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환위험노출의 실물옵션모형

A Real Option Model of Exchange Risk Exposure

김희호|박세운
한국국제금융학회 (Korea International Finance Association)|2012.05|국제금융연구 (Review of International Money and Finance)|제2권 제1호|pp. 15-38|DOI 10.34251/ifadoi.2.1.201205.002

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참고문헌

키워드

기업가치Firm’s Value경쟁기업실물옵션 헤지환 위험노출계수마크업-율Real Option HedgeExchange Risk ExposureCompeting Foreign FirmsMark-up
주제분류경제학

초록

본 연구는 실물옵션모형을 개발하여 수출기업의 실물옵션 헤지가 환 위험노출계수에 미치는 효과를 이론적으로 분석하고자 한다. 이를 위해 이 연구는 수출이윤을 실물옵션 헤지의 선형함수로 나타내었으며, 실물옵션 헤지의 대용변수로서 마크업-율을 사용하였다. 환율변동에 대해 마크업-율을 조정하는 실물옵션 헤지는 기업의 환 위험노출계수를 감소시키며, 환율변동의 방향에 따라 비대칭적으로 변화시키는 것으로 나타났다. 이러한 실물옵션 헤지의 가능성은 최근 실증연구에서 나타나는 환위험노출계수의 통계적 비유의성을 설명할 수 있었다.

Abstract

This study theoretically analyzes the effect of real option hedge on the exchange risk exposure for the export firms by developing a real option model. To do this, we use the time varying mark-up rate as a proxy for real option hedge and represent real option as proportional to the export profit. Real option hedge tends to decrease the exchange risk exposure for an exporting firm asymmetrically, depending on the direction of movements in the exchange rates. The possibility of real option hedge may explain the statistical insignificancy of the empirical beta for the relationship between the exchange risk and the firm’s value unlike in the previous empirical studies.

참고문헌 (48)

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