환노출 위험의 추정과 기업별 및 산업별 특성 분석 = Empirical Analysis of Exchange Rate Risk Exposure

다국어 초록 (Multilingual Abstract)

This paper empirically analyzes the currency risk exposure of a 301 of manufacturing firms listed in the Korea Stock Exchange market using daily panel data over the period 2000:01:02-2010:12.31. The paper employs a random effect model allowing for asymmetric and lagged effects of exchange rate changes on the firm value. To investigate the currency exposure risk, the paper estimates the reponses of stock returns to the changes in the exchange rates on both daily and monthly basis. The empirical results are as follows. First, significance of foreign exchange rate risk exposure is found to be higher in the industry level than in the firm level. This implies that volatility of foreign exchange rates should reduce firm profitability and thus firm value. Second, the empirical results show that stock returns respond more sensitively to daily exchange rates than to monthly rates. Third, the foreign exchange risk exposure to Japanese Yen rates should have stronger effects on stock returns than to won dollar rates. Finally, there are substantial evidences for asymmetric and lagged effects of foreign exchange rates on the firm value. These findings imply that the central bank may have stronger incentive to intervene markets for stabilization of foreign exchange and thus for prevention of reduction in the firm value unstably.

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