본문 바로가기
KERD
논문KCI 등재

신흥시장 글로벌은행의 환위험 관리능력 : 재무역량, 수익구조, 기업특유속성

The Foreign Exchange Exposure of Global Banks from Emerging Markets and their Capabilities : Financial Soundness, Income Structure, and Firm-specific Advantages

한재훈|양오석
한국전문경영인학회|2018.12|전문경영인연구 (Journal of CEO and Management Studies)|제21권 제4호|pp. 525-542

0

조회

0

다운로드

1

인용

0

참고문헌

키워드

환위험환노출Emerging Markets신흥시장Foreign Exchange Exposure수익구조Income StructureForeign Exchange Rate RiskFinancial Capabilities글로벌은행기업특유속성재무 역량Global BanksFirm-specific Advantages

초록

본 연구는 신흥국 출신 6개국 102개 글로벌은행을 대상으로 2005~2017년 기간동안 발생한 환노출 수준을 결정하는 주요 요인을 고찰하였다. Thomson Reuters Datastream 자료와 Bankscope 자료를 사용하였고, 최소자승법과 패널모형 간 적합성 검토를 통해최종 확인된 패널모형을 적용하여 실증분석을 실시하였다. 분석결과 PBR(시장가치대비장부가치), PV(주가변동성), TIER(자산의 질), LOAN(예대율), FITI(총수익대비해외수익), TASS(기업규모)은 환노출을 확대하고, NPLR(부실대출비율)은 감소시키는 것으로나타났다. 이로써 성장기회, 시장가치 안정성, 재무 건전성, 재무 유동성, 국제다각화, 독점적 우위 등은 환노출을 증가시키고, 리스크 관리능력은 환노출을 감소시키는 요인으로 작용한다. 따라서 신흥국 출신 글로벌은행은 국제다각화 활동을 전개하는데 있어서기업특유속성과 재무 역량을 종합적으로 관리하여 환노출 수준을 효과적으로 통제할 수있도록 전략을 추구해야 한다. 이와 동시에 전반적인 환노출 수준을 낮출 수 있도록 비례하는 리스크관리능력을 강화해야 한다.

Abstract

This paper examines the main determinants of foreign exchange rate exposure to cover the years of 2005 to 2017 for 102 global banks from 6 emerging markets. It employs the data from Thomson Reuters Datastream and Bankscope and applies the panel model to the empirical analysis, which was qualified by the methodological verification of the competing approaches such as OLS and Panel method. The main findings of this paper are: (1) PBR, PV, TIER, LOAN, FITI, and TASS are negatively associated with the foreign exchange rate exposure with a statistical significance. In contrast, NPLR is statistically and positively associated with the foreign exchange rate exposure. As such, growth opportunity, stability of market value, financial soundness, financial liquidity, global divercification, and monopolistic advantages make the foreign exchange rate exposure increase, while risk management capabilities lead to the decrease in the foreign exchange rate exposure. Therefore, global banks from emerging markets need to manage firm-specific advantages and financial capabilities in a process of global diversification and seek for a strategy so as to control the level of the foreign exchange rate exposure in a proper way. In addition, they simultaneously are strongly urged to intensify the risk management capabilities resulting in the decrease in the general level of foreign exchange rate exposure.

참고문헌 (51)

  1. 곽태운, "환노출관리전략에 대한 연구:한국의 수출기업을 중심으로", 국제통상연구, 8(2) (2003), 한국국제통상학회
  2. 권택호, "환노출의 비대칭성과 외화표시 부채", 국제경영연구, 18(1), pp.87~110 (2007), 한국국제경영학회
  3. 권택호, "한국 기업의 예측환노출과 관찰환노출 차이 분석", 국제경영연구, 22(2), pp.39~70 (2011), 한국국제경영학회
  4. 김순성, "외화표시부채 사용의 환노출 감소에 대한 실효성", 2011 제13회 경영관련학회통합학술대회 국제경영분야 발표논문집, pp.363~398 (2011)
  5. 민상기, "글로벌재무전략" (2002), 명경사
  6. 반혜정, "기업의 투자성향과 외국시장진입전략 - 통화파생상품을 이용한 환위험관리를 중심으로 -", 무역학회지, 36(5), pp.279~302 (2011), 한국무역학회
  7. 양오석, "기업의 외화표시부채 조달에 대한 환노출효과 및 환변동성노출효과 분석", 한국국제경영관리학회 2015년 정책세미나 및 춘계학술대회, pp.133~168 (2015)
  8. 양인덕, "실질환율이 한국과 중국의 무역에 미치는 장·단기 영향", 전문경영인연구, 18(4), pp.51~68 (2015), 한국전문경영인학회
  9. 유승훈, "한국기업의 환노출에 관한 실증분석", 산업경제연구, 22(4), pp.1659~1682 (2009), 한국산업경제학회
  10. 이가연, "수출기업의 외화부채사용에 대한 연구", 전문경영인연구, 20(2), pp.69~85 (2017), 한국전문경영인학회
  11. 이현석, "개별기업의 환노출과 결정요인에 관한 연구", 재무관리연구, 21(2), pp.65~98 (2004), 한국재무관리학회
  12. 정성창, "기업의 통화파생상품거래, 환노출을 감소시키는가?", 국제경영연구, 18(4), pp.37~63 (2007), 한국국제경영학회
  13. Adler, M., "Exposure to currency risk : definition and measurement", Financial Management, 13(2), pp.41~50 (1984)
  14. Aggarwal, R., "Foreign exchange exposure of"domestic"corporations", Journal of International Money and Finance, 29(8), pp.1619~1636 (2010)
  15. Amihud, Y., "Exchange rates and the valuation of equity shares" (1994), Irwin
  16. Anderson, D. R., "Statistics for Business and Economics" (1996), West Publishing Company
  17. Bartlett, S., "Managing Across Borders: The Transnational Solution" (1989), Harvard Business School Press
  18. Bartov, E., "Firm valuation, earnings expectations, and the exchange-rate exposure effect", The Journal of Finance, 49(5), pp.1755~1785 (1994)
  19. Bartram, S. M., "Linear and nonlinear foreign exchange rate exposures of German nonfinancial corporations", Journal of International Money and Finance, 23(4), pp.673~699 (2004)
  20. Bartram, S. M., "Resolving the exposure puzzle : The many facets of exchange rate exposure", Journal of Financial Economics, 95(2), pp.148~173 (2010)
  21. Belghitar, Y., "Foreign currency derivative use and shareholder value", International Review of Financial Analysis, 29, pp.283~293 (2013)
  22. Bodnar, G. M., "Exchange rate exposure: A simple model, Global Risk Management: Financial, Operational and Insurance Strategies", International Finance Review, 3, pp.107~116 (2002)
  23. "Firmwide risk management of foreign exchange exposure by US multinational corporations" (2001)[URL]
  24. Chang, C. W., "Scurvy in a Patient with Depression", Digestive Diseases and Sciences, 52(5), pp.1259~1261 (2007)
  25. Chatterjee, S., "Regression Analysis by Example" (1991), John Wiley & Sons, Inc
  26. Collins, J. M., "A Market Performance Comparison of US Firms Active in Domestic, Developed and Developing Countries", Journal of International Business Studies, 21(2), pp.271~287 (1990)
  27. Contractor, F. J., "A three-stage theory of international expansion : The link between multinationality and performance in the service sector", Journal of International Business Studies, 34(1), pp.5~18 (2003)
  28. Crabb, P. R., "Multinational corporations and hedging exchange rate exposure", International Review of Economics and Finance, 11(2002), pp.299~314 (2002)
  29. Donnelly, R., "The share price reaction of UK exporters to exchange rate movements : An empirical study", Journal of International Business Studies, 27(1), pp.157~165 (1996)
  30. Doukas, J., "Foreign Direct Investment, Diversification and Firm Performance", Journal of International Business Studies, 34(2), pp.153~172 (2003)
  31. Doukas, J., "The Effect of Corporate Multinationalism on Shareholders’ Wealth : Evidence from International Acquisitions", The Journal of Finance, 43(5), pp.1161~1175 (1988)
  32. Geringer, J. M., "Diversification Strategy and Internationalization : Implications for MNE Performance", Strategic Management Journal, 10(2), pp.109~119 (1989)
  33. Gomes, L. K., "An Empirical Examination of the Form of the Relationship between Multinationality and Performance", Journal of International Business Studies, 30(1), pp.173~188 (1999)
  34. Griffiths, W. E., "Learning and Practicing Econometrics" (1993), John Wiley & Sons
  35. Hair, J. F. Jr., "Multivariate Data Analysis" (1998), Prentice-Hall
  36. Hansen, B. E., "The likelihood ratio test under nonstandard conditions: testing the Markov switching model of GNP", Journal of Applied Econometrics, 7(Special), pp.S61~S82 (1992)
  37. He, J., "The foreign exchange exposure of Japanese multinational corporations", The Journal of Finance, 53(2), pp.733~753 (1998)
  38. Hitt, M. A., "International Diversification : Effects on Innovation and Firm Performance in Product-Diversified Firms", Academy of Management Journal, 40(4), pp.767~798 (1997)
  39. Jorion, P., "The exchange-rate exposure of US multinationals", Journal of Business, 63(3), pp.331~345 (1990)
  40. Kennedy, P., "A Guide to Econometrics" (1992), The MIT Press
  41. Khoo, A., "Estimation of foreign exchange exposure : an application to mining companies in Australia", Journal of International Money and Finance, 13(3), pp.342~363 (1994)
  42. Kotabe, M., "Multinationality and Firm Performance : The Moderating Role of R&D and Marketing Capabilities", Journal of International Business Studies, 33(1), pp.79~97 (2002)
  43. Martin, A. D., "Scale economies in hedging foreign exchange cash flow exposures", Global Finance Journal, 15(1), pp.17~27 (2004)
  44. Muller, A., "European Foreign Exchange Risk Exposure", European Financial Management, 12(2), pp.195~220 (2006)
  45. Nguyen, H, "Exchange rate exposure, foreign currency derivatives and the introduction of the euro : French evidence", International Review of Economics & Finance, 16(4), pp.563~577 (2007)
  46. Parsley, D. C., "Exchange rate pegs and foreign exchange exposure in East and South East Asia", Journal of International Money and Finance, 25(6), pp.992~1009 (2006)
  47. Qian, G., "Assessing Product-market Diversification of US Firms", Management International Review, 37(2), pp.127~149 (1997)
  48. Ramaswamy, K., "Multinationality, Configuration, and Performance: a Study of MNEs in the US Drug and Pharmaceutical Sector", Journal of International Management, 1, pp.231~253 (1995)
  49. Ruigrok, W., "Internationalization and Performance: An Organizational Learning Perspective", Management International Review, 43(1), pp.63~83 (2003)
  50. Sullivan, D., "Measuring the Degree of Internationalization of a Firm", Journal of International Business Studies, 25(2), pp.325~342 (1994)
  51. Tallman, S., "Effects of International Diversity and Product Diversity on the Performance of Multinational Firms", Academy Management Journal, 39(1), pp.179~196 (1996)

이 간행물의 다른 논문 (27건)

기업지배구조와 경영성과 변동성과의 관계분석손평식pp. 1-20고객경험이 고객만족과 고객충성도에 미치는 영향에 관한 사례연구 : 기업 CEO를 위한 시사점박진, 김은희, 김동환pp. 21-38조직구성원들이 경험하는 컴페션과 긍정 리더십이 집단적 자긍심과 직무성과에 미치는 영향 : 긍정적 조직 정체성의 매개효과고성훈pp. 39-59상사 갑질이 일탈행위에 미치는 영향에 관한 연구: 최고경영진의 윤리적 리더십에 대한 시사점을 중심으로박종혁pp. 61-78CEO의 내적 통제위치가 조직의 위기관리에 미치는 영향 : 위험감수성향의 매개 효과와 환경불확실성의 조절효과고덕천, 이상호, 이덕로pp. 79-106
원문 보기