換率轉嫁率과 헤징效果의 關係 分析
Analysis on the Relationship between Exchange Rate Pass-Through and Hedging Effectiveness
2
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구에서는 환율변화가 수출단가에 전가되는 정도인 환율전가율과 선물시장을 활용한 헤징효율성 사이의 관계를 분석한다. 이를 위해 환율전가율의 추이를 회귀분석한다. 또한 국내 수출기업을 대상으로 상품가격과 환율의 변동위험에 노출되어 있는 경우 헤징형태와 헤징기간별로 헤징효과를 시뮬레이션을 통해 분석한다. 실증분석 결과를 요약하면 다음과 같다. 분리헤징은 단순히 1：1로 헤징하는 경우에 비해 수출기업의 수익흐름을 보다 안정화시킬 수 있다. 분리헤징 대신 복합헤징을 활용하는 것이 수익 안정화 측면에서 보다 유리하다. 또한 헤징기간이 길어질수록 헤징효과가 향상된다. 환율전가율과 헤징효율성 사이에는 음의 관계가 존재하는 것으로 분석된다. 이러한 결과는 적절한 헤징전략을 구사함으로써 적정 수출이윤을 확보할 수 있을 뿐 아니라 수출로 인한 수익흐름을 안정화시킬 수 있다는 의미이다.
Abstract
This study empirically analyzes the relationship between the exchange rate pass- through to export prices and the hedging effectiveness of futures markets. For this purpose, the trend of exchange rate pass-through is examined by means of regression analysis. In addition, the hedging effects are analyzed by different hedging type and period for the Korean exporting companies that face the risk exposures of both commodity prices and foreign exchanges. The empirical results are as follows. A separate hedge could be more effective than the naive 1：1 hedge in terms of return stabilization. Instead of separate hedge, a complex hedge would be a better choice in terms of hedging effectiveness. The hedging effects would improve as the hedging period expands. The relationship between exchange pass-through and hedging effectiveness turns out to be negative. These results imply that the Korean exporting companies could stabilize the export-revenue flows without loss of profit margin by using the hedging instruments for both commodity price and exchange rate risks.
참고문헌 (30)
- 강삼모, "동아시아 주요국의 환율전가에 관한 분석", 정책연구, 2(9) (2002), 대외경제정책연구원
- 노재선, "원료 및 생산물과 환율의 변동을 고려한 삼중헤징: 한국 정유사의 사례", 선물연구, 6, pp.153~185 (1998)
- 윤원철, "해외 선물시장을 활용한 에너지수급 안정화 연구", 에너지경제연구원 연구보고서, 99(1) (1998)
- 윤원철, "해외 선물을 활용한 국내 수입 원유의 조달헤징", 선물연구, 8, pp.57~79 (1998)
- 이항용, "환율과 수출가격의 구조변화", KDI 정책포럼, 177 (2007), 한국개발연구원
- 최요철, "원화환율 변동의 수출가격 전가행태 분석", 경제분석, 7(3), pp.63~103 (2001), 특별연구실
- Alexander, V, "Futures Markets and Firm De-cisions Under Price, Production, and Financial Uncertainty", Southern Journal of Agricultural Economics, 18, pp.39~49 (1986)
- Benninga, S, "Optimal International Hedging in Co-mmodity and Currency Forward Markets", Journal of International Money and Finance, 4, pp.537~552 (1985)
- Bond, G, "Basis Risk and Hedging Strategies for Australian Wheat Exports", Austrailian Journal of Agricultural Economics, 29, pp.199~209 (1985)
- Dale,C, "The Hedging Effectiveness of Currency Futures Markets", Journal of Futures Markets, 1, pp.77~88 (1982)
- Ederington,L, "The Hedging Performance of the New Futures Markets", Journal of Finance, 34, pp.157~170 (1979)
- Fackler, P, "Nultiproduct Hedging: Theory, Estimation, and an Application", Review of Agricultural Economics, 15, pp.521~535 (1993)
- Garcia, P, "Simultaneously Determined, Time- Varying Hedge Ratios in the Soybean Complex", Applied Economics, 27, pp.1127~1134 (1995)
- Haigh, M, "Hedging Multiple Price Uncertainty in International Grain Trade", American Journal of Agricultural Economics, 82, pp.881~896 (2000)
- Haigh, M, "Hedging Foreign Currency, Freight, and Com-modity Futures Portfolios: A Note", Journal of Futures Markets, 22, pp.1205~1221 (2002)
- Hauser, R, "Export", Import Risks at Alternative Stages of U.S. Grain Export Trade, 1993, pp.13, 579~595
- Hill, J, "The Hedging Effectiveness of Foreign Currency Futures", Journal of Financial Research, 5, pp.95~104 (1982)
- Johnson,L, "The Theory of Hedging and Speculation in Commodity Futures", Review of Economic Studies, 27, pp.139~151 (1960)
- Johnson, D, "An Optimization Approach to Grain Reserves for Development Countries, in Analysis of Grain Reserves: A Proceeding :U.S. Economic Research Service, ERS-634" (1976), D.C
- Kamara,A, "Issues in Futures Markets: A Survey", Journal of Futures Markets, 2, pp.261~294 (1982)
- Lapan, H, "Futures Hedging Under Price, Basis, and Pro-duction Risk", American Journal of Agricultural Economics, 76, pp.465~477 (1994)
- Li, D, "The Effectiveness of Dual Hedging with Price and Yield Futures", Journal of Futures Markets, 18, pp.541~561 (1998)
- Liu, K, "Optimal Hedging Decisions for Taiwanese Corn Traders on the Way of Liberalization", Agricultural Economics, 25, pp.303~309 (2001)
- Massell,B, "Price Stabilization and Welfare", Quarterly Journal of Economics, 83, pp.285~297 (1969)
- Newbery, D, "The Theory of Commodity Price Stabilization: A Study in the Economics of Risk" (1981), Oxford, Clarendon
- Peterson, P, "A Portfolio Approach to Optimal Hedging for a Commercial Cattle Feedlot", Journal of Futures Markets, 7, pp.443~457 (1987)
- Roh, J.-S, "International Hedging Under Concu-rrent Risks of Input", Output Prices and Exchange Rate: The Case of Korean Oil Refinery, 1998, pp.6, 153~185
- Thompson, S, "Offshore Commodity Hedging Under Floating Exchange Rates", American Journal of Agricultural Economics, 69, pp.46~55 (1987)
- Tzang, D, "Hedge Ratios under Inherent Risk Reduction in a Commodity Complex", Journal of Futures Markets, 10, pp.497~504 (1990)
- Vukina, T, "Hedging with Crop Yield Futures: A Mean Variance Analysis", American Journal of Agricultural Economics, 78, pp.1015~1025 (1996)