환위험이 수출과 채산성에 미치는 효과 분석 = The Effects of Foreign Exchange Volatility on Export and Firm`s Profit

다국어 초록 (Multilingual Abstract)

This paper examines the effects of foreign exchange rate volatility or exchange rate risk on the prices and volume of international trade and the manufacturing firm`s profit. To do this, we estimated export price and volume function and implemented the vector auto regression analysis in order to investigate how exchange rate volatility can affect the export prices and volume in Korea manufacturing industry. In addition, we also analyze the impacts of exchange rate volatility on Korean manufacturing firm`s profit defined as operating profit over sales. The main empirical results are summarized as follows. First, the risk averse firms reduce their export volume and increase export prices to avoid increasing foreign exchange volatility. This implies that firms try to keep their profit expanding the domestic supplies in the face of increasing foreign exchange risk. Second, According to the results related to exchange volatility and firm`s profit, the 1 percent point increase of foreign exchange change causes firm`s profit to increase by 0.5 percent pont. More importantly, the 1 percent point increase of exchange volatility causes it to decrease by 0.12 percent point. Finally, the 1 percent point increase of exchange volatility leads small and medium size firms` profit to decrease by 0.01 percent point more than large size firms.

참고문헌 (Reference)

1 이상호, "환율불확실성의 경제적 파급효과 분석" 한국금융연구원 19 (19): 1-38, 2005

2 김승원, "환율변동이 기업채산성에 미치는 영향" 한국은행 조사국 63-83, 2006

3 안순권, "환율변동이 기업채산성에 미치는 기업특성별 영향에 대한 연구" 한국국제경제학회 14 (14): 43-72, 2008

4 최봉호, "환율변동성의 무역수지에 대한 영향" 한국국제통상학회 11 (11): 65-85, 2006

5 서영경, "환율변동과 기업채산성과의 관계-경쟁국과의 비교" 한국은행 1-32, 1999

6 윤성훈, "환율 변화가 품목별 수출에 미치는 영향" 한국국제경제학회 13 (13): 83-111, 2007

7 이창선, "환율 급락 기업수익성 얼마나 악화시키나" LG주간경제 10-14, 2002

8 문우식, "원화강세와 산업구조 재편:기업채산성에 미치는 효과를 중심으로" 금융경제연구원 (156) : 1-38, 2003

9 강삼모, "우리나라의 환율 및 환율 변동성이 무역수지와 경제성장에 미치는 영향" 국제지역학회 11 (11): 438-458, 2007

10 곽태운, "실질환율변동과 우리나라 제조업의 수익률변동" 한국무역학회 27 (27): 317-339, 2002

11 Clark,P.B, "Uncertainty,Exchange Rate,and the Level of International Trade" 11 : 302-313, 1973

12 Cushman,D.O, "U.S.Bilateral Trade Flows and Exchange Risk During the Floating Period" 24 : 317-330, 1988

13 Clarida,H.R, "The real exchange rate and US manufacturing profits:a theoretical framework with some empirical support" 2 : 177-187, 1997

14 Goldstein,M, "The Supply and Demand for Exports:A Simultaneous Approach" 60 : 275-286, 1978

15 Hsiao-ChienTsui, "The Interaction of Market Structures and External Exposure Effects on Profit Margins: An Empirical Analysis of Taiwan" 경제연구소 27 (27): 107-124, 2002

16 Hooper,P, "The Effects of exchange rate uncertainty on the Prices and Volume of International Trade" 8 : 483-511, 1978

17 Bodnar,G.M, "Pass-through and exposure" 57 : 199-231, 2002

18 Kenen,P.T, "Measuring and Analyzing the Effects of Short-term Volatility in Real Exchange Rates" 68 : 311-315, 1986

19 Campa,Jose Manuel, "Investment,Pass-through,and Exchange Rates:A Cross-Country Comparison" 40 : 287-314, 1999

20 Allayannis,G, "Exposure and Markups" 14 (14): 805-835, 2000

21 Arize,A, "Exchange Rate Volatility in Latin America and its Impact on Foreign Trade" 17 : 33-44, 2000

22 Baak, "Exchange Rate Volatility and Trade among the Asia Pacific Countries" Econometric Society 2004

23 Doganlar,Murat, "Estimating the impact of exchange rate volatility on exports:evidence from Asian countries" 9 : 859-863, 2002

24 Chowdhury,A.R, "Does Exchange-rate volatility Depress Trade Flows? Evidence from Error-Correction Models" 75 : 700-706, 1993

25 Bacchetta,P, "Does Exchange-Rate Stability Increase Trade and Welfare" 90 (90): 1093-1109, 2000

26 Hung,J, "Assessing the exchange rate’s impact on US.manufacturing profit" 44-63, 1993