지연된 환노출의 특성과 환노출의 결정요인

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.