지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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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.
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참고문헌 (28)
참고문헌 신청
Adler, M. / 1984 / Exposure to Currency Risk: Definition and Measurement / Financial Management 13 : 41 ~ 50
Amihud, Y. / 1994 / Evidence on Exchange Rates and Valuation of Equity Shares, in Exchange Rate and Corporate Performance / Irwin Professional : 49 ~ 59
Baillie, R. T. / 1989 / The Message in Daily Exchange Rates a Conditional Variance Tail / Journal of Business and Economic Statistics 7 : 297 ~ 305
Bodnar, G. M. / 1993 / Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan, and the USA / Journal of International Money and Finance 12 : 29 ~ 4
Bodnar, G. M. / 2002 / Pass-through and Exposure / Journal of Finance 12 : 199 ~ 231
Amihud, Y. / 1994 / Evidence on Exchange Rates and Valuation of Equity Shares, in Exchange Rate and Corporate Performance / Irwin Professional : 49 ~ 59
Baillie, R. T. / 1989 / The Message in Daily Exchange Rates a Conditional Variance Tail / Journal of Business and Economic Statistics 7 : 297 ~ 305
Bodnar, G. M. / 1993 / Exchange Rate Exposure and Industry Characteristics: Evidence from Canada, Japan, and the USA / Journal of International Money and Finance 12 : 29 ~ 4
Bodnar, G. M. / 2002 / Pass-through and Exposure / Journal of Finance 12 : 199 ~ 231
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