무역보험의 ‘보장환율’을 이용한 헷지비율의 추정과 헷지 성과 비교

In this paper we estimate hedge ratio and test hedge effectiveness using Insured Forward contract provided by K-sure’s Exchange Rate Insurance System. Various hedge ratios are estimated by both ad-hoc and time series economics technique and hedge effectiveness is calculated by variance reduction ratio. Although whole period is spaned from February 2003 to June 2014, before and after the Global Financial Crisis are considered. Optimal hedging ratio is defined by the units of forward contracts per a spot contract to minimize variance of rate of return. Three kinds of optimal hedge ratios are analyzed: naive hedge ratio which means one-to-one hedging, time-invariant constant hedge ratio which is estimated by OLS regression model and time-varying hedge ratio could be calculated by state-space model with Kalman filtering algorism. Because of structural break of Global Financial Crisis, the hedge ratios and hedge performance differs before and after Crisis. But robust results could be extracted from this study : naive hedge is most effective. When it comes to small size exporting-firms, they could minimize the variance of profit rate of return as just selling K-sure’s Insured Forward by the half of total amount of export. It seems to be the best strategy to minimize exporting-firms’ transactional foreign exchange risk.