출이 기간1에서의 환노출과 차이가 있는 기업을 환노출 변동 기업으로 정의한다. 환노출의 변동 여부는 환노출 계수의 통계적 유의성 변화로 판단한다. 환율이 급변했던 기간2의 경우 기간1에 비해 환노출의 특성에 변동이 있었던 기업이 다수 있으며, 이러한 환노출의 변동은 환노출 관리를 위해 사용한 통화파생상품거래와 관련이 있다. 또한, 환노출이 변동한 기업은 기간2에서 기업의 가치가 하락한다. 결과적으로, 실증분석의 결과는 환율이 급격하게 변동하는 경우 파생상품거래를 사용한 환노출 관리는 효율적인 환노출 관리가 되지 못할 수 있다는 추론을 뒷받침하고 있다. 이 연구는 기업의 환노출 관리 담당자가 환노출 관리 전략을 결정하기 위해서는 환노출이 변동할 수 있는 가능성도 함께 고려해야할 필요가 있음을 시사하고 있다.

Abstract

This paper examines a risk that large exchange rate changes could induce in a firm that manages its foreign exchange risks with foreign currency derivatives trading. I test the impact of exchange rate changes on a firm’s foreign exchange exposure using firm-level data of non-financial firms listed on the Korea Exchange from 2001 to 2010. To test the relatedness of exchange rate changes and a firm’s foreign exchange exposure, I divide the whole sample period into two sub periods. Sub period 1 (2001~2005) was the period in which the won/dollar exchange rate steadily decreased (the won’s value increased). Subsequently, period 2 (2006~2010) included the global financial crisis, when foreign exchange rates soared and the Korean won was severely devaluated. A firm’s foreign exchange exposure is defined as changed when its exposure during period 2 is different from that of period 1 at a statistically significant level with regards to its exposure coefficients. Test results show that a large number of firms’ foreign exchange exposures have changed in period 2 compare to those of period 1 and the changes are closely related with their usage of foreign currency derivatives which are used to manage their foreign exchange exposure. Test results also show that the changes in foreign exchange exposure could reduce firm value in period 2. In sum, this analysis supports our conjecture that a large scale change in foreign exchange rates could restructure a firm’s foreign exchange exposure, and that exchange exposure shift affects the firm’s value negatively. This study’s results suggests that a firm’s foreign exchange exposure manager should consider the firm’s possible exchange exposure changes when he/she adopts foreign exchange exposure management strategies.

Keywords:

Global Financial Crisis, Exchange Exposure Change, Firm Value, Foreign Currency Derivatives Trading

키워드:

글로벌금융위기, 환노출 변화, 기업가치, 통화파생상품거래

Acknowledgments

이 연구는 2017년 CNU학술연구지원사업의 지원에 의해 이루어졌음. 2018 APAIB-UN Academic Joint Conference에서 유익한 조언을 하여 주신 참가자 여러분께 감사드린다.This Research was Financially Supported by Chungnam National University in 2017.

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• 저자 권택호는 현재 충남대학교 경상대학 경영학부 재무관리 전공 교수로 재직 중이다. 충남대학교 경상대학 무역학과를 졸업하였으며, 서울대학교 대학원에서 경영학 석사 및 박사 학위를 취득하였다. 주요 연구 분야는 기업 환위험관리, 기업 다각화, 은퇴재무설계 등이다.