금융위기와 환노출 관리 효과

This paper examines a risk that large exchange rate changes could induce in a firm that manages its foreign exchange risks with foreign currency derivatives trading. I test the impact of exchange rate changes on a firm’s foreign exchange exposure using firm-level data of nonfinancial firms listed on the Korea Exchange from 2001 to 2010. To test the relatedness of exchange rate changes and a firm’s foreign exchange exposure, I divide the whole sample period into two sub periods. Sub period 1 (2001~2005) was the period in which the won/dollar exchange rate steadily decreased (the won’s value increased). Subsequently, period 2 (2006~2010) included the global financial crisis, when foreign exchange rates soared and the Korean won was severely devaluated. A firm’s foreign exchange exposure is defined as changed when its exposure during period 2 is different from that of period 1 at a statistically significant level with regards to its exposure coefficients. Test results show that a large number of firms’ foreign exchange exposures have changed in period 2 compare to those of period 1 and the changes are closely related with their usage of foreign currency derivatives which are used to manage their foreign exchange exposure. Test results also show that the changes in foreign exchange exposure could reduce firm value in period 2. In sum, this analysis supports our conjecture that a large scale change in foreign exchange rates could restructure a firm’s foreign exchange exposure, and that exchange exposure shift affects the firm’s value negatively. This study’s results suggests that a firm’s foreign exchange exposure manager should consider the firm’s possible exchange exposure changes when he/she adopts foreign exchange exposure management strategies.