한국 제조기업의 환노출과 파생상품을 이용한 헤지

This study examines the effects of hedging activities of Korean firms on their exchange rate exposure by separately measuring expected exchange rate exposure (which reflects the firms’ basic operating activities) and observed exchange rate exposure (which reflects the firms’ hedging activities as well). The results show that firms with positive expected exchange rate exposure reduce their exposure through selling of currency futures/forwards, internal transactions with foreign subsidiaries, and issuance of foreign currency denominated debt. In contrast, firms with negative expected exchange rate exposure reduce their exposure only through transfer pricing associated with exchange rate changes. Our analysis of firms with significant observed exchange rate exposure offers evidence that structured currency forwards contracts deteriorate firms’ exchange rate exposure. Our results further show that the effects of firms’ hedging activities using financial market products vary significantly depending on the relation between product market and financial market with respect to the market response to exchange rate changes. In particular, a sudden change in exchange rates alters the established relation between product market and financial market, leading to a different outcome of hedging activities using derivatives than expected before the change in exchange rates. The overall results of this study suggest that for the effective management of exchange rate exposure firms would need to understand both the underlying characteristics of exchange rate exposure and the plausible conditions in the product market that they may face before they engage in derivatives transactions.