한국 주식시장에서 환위험에 대한 외국인 투자자의 반응

박종원,이우백,권택호 한국재무관리학회 2008 財務管理硏究 Vol.25 No.4

Foreign investors who invest in the Korean stock markets are exposed to two kinds of foreign exchange rate risk, the economic exposure and the translation exposure. The former is the foreign exchange rate exposure in return generating process of the assets invested and the latter is the foreign exchange rate exposure in the translation of domestic return into foreign investors' currency. Domestic investors, however, are exposed only to foreign exchange rate exposure in the asset invested. This different situation on foreign exchange rate exposure between foreign investors and domestic investors can induce different response to exchange rate change by investor groups. Previous studies on foreign exchange rate exposure of Korean firms reported that quite a few Korean firms are exposed to foreign exchange risks and suggested to manage the foreign exchange risks. Also, many studies on the market segmentation showed that a market can be practically segmented according to the characteristics of investor groups. These studies support the hypothesis that the Korean stock market can be practically segmented by the foreign investors’ attitude to the foreign exchange rate exposure. This study examines the response of both foreign investors and domestic investors to the foreign exchange rate exposures in Korean stock markets. Test results show that foreign investors increase their sell transactions when the foreign exchange rate exposure of the previous day is negative. This result can be possible when foreign investors attempt to actively manage the decrease in value of their assets due to rising of exchange rate. Analysis on the sell order data is also supportive to this interpretation. Foreign investors also increase their buy transactions when the foreign exchange rate exposure of the previous day is negative. This result can be possible when foreign investors use actively the relation between the increase in asset value and the translation gain due to declining of exchange rate. Analyses on buy order data, however, do not show the same result as the analyses on transaction data. This difference may come from the difference of information contained in transaction data and order data. In summary, the result of the paper supports the hypothesis that foreign investors response differently to foreign exchange rate exposure compared with domestic, Korean investors. Two groups do not show different response when exchange rate exposure is positive, i.e., as foreign exchange rate is increase (decrease), the asset value is increase (decrease). However, foreign investors’ response is different from that of domestic investors when exchange rate exposure is negative, i.e., as foreign exchange rate is increase (decrease), the asset value is decrease (increase). These results mean that foreign investors and domestic investors are placed in different situations related to foreign exchange rate exposure, and these differences are reflected in the Korean stock markets. And domestic investors need to consider foreign investors’ different attitude to the foreign exchange rate exposure when they analysis foreign investors’ trading behavior. 외국인 투자자가 한국 시장에 투자를 하는 경우 외국인 투자자는 투자자산에 내재된 환위험과 함께 수익을 환산하는 과정에서의 환위험에 노출된다. 외국인 투자자의 이러한 상황은 투자자산에 내재된 환위험만을 고려하면 되는 국내 투자자와는 구분되는 상황이다. 이러한 차이는 외국인 투자자가 환위험에 대해 국내 투자자와는 다르게 반응하는 원인이 될 수 있다. 환위험에 관한 국내의 기존 연구는 한국 기업들이 환위험에 노출되어 있고 이에 대한 관리가 필요하다는 점을 잘 보여주었다. 또한 동일한 시장이라 하더라도 시장 참여자의 특성에 따라 시장이 분할 될 수 있다는 증거들이 보고되었다. 이러한 기존 연구 결과는 환위험이 시장을 분할하는 요인이 될 수 있음을 지지하는 것이다. 이 연구는 한국유가증권시장에서 외국인 투자자들의 환위험에 대한 반응을 거래량 자료와 주문량 자료를 이용하여 분석하였다. 분석 결과 외국인 투자자는 환위험을 나타내는 공분산이 음수인 경우 매도거래를 증가시킨다. 이는 환율이 상승하면서 주식수익률이 하락하는 환위험을 적극적으로 관리하기 위한 거래의 결과로 해석할 수 있다. 주문자료에 대한 분석 결과도 이러한 해석을 뒷받침한다. 한편, 외국인 투자자는 공분산이 음수인 경우 매입거래도 증가시키는 것으로 분석 되었는데 이는 환율이 하락하면서 주식수익률이 상승하고 투자수익의 환산이익도 함께 증가하는 관계를 적극적으로 활용하기 위한 거래의 결과로 해석할 수 있다. 그러나 외국인 투자자의 매입주문비율 분석 결과는 거래자료 분석 결과와는 달리 유의적인 결과가 나타나지 않았다. 이 연구의 분석 결과는 외국인 투자자는 국내 자산에 내재된 환위험에 대해서 국내 투자자와는 다른 반응을 보인다는 가설을 지지한다. 외국인 투자자는 환율이 상승(하락)하는 경우 기업가치가 상승(하락)하는 방향의 환위험에서는 국내 투자자와 차별적인 반응을 보이지 않는다. 그러나 환율이 상승(하락)하면 기업 가치가 하락(상승)하는 방향의 환위험에서는 국내투자에 비해 거래를 증가시키는 차별적인 특성을 보인다. 이러한 결과는 한국유가증권시장에서 외국인투자자는 환위험에 대하여 국내 투자자와는 다른 평가를 하고 있으며 이러한 차이는 투자자산의 평가에 반영되고 있음을 나타낸다.

한국기업의 환노출 특성에 관한 연구

안순권(Soon Kwon Ahn) 한국경제연구원 2006 한국경제연구원 연구보고서 Vol.2006-04 No.-

  This paper studies the effects of unexpected exchange rate movements on the stock returns of Korean firms. Existing studies investigate almost exclusively linear foreign exchange rate exposure since Adler and Dumas (1984) has suggested regression analysis with linear foreign exchange rate variables. However, financial theory predicts that the exposure of firms may have a nonlinear component due to nonlinear relationships between exchange rates and corporate cash flow. Motivated by these potential shortcomings in the empirical literatures, this paper examines the foreign exchange rate exposure using improved methodologies used by Bartram (2004), which adopted nonlinear exposure in addition to the existing linear exposure. One of the main purposes of this paper is that to examine whether the low significance of the effect of exchange rate changes on firm value reported in previous studies can be explained by the fact that only the linear exposure component has been estimated. The sample includes 645 nonfinancial firms listed on the Korea Stock Exchange from 1992 to 2004. In the second step, a cross-sectional regression analysis studies the determinants of foreign exchange rate exposure such as foreign operation, firm size, foreign debt and other financial variables.<BR>  The findings show that linear exposures have some significance for Korean corporations with regard to US dollar, Japanese Yen and real effective exchange rate. In addition, nonlinear exposures are more statistically significant for these foreign exchange rates. Nonlinear regression specification exercised by sign and size bias tests reveal some empirical evidence in support of a nonlinear feature of the exposures.<BR>  The result obtained by using nonlinear exposure shows that the effects of depreciation of Korean Won differ depending on the currencies and periods. When Won depreciates for US dollar, more corporations would benefit from it in the period 1 (1992~1994) and the period 4(2002~2004), while more corporations would suffer a loss in the other period. When Won depreciates for Japanese Yen, more corporations would suffer a loss in the whole periods. Confining to the firms that have significant exchange rate exposure, when Won depreciates for US dollar, more corporations would suffer a loss in the whole period but period 1, while when Won depreciates for Japanese Yen, more corporations would suffer a loss in the whole period but period 3.<BR>  Significant exchange rate exposures for both Won/USD and Won/Yen have increased from period 1 to period 3 (1999~2001) that covers after-financial crisis period in Korea, which is consistent with the expectation that the exchange rate exposure would rise due to the free-floating exchange rate system. However, significant exchange rate exposures for both currencies dropped in the period 4, the reason for which is assumed to be accounted not only for the decrease of change rate for both exchange rate and stock return, but the rapid increase of investment for derivatives with higher concern for exchange rate risk management.<BR>  The ratio of export to total sales, foreign debt ratio, firm size, cash flow ratio, tobin q and long-term debt ratio constitute significant determinants of the foreign exchange rate exposure.<BR>  Those results suggest the following implications for economic policies and exchange rate risk management. First, the result that the effects of depreciation of Korean Won differ depending on the currencies and periods means the low need for excessive intervention in the foreign currency market to defend Won. Nonetheless, when Korean Won appreciates only or appreciates more than the currencies of other competing countries, it is necessary to intervene in currency market to adjust the speed and width of appreciation. Second, to reduce the exchange rate exposure, rapid change of exchange rate should be prevented. It is necessary to ac

중국의 통화정책과 물가수준, 환율의 상호작용에 대한 연구

구기보 ( Ki Bo Ku ) 현대중국학회 2015 現代中國硏究 Vol.16 No.2

본 논문은 폴 크루그먼(P. Krugman)의 삼원(三元)의 딜레마(Triangle Dilemma)를 이용하여 중국 정부의 외환시장 개입에 따른 환율, 통화정책, 물가수준 등의 관계를 분석하였다. 외환의 유입은 위안화 환율 절상 압력으로 작용하며, 위안화 환율 절상을 완화하기 위해서는 외환당국이 외환시장에 개입하여 외환을 매입할 수밖에 없다. 그러나 불황인 상황에서 외환당국의 외환시장 개입을 통한 외환 매입은 경기회복에 긍정적으로 작용할 수 있다. 상대적인 저성장 상황에서 중국 외환당국의 외환시장 개입은 위안화 환율 안정과 물가상승을 통한 경기부양이라는 두 마리의 토끼를 잡는 효과를 거둘 수 있다. 따라서 중국 정부는 고성장으로 인한 인플레이션의 문제가 부각되기 전까지는 외환시장 개입을 통해 위안화 환율을 안정시키는 정책을 추진할 전망된다. 향후 상당기간 급격한 위안화 환율 절상을 기대하기 어려운 상황에서 우리나라 기업은 기술격차를 빠른 속도로 좁혀오는 중국의 기업과 경쟁을 해야 한다. 우리나라 기업은 가격경쟁력을 제고하기 위해 2014년 11월 실질 타결된 FTA를 적극 활용해야 할 것이다. 중국에 진출한 한국계 기업은 한국에서 원부자재나 반제품을 수입한 후 중국에서 완제품을 만드는 경우 생산비를 절감할 수 있다. 또한 우리나라에 소재한 기업은 중국에서 원부자재를 수입하여 미국이나 유럽에 수출함으로써 이중으로 관세혜택을 입을 수 있다. This paper focused on analyzing the relations of exchange rate, monetary policy, and price level that the Chinese government intervention into a foreign exchange market have brought about by using P. Krugman’s Triangle Dilemma theorem. The inflows of foreign exchange lead to the pressure of the exchange rate appreciation and the foreign exchange authorities cannot but intervene in foreign exchange market and buy foreign exchange to release the appreciation of the Chinese yuan exchange rate. But, it can be profitable to an economic recovery that the foreign exchange authorities intervene in foreign exchange market and buy foreign exchange in the depressed state. China has been in relatively low economic growth in recent years compared with that of the past. Therefore, the Chinese foreign exchange authorities’ intervention into foreign exchange market can enable two goals of Chinese yuan exchange rate stability and business recovery through rise in price. Accordingly, it is expected that the Chinese government will continue to intervene in foreign exchange market and stabilize the exchange rate of the Chinese yuan. It is difficult to expect the rapid exchange rate fluctuations of the Chinese yuan in the near future. Under the circumstance, Korean companies have to compete with Chinese companies that narrow a technological gap rapidly. Korean companies should make the best of Korea-China FTA to enhance the competition power. Korean capital companies that invest in China can reduce production cost in case they import subsidiary materials from Korea and make complete products in China. And the companies in Korea can get double customs benefit by importing materials from China and exporting to other countries like the U.S.A or EU.

우리나라 기업의 환위험 관리 사례에 관한 연구

정헌용,정구형 남서울대학교 2004 남서울대학교 논문집 Vol.10 No.1

The purposes of this study are to examine the strategy of managing foreign exchange risk of Korean Companies. Even through a national environment with regard to foreign exchange rate has been changed, Korean Companies have been maintaining their business based on manager's discretion, traditional experiences without recognizing importance of risk management of foreign exchange. Also, in spite of being interested in such risk management of foreign exchange, most of Korean Companies have lack of knowledge on the practical way of managing such risk. Besides, a management is not a specialist in the field of risk management of foreign exchange, but it is difficult for Korean Companies having small operation to hire a specialist in that field. Therefore, this study intends to protect Korean Companies from their exposure to foreign exchange risk and fluctuation of foreign. exchange rate by proposing the method for Korean Companies to be able to simply use in order to manage such risk through introducing strategies of managing foreign exchange risk. In the future, various studies regarding risk management method of foreign exchange in Korean Companies should be continued.

The Effectiveness of Foreign Exchange Intervention: Empirical Evidence from Vietnam

Xingong DING,Mengzhen WANG 한국유통과학회 2022 The Journal of Asian Finance, Economics and Busine Vol.9 No.2

This study uses monthly data from January 2009 to December 2020 to examine the effectiveness of foreign currency intervention and its influence on monetary policy in Vietnam using a Hierarchical Bayesian VAR model. The findings suggest that foreign exchange intervention has little influence on the exchange rate level or exports, but it can significantly minimize exchange rate volatility. As a result, we can demonstrate that the claim that Vietnam is a currency manipulator is false. As well, the forecast error variance decomposition results reveal that interest rate differentials mainly determine the exchange rate level instead of foreign exchange intervention. Moreover, the findings suggest that foreign exchange intervention is not effectively sterilized in Vietnam. Inflation is caused by an increase in international reserves, which leads to an expansion of the money supply and a decrease in interest rates. Although the impact of foreign exchange intervention grows in tandem with the growth of international reserves, if the sterilizing capacity does not improve, rising foreign exchange intervention will instead result in inflation. Finally, we use a rolling window approach to examine the time-varying effect of foreign exchange intervention.

Uncertainty Channel between Stock Prices and Foreign Exchange Rates in Nepal

Do Hyun Kim,Subedi Shyam,Sang Kuck Chung 한국무역연구원 2015 무역연구 Vol.11 No.4

In this paper, three different versions of bivariate GARCH in mean models were considered to explain the relationship between uncertainty and average outcomes of the stock index and exchange rate. From the empirical results, the bivariate EGARCH-M is the best model to explain the volatility in the two markets. This paper revealed four important conclusions. First, there is a negative relationship between the exchange rates return and stock prices return, but the current exchange rates return is positively affected by the lagged stock prices return at 5% significance level. Second, the results provide strong empirical confirmation of the first hypothesis (that uncertainty in foreign exchange market has an effect on average stock prices) and third hypothesis (that uncertainty in stock market has an effect on average stock prices), implying a negative effect of stock index uncertainty and a positive effect of exchange rates uncertainty on average stock index. On the other hand, for the exchange rates equation, the GARCH-in-mean variables in AR modeling are significant. This shows that there is a positive effect of exchange rates uncertainty and a negative effect of stock index uncertainty on average exchange rates. Third, the coefficient on the lagged residual variance is greater for stock index than for exchange rates, implying that stock index shocks have longer lived effects on uncertainty in the stock market than exchange rates shock have on uncertainty in the foreign exchange market. Finally, from the magnitude of coefficient that shows the effect of the last period’s shock, volatility is more sensitive to its own lagged values than it is to new surprises in the foreign exchange market.

한국채택 국제회계기준과 외화 환산 관련 회계처리에 관한 연구

변혜영(Hae-Young Byun) 한국무역연구원 2010 무역연구 Vol.6 No.1

The aim of this paper is to evaluate the accounting for the effects of changes in foreign exchange rates. Korean GAAP and K-IFRS are similar standards in that they both cover translation of transactions and financial statements of foreign currencies or foreign operation; however, the way in which approach these translation can differ significantly. Korean GAAP have treated translation of transactions and financial statements of foreign currencies and foreign operation primarily based on concept of monetary items and non-monetary items. Unlike Korean GAAP, one of the fundamental requirements of K-IFRS is that when a reporting entity prepares financial statements each individual entity included in those statements must determine its own functional currency and measure its own results and financial position in that currency. K-IFRS refers to functional currency, which is the currency of the primary economic environment in which the entity operates. The functional currency of an entity should reflect the underlying transactions, events and condition that are relevant to the entity. Furthermore, another important issue under K-IFRS is recognition of exchange differences. Under K-IFRS, exchange differences from long-term foreign currency monetary items should be recognised profit or loss for the period. This K-IFRS standard related to foreign exchange transactions does not appropriately reflect the economic substances of open economies which has significant foreign currency trades, especially under the environment of abnormally volatile foreign exchange rates. Key accounting numbers of companies which has a large amount of foreign currency transactions, are affected mainly by a dramatic fluctuation in foreign exchange rates, but not by operating performance. Many emerging market countries are suffering from abnormally large devaluation on their currencies, but abnormally large fluctuations in foreign exchange rates later stabilizes in a short period. Thus, exchange rate for long term foreign currency denominated assets and liabilities at the time of redemption or settlement becomes much different from the rate at the date of the balance. An airline business which normally has a large amount of foreign debt, is a good example of how current accounting rules may distort true financial numbers. Therefore, exchange differences from long term foreign currency monetary items should be recognised in other comprehensive income.

Interaction between Exchange Rates and Foreign Investor Behaviors in the Chinese Bond Market

Guodan Liu,Gab-Je Jo 한국무역연구원 2021 The International Academy of Global Business and T Vol.17 No.1

Purpose – This paper investigates the interaction between the exchange rate and foreign bond investor behaviors in China using monthly time series data, which was available from the public database of the People’s Bank of China (PBC). Design/Methodology/Approach – The empirical data period is a sample of monthly time series data from 2014 to 2019. To analyze the interaction between the exchange rate and foreign bond investor behavior, we employed impulse response function (IRF) and variance decomposition (VDC) analyses based on the vector auto regression (VAR) model. Findings – According to estimation results, exchange rates have a significant negative effect on foreign bond investors, suggesting that foreign capital flows into the Chinese bond market decrease when the RMB depreciates against the US dollar. This implies that foreign investors fancy the RMB’s future earnings because these future earnings can be converted into more US dollars. Inversely, foreign capital flows into the Chinese bond market did not have a significant impact on the exchange rate of the RMB, which is due to the relatively small scale of investments in Chinese sovereign bonds by overseas financial institutions compared to other investments. Furthermore, according to the empirical analysis results, Chinese bond yields have a significant positive impact on foreign bond investor behaviors. At the same time, the yields of the Chinese and US bond markets move in the same direction. These findings indicate that local currency bond yields are affected by global monetary conditions. Research Implications – To further confirm the influence of foreign investment behavior on the RMB exchange rate in this study, we added interaction variables between foreign bond investment and opening policy to analyze the impact response of the exchange rate. The results showed an obvious negative impact, thereby illustrating that the impulse of foreign bond investment on the RMB per US dollar exchange rate is affected by the open policies of the Chinese bond market.

환노출 위험의 추정과 기업별 및 산업별 특성 분석

신범철 ( Beom Cheol Cin ) 한국생산성학회 2012 生産性論集 Vol.26 No.2

This paper empirically analyzes the currency risk exposure of a 301 of manufacturing firms listed in the Korea Stock Exchange market using daily panel data over the period 2000:01:02-2010:12.31. The paper employs a random effect model allowing for asymmetric and lagged effects of exchange rate changes on the firm value. To investigate the currency exposure risk, the paper estimates the reponses of stock returns to the changes in the exchange rates on both daily and monthly basis. The empirical results are as follows. First, significance of foreign exchange rate risk exposure is found to be higher in the industry level than in the firm level. This implies that volatility of foreign exchange rates should reduce firm profitability and thus firm value. Second, the empirical results show that stock returns respond more sensitively to daily exchange rates than to monthly rates. Third, the foreign exchange risk exposure to Japanese Yen rates should have stronger effects on stock returns than to won dollar rates. Finally, there are substantial evidences for asymmetric and lagged effects of foreign exchange rates on the firm value. These findings imply that the central bank may have stronger incentive to intervene markets for stabilization of foreign exchange and thus for prevention of reduction in the firm value unstably.

국제통화시장 환율변동과 주가지수 및 거시경제변수의 상호 연관성

이윤복(Yoonbok Lee),백재승(Jaeseung Baek) 대한경영학회 2016 大韓經營學會誌 Vol.29 No.10