한국 수출 중심 기업과 내수 중심 기업의 환노출 분석
Exchange Rate Exposure for Korean Firms: Export-Oriented versus Domestic-Market-Oriented Firms
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초록
본 연구에서는 1997년~2015년 한국거래소에 상장된 1,352개 비금융기업을 수출비중이 높은수출 중심 기업군과 내수비중이 높은 내수 중심 기업군으로 분류하여 환율변화가 이들 기업의주가수익률에 미치는 영향(환노출)을 분석하였다. 분석 결과, 수출 중심 기업군에서는 유의한양의 환노출을 보이는 기업의 비중이, 내수 중심 기업군에서는 유의한 음의 환노출을 보이는기업의 비중이 높았으며, 수출 중심 기업군의 평균 환노출계수가 내수 중심 기업군에 비해 더높게 나타났다. 이러한 차이는 동시적 환노출에서 보다 지연된(lagged) 환노출에서 더 명확히나타났으며, 환노출 추정기간이 길어질수록 두 기업군 간의 차이가 확대되었다. 이는 원화의평가절하 직후에는 수출 중심 기업과 내수 중심 기업이 큰 차이가 없으나, 시간이 지날수록평가절하의 상반된 영향을 받으며, 이러한 상반된 영향은 시차를 두고 주가에 반영된다는 것을시사한다. 또한 수출비중이 높을수록 원화의 평가절하가 주가에 긍정적인 영향을 미치며 이러한영향의 크기와 유의성은 환노출 추정기간이 길어질수록 커지는 것으로 나타났다.
Abstract
This paper examines the effects of exchange rates movements on firm value (exchange rate exposure) for 1,352 non-financial Korean firms for 1997~2015. We compare the properties of exchange rate exposure of export-oriented versus domestic-market-oriented firms. The proportion of firms with significant positive exposure is larger in the group of export-oriented firms, while the proportion of negative exposure is larger in the group of domestic-marketoriented firms, compared to the other group of firms. These differences between exportoriented and domestic-market-oriented firms are more apparent in lagged exposure than in contemporaneous exposure, and are increasing with the estimation horizon. This implies that the effects of exchange rate movements on stock returns are similar for the two groups in the short-run, but become vastly different as the horizon expands, and these different effects are reflected in stock returns with time lags. We also show that exposure is increasing in firms’export ratios, and the magnitude and significance of this effect strengthen as the estimation horizon increases.
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