Estimation of foreign exchange exposure: Evidence from South Korea

• Main Authors: Hsueh,Yung-Ching, 薛詠菁
• Other Authors: Christina Y. Liu
• Format: Others
• Language: zh-TW
• Published: 1996
• Online Access: http://ndltd.ncl.edu.tw/handle/60323091184992922761

碩士 === 國立臺灣大學 === 財務金融學系 === 84 === The increasing volatility of exchange rates under the flexi- ble exchange rate system has created an additional source of uncertainty and risk for firms operating in global environment. The purpose of this research is to examine the foreign exchange exposure of 212 firms in 29 Korean industries. The estimations indicate that, comparing with the empirical results for Taiwan, the U.S., Australia, Canada and Japan, the Korean firms are much less sensitive to exchange rate movements. The main findings are as follows. 1.In the one-factor model: From Nov.1983 to Oct.1993, 54 firms out of 212 firms show 5% statistically significant exchange rate exposures. 23 firms have 5% significant exposure from Nov.1983 to Dec.1988 and 2 firms have 5% significant coefficients from Jan.1989 to Oct.1993. For the industry-level, 4 of 29 industries have 5% significant exposures from Nov.1983 to Oct.1993. 2 industries show 5% significant results in the first subperiod, but no industry shows significant exchange exposure from Jan. 1989 to Oct.1993. 2.In the two-factor model: 8 of 212 firms show 5% significant exchange rate exposure from Nov.1983 to Oct.1993. 6 firms have 5% significant exposures from Nov.1983 to Dec.1988. There is no significant result from Jan.1989 to Oct.1993. For the industry- level, only one industry shows 5% significant exchange exposure in the first subperiod. 3.In the two-factor model, 106 firms have exposures with the same sign inthe first and second subperiods. This means the patterns of exposure may shift overtime. 4.Considering the problem of orthoganality, the results show that there is little difference between pre- and post-adjustment of measurement of foreign exchange exposure.