중소 수출기업의 환위험 헤지수단 선택
Hedge Instruments of the Small Export Firms
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구는 해외시장 경쟁력을 가지고 있는 중소기업이 환위험에 노출되어 있을 때 선물과 옵션 가운데 어느 것이 유리한지에 대한 기준을 제시하고자 한다. 해외시장 경쟁력이 있는 중소기업은 헤지 가능한 환위험과 헤지 불가능한 시장경쟁력 변동위험에 노출되어 있다. 헤지 가능한 환위험은 선물매도(short future)로 완전한 헤지가 가능하지만, 시장경쟁력 변동위험은 완전하게 헤지되지 못하며 풋(put) 매입이 필요하다. 본 연구결과에서 중소기업의 최적 헤지는 수출금액보다 작게 헤지하는 과소헤지(under hedge)전략이 필요하다. 한편, 중소 수출기업이 환위험에 대해 선물매도와 풋 매입 가운데 어느 헤지 수단을 선택하는가 하는 문제는 그 기업의 위험선호도와 풋 옵션의 내(외)가격 크기에 따라 다르다. 만약 풋 옵션가격이 내가격(ITM)이라면, 선물매도가 풋 매입보다 수출이윤이 크고 효율적이며, 반대로 풋 옵션가격이 외가격이라면(OTM), 풋 매입이 선물매도보다 수출이윤이 크고 효율적이다.
Abstract
This study provides a criterion on the preferred hedge instruments for the small export companies exposed to the exchange and mark-up risk in the overseas export markets. The profit of the small export companies is non-linear in the exchange risk in the incomplete export markets where the market’s mark-up is adjusted to changes in the exchange rate. The non-linear profit of the small export companies can not be fully hedged by a simple short future because of the co-existence of the exchange and mark-up risk. The use of put option is required under a risk aversion condition to fully hedge both risks, the exchange risk and the mark-up risk even when the future rate is unbiased. The preference of hedge instruments depends on the biasedness of future rates and option price, given a degree of absolute risk aversion. If the future rate is unbiased and the option price is deep in the money, the short future hedge is preferred to the option hedge. If option price is out of the money along with the unbiased future rate, the long put is preferred to the short future.
참고문헌 (32)
- 김희호, "환율변동과 시장독점성: Residual Demand 측정", 국제경제연구, 8(3), pp.63~93 (2002), 한국국제경제학회
- Batte rman, H., "The Preferred Hedge Instrument", Economic Letters, 66, pp.85~91 (2002)
- Batte rmann, H., "Inflation Risk, Hedging, and Exports", Review of Development Economics, 5(3), pp.355~362 (2001)
- Berg in, P., "Staggered Price Setting, Trans-log Preferences, and Endogenous Persistence", Journal of Monetary Economics, pp.44~74 (2000)
- Bran ger, N., "Tractable Hedging with Additional Hedge Instruments", Review of Derivatives Research, 14(1), pp.85~114 (2011)
- Broll, U., "Export as an Option", International Economic Journal, 13, pp.19~26 (1999)
- Broll, U., "Hedging and Nonlinear Risk Exposure", Oxford Economic Papers, 53(2), pp.281~296 (2001)
- Broll, U., "Modelling Information and Hedging : The Exporting Firm", Economic Modelling, 26(5), pp.974~977 (2009)
- Broll, U., "Exchange Rate Volatility, international trade and labour demand", International Economics and Economic Policy, 7(4), pp.423~436 (2010)
- Broll, U., "Export, Exchange Rate Risk and Hedging : The Duopoly Case", German Economic Review, 12(4), pp.490~502 (2011)
- Broll, U., "Hedging Exchange Risk: The Multiperiod Case", Research in Economics, 53, pp.365~380 (1999)
- Dohner, R., "Export Pricing, Flexible Exchange Rates, and Divergence in the Prices of Traded Goods", Journal of International Economics, 16, pp.79~101 (1984)
- Dowrick, S., "von Stackelberg and Cournot Duopoly ; Choosing Role", Rand Journal of Economics, 17(1), pp.251~260 (1986)
- Froot, K., "Exchange Rate Pass-Through when Market Share Matters", American Economic Review, 79, pp.637~654 (1989)
- Goldberg, P., "Measuring the Intensity of Competition in Export Markets", Journal of International Economics (1999)
- Hackbarth D., "Real Options and Risk Dynamics", Review of Economic Studies, 82(4), pp.1449~1482 (2015)
- Holthausen, D., "Hedging and the Competitive Firm under Price Uncertainty", American Economic Review, 69, pp.989~995 (1979)
- Ito, T., "Exchange rate exposure and risk management:The case of Japanese exporting firms", Journal of the Japanese and International Economies, 41(C), pp.17~29 (2016)
- Lapan, H., "Production, Hedging, and Speculative Decisions with Options and Future Markets", American Journal of Agricultural Economics, pp.66~74 (1991)
- Lence, S., "On the Optimal Hedge Under Unbiased Futures Prices", Economic Letters, 47, pp.385~388 (1995)
- Liu, K., "Optimal Hedging Decisions for Taiwanese Corn Traders on the Way to Liberalization", Agricultural Economics, 25, pp.303~309 (2001)
- Moschini, G., "Hedging Price Risk with Options and Futures for the Competitive Firm with Production Flexibility", International Economic Review, 33, pp.607~618 (1992)
- Moschini, G., "The Hedging Role of Options and Futures Under the Joint Price, Basis, and Production Risk", International Economic Review, 36, pp.1025~1049 (1995)
- Muller, A., "Export and Hedging Decisions under Revenue and Exchange Rate Risk : A Note", European Economic Review, 41, pp.1421~1426 (1997)
- Muller, A., "Hedging Price Risk When Real Wealth Matters", Journal of International Money and Finance, 19, pp.549~560 (2000)
- Rao, V., "Preference-Free Optimal Hedging Using Futures", Economic Letters, 66, pp.223~228 (2000)
- Sakong, Y., "Hedging Production Risk with Options", American Journal of Agricultural Economics, 75, pp.408~415 (1993)
- Sandmo, A., "On the Theory of the Competitive Firm Under Price Uncertainty", American Economic Review, 61, pp.65~73 (1971)
- Ware, R., "Forward Markets, Currency Options and the Hedging of Foreign Exchange Risk", Journal of International Economics, 25, pp.291~302 (1988)
- Wong, K., "Currency Hedging for Export-Flexible Firms", International Economics Journal, 15, pp.165~174 (2001)
- Wong, K., "International trade and hedging under joint price and exchange rate uncertainty", International Review of Economics and Finance, 27(C), pp.160~170 (2013)
- Wong, K., "Export and Hedging Decisions under Correlated Revenue and Exchange Rate Risk", Bulletin of Economic Research, 67(4), pp.371~381 (2015)