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네팅과 헤지가 우리나라 수출기업의 환위험 노출계수에 미치는 효과

Netting and Hedging Effect on the Exchange Risk Exposure of the Korean Export Firms

김희호|방두완|박세운
한국국제경영학회 (Korean Academy of International Business)|2009.12|국제경영연구 (International Business Journal)|제20권 제4호|pp. 1-28

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참고문헌

키워드

환위험 노출계수금융헤지오퍼레이팅헤지네팅순수출비중Coefficient of the Exchange Risk ExposureFinancial HedgeOperating HedgeNettingNet Export Ratio
주제분류경영학

초록

이 연구는 우리나라 수출기업의 환위험 노출계수를 추정하고, 환위험 노출계수(베타)의 결정요인으로서 헤지효과를 실증적으로 분석하고자 한다. 기존연구보다 헤징수단을 다양하게 고려하여 금융헤지, 오퍼레이팅헤지, 그리고 네팅(netting)을 베타의 결정요인으로 분석하였다. 네팅은 수출대금을 국내통화로 환전하지 않고 그대로 수입대금 결제에 사용하여 환위험을 상쇄시키는 헤징수단이다. 우리나라 상장기업을 순수출비중으로 구분하여 1999년 1월～20007년 12월까지 월별자료를 사용한 실증분석에서 헤징과 네팅은 실질달러환율과 실질실효환율에서 통계적으로 유의적이었으며, 기업의 환위험 노출계수를 감소시키는 것으로 나타났다. 환위험 노출계수의 결정요인으로서 개별기업의 네팅을 사용한 헤지효과는 국제금융분야에서 처음 시도되는 연구로서 그 의미가 크다.

Abstract

This study purposes to estimate the coefficients of the exchange risk exposure for the Korean export firms and to analyze the determinants of the coefficient empirically. Unlike the literature, this paper considers the various hedging instruments such as financial hedging, operating hedging and netting as for the determinants of the coefficients of the exchange risk exposure. Netting is one of hedging instruments to offset the exchange risk by using the payment methods for overseas trades directly without exchanging for a domestic currency. We classify the exports firms by ratio of net export for the empirical purpose to find out whether there is any significant difference in the foreign exchange risk exposure of the firms with a different ratio of net export. Using the monthly data of Korean export firms from January 1999 to December 2007, evidence indicates that hedging statistically significantly reduces the coefficients of the exchange risk exposure for the Korean export firms. In particular, netting plays the most important role in determining the coefficient of the exchange risk exposure. This result, using netting as a determinant of the exchange risk exposure, is quite unique and a first attempt in the field of the international finance.

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