선물환 프리미엄과 금리차를 이용한 개별기업의 환노출 추정과 기업가치의 변화에 대한 연구

This article focuses on the equity return changes of businesses from their exchange rate risk exposure by using 1,803 daily panel data among KOSPI 200from the 3rd of January, 2005 to May 29th of May, 2012. That is, it focuses on the impacts of the efficiency of forward exchange market, capital trade of foreign investors and policy interventions on business' exchange rate risk exposure. And from these empirical results, this article finds out the value changes of the business. In order to measure these hypotheses, exogenous shocks such as interest differential and exchange rate, and endogenous shocks such as industrial structure and firm's financial conditions. Findings of this paper are summarized as follows: First, efficient forward exchange market, foreign trade, and policy interventions have a significant impact on business' exchange rate risk exposure and their value changes. However its movement tends to have negative value under the financial crisis, specifically just before the crisis. Second, exogenous shocks such as interest differential and exchange rate have a significant impact on endogenous shocks such as industrial structure and firm's financial conditions. Especially interest differential has a significant impact on firm's financial conditions, while exchange rate has a significant impact on industrial structure.