기업의 자본구조와 환노출
Firm Capital Structure and Foreign Exchange Rate Exposure
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환율의 변동은 기업가치에 영향을 줄 수 있다. 기업이 타인자본을 사용하지 않는 다면 주가를 기준으로 추정한 환노출은 자기자본 가치의 변화만을 반영한다. 그러나 기업이 타인자본을 사용하는 경우라면 환노출에는 부채의 영향이 반영되어 부채를 사용하지 않는 경우에 비해 환노출이 확대 또는 축소되어 나타날 수 있다. 이 연구에서는 기업의 부채사용과 환노출 간의 관계를 분석한다. 부채의 사용이 환노출에 미치는 영향을 분석하기 위해 ‘환노출의 부채레버리지 효과’ 가설을 설정한다. 분석 결과 환율의 급격한 변동이 있었던 글로벌금융위기를 포함한 기간(2006년∼2010년)에서는 부채 사용에 따른 환노출 레버리지효과 가설을 지지하는 결과를 확인하였다. 즉, 부채의 의존도가 높은 기업의 경우 환노출이 증가하였다. 그러나 글로벌금융위기 이후 기간(2011년∼2015년)에서는 환노출 레버리지효과를 지지할 수 있는 결과가 나타나지 않았다. 이 연구의 분석 결과는 금융위기와 같이 환율이 급변하는 기간에는 부채를 많이 사용하는 기업의 경우 환노출의 급격한 증가 가능성을 고려해야 함을 시사한다.
Abstract
Changes in foreign exchange rates could affect a firm's value. If a firm do not use debt, the foreign exchange rate exposure of a firm should be assessed from the perspective of its shareholders’ wealth. Meanwhile, if a firm's capital is constituted by shareholder capital and debtholder capital, its foreign exchange rate exposure measured by changes in stock price may be affected by its debt ratio. This paper examined the effect of a firm’s usage of debt on foreign exchange rate exposure. To determine the effect of debt on foreign exchange rate exposure, I develope a hypothesis named ‘leverage effect of foreign exchange rate exposure’. I investigated the hypothesis using a simple regression model with debt ratio tertile variables. For the global financial crisis period (2006∼2010), the results of the analysis confirm the leverage effect of foreign exchange rate exposure hypothesis in that a firm’s foreign exchange rate exposure becomes larger as it incurs more debt. However, a relationship between a firm’s debt ratio and foreign exchange rate exposure during the post-global financial crisis(2011∼2015) can not be established. The results support the notion that in the event of exchange rates rising sharply, as seen during a financial crisis, a high leveraged firm can face a large foreign exchange rate exposure.
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