This paper measures the exchange rate exposure of 403 manufacturing firms for the period from March 1990 to December 2002. The sample period is divided into three subperiods, March 1990 to December 1994, January 1995 to October 1997, and January 1999 to December 2002 taking into account two major changes in foreign exchange market. The second subperiod starts with the launch of Three Stage Foreign Exchange Reform and the last subperiod employs free floating. The empirical results confirm the hypothesis that the number of firms with significant exposure increases in the latter subperiods as exchange rates are determined with less intervention.
However, the portion of firms with significant exposure is relatively small. The number of firms with negative exposure outweighs those with positive exposure even for exporting industries when effective rates are used in regressions. These two anomalies are weakened when the analysis is extended to three directions, use of bilateral rates, inclusion of lagged variable, and use of subsample with high export ratio.
우리나라 기업의 환노출 분석(Foreign exchange exposure of Korean manufacturing firms)
|Series Title; No||금융조사보고서 / 2003-05|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|