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Foreign Exchange Exposures of Korean Firms

Author

Listed:
  • Cho , Sungbin

    (Korea Development Institute)

  • Song, Min-Kyu

    (Korea Institute of Finance)

Abstract

We measure foreign exchange exposures as sensitivity of firm's value to FX premium in the CAPM plus FX premium model, and try to find determinants of the exposures; using data of non-financial companies listed in the Korea Exchange from the year 2007 to 2008. Main findings are as follows. If Korean won depreciates, only a small number of firms is benefitted while majority of firms are harmed to the contrary of common knowledge. As a firm's export increases, the foreign exchange exposure increases up to a certain level and after that it declines. And, smaller firms of negative foreign exchange exposures are more sensitive to foreign exchange changes.These sugges thet erogeneouseffectsofforeignexchangerateson industries and firms.

Suggested Citation

  • Cho , Sungbin & Song, Min-Kyu, 2011. "Foreign Exchange Exposures of Korean Firms," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 15(1), pages 55-86, March.
    • Handle: RePEc:ris:eaerev:0096
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    Cited by:

    1. Mojisola Olugbode & Ahmed El-Masry & John Pointon, 2014. "Exchange Rate and Interest Rate Exposure of UK Industries Using First-order Autoregressive Exponential GARCH-in-mean (EGARCH-M) Approach," Manchester School, University of Manchester, vol. 82(4), pages 409-464, July.

    More about this item

    Keywords

    Foreign Exchange Exposure; Foreign Currency Premium; CAPM;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • O24 - Economic Development, Innovation, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy

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