earticle

영어

This study has analyzed the existence and the determinants of the exchange rate exposure of Korea nonfinancial companies. Applying linear and nonlinear models, this paper estimates the exchange rate exposure and its determinants of Korean nonfinancial companies. The data used in this paper are the exchange rate, the stock returns as well as the financial indexes of nonfinancial companies listed in Korea Stock Exchange. Monthly data were used in estimating the exchange rate exposure. And yearly data were used in its determinants analysis for the period between January of 2000 and December of 2010. The estimation results are summarized as following; First, in the case of estimating the exchange rate exposure, the nonlinear model shows higher proportion of the number of companies that are exposed significantly to the exchange rate fluctuations when compared to the linear model. Second, in the case of estimating the determinants of the exchange rate exposure, the scale of company mainly affects the level of exposure.