기업의 통화파생상품거래, 환노출을 감소시키는가?

The purpose of this study is to analyze how the use of foreign currency derivatives in Korean manufacturing firms has hedged foreign exchange exposures. The trading volume of exchange forward transactions was larger than that of currency futures, and the size of long positions was larger than that of short positions. These findings imply that the firms’ transactions for hedging foreign-denominated debts are larger than those for hedging foreign-denominated assets. With the sample firms having hedged with the foreign currency derivatives and the matching firms, this research investigated whether or not the use of foreign currency derivatives has reduced the exchange rate exposure effectively. The empirical results of this analysis show that the use of foreign currency derivatives has reduced the exchange rate exposure arising from foreign-denominated debts, but has not reduced the exposure from exports. These findings are quite different from the results of foreign studies which suggest that the use of foreign currency derivatives reduces the exposure from exports. The findings in this study show that Korean firms’ use of foreign currency derivatives has managed the exchange rate exposure generating from foreign-denominated debts, but failed to control the exchange rate exposure generating from exports. This suggests that the foreign currency derivatives in Korea may not be used efficiently for reducing the foreign exchange rate exposure.