환리스크와 기업가치

The Foreign Currency Risk and Firm Value

This paper studies the exchange rate exposure and its determinants for a sample of all the non-financial firms listed on KRX from July 2005 to June 2009. The results show that more than 40% of the firms in the sample have significant exposure effect to U.S dollar, 30% to the trade-weighted exchange rate, and 20% to Euro. It indicates that the exchange rate exposure measured by using the trade-weighted exchange rates sounds more accurate. Moreover, the results also indicate that the number of firms exposed is higher in periods of the Global Financial Crisis. In addition, this research is extended to the existence of asymmetric exposures to the trade-weighted exchange rate. Some highlights are different form previous research. First, by comparing the linear and non-linear model, we find that non-linear model`s R-sq is higher than linear regression model`s. Second, we compare the linear regression models measured by U.S dollar, Euro and the trade-weighted exchange rate exposure. Third, we examine the determinants of the exchange rate exposure for the respective group of positive and negative significant exposure. Finally, we consider a determinant factor of exchange rate exposure which can`t been seen in the previous studies in Korea, and we find that it`s a significant variable.