한국 기업들의 환노출 변화와 주요 특징
Foreign Exchange Exposures of Korean Firms during 2002~2009
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초록
본 연구는 2002~4년, 2005~7년, 2008~9년을 대상으로 주가를 이용하여 우리나라 비금융 상장기업의 환노출을 측정하고 환노출에 영향을 미치는 요인에 대한 분석을 수행하였다. 이를 통해 다음과 같은 현상을 발견하였다. 우선 환율의 변동성이 낮은 시기에는 환노출을 보이는 기업의 수가 적다. 그러나 환율의 변동성이 높은 시기에 환노출을 보이는 기업이 크게 증가하였으며, 예상치 못한 환율의 상승으로 기업가치의 혜택을 보는 기업들은 소수이며 산업별로 큰 차이를 보이고 있다. 또한 기존 연구가 예상하는 바와 다르게 다국적 기업의 환노출이 확대되는 경향이 나타나 운영헤지가 충분히 활용되지 못하고 있음을 시사한다. 환율관련 정책은 산업 및 기업의 특성에 따라 차별적인 효과를 발생시키는 것을 염두에 두어야 할 것이며, 다양한 내부적 외환헤지 기법들에 대해서도 관심을 기울여야 할 것으로 판단된다.
Abstract
We measure foreign exchange exposures as sensitivity of firms' stock returns to FX premium in the CAPM plus FX premium model, and try to find determinants of the exposures; using data of non-financial companies listed in the Korea Exchange during year 2002 to 2009. Main findings are as follows. During the periods of less volatile foreign exchange rate, only a small number of firms are exposed to foreign exchange risks. However, in more volatile period, the number of firms with foreign exchange exposures increases a lot even when controlling market premiums. During the volatile period, a small number of firms is benefitted from the Korean won depreciation while majority of firms are harmed to the contrary of common knowledge and the effects of the depreciation are diverse across industries. Differently from the previous related studies, Korean firms' operational hedges seem to be ineffective. These suggest heterogeneous effects of foreign exchange rates on industries and firms and better utilization of various internal methods to control foreign exchange risks.
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