earticle

영어

Inthispaperweestimatevarioushedgeratiosandcomparetheirhedgeeffectivenesswhen InsuredForwardcontractprovidedbyK-sure’sExchangeRateInsuranceSystemwasapplied. Varioushedgeratiosareestimatedbybothad-hocwayandtime-serieseconometricstechnique andhedgeeffectivenessiscalculatedbyvariancereductionratio.Althoughwholeperiodisspaned fromFebruary2003toJune2014,beforeandafter theGlobalFinancialCrisisareconsidered. Optimalhedgingratioisdefinedbytheunitsofforwardcontractsperaspotcontract tominimize varianceof rateof return.Threekindsofoptimalhedgeratiosareanalyzed:naivehedgeratio whichmeansone-to-onehedging, time-invariantconstanthedgeratiowhichisestimatedbyOLS regressionmethodandtime-varyinghedgeratiocouldbecalculatedbystate-spacemodelwith Kalmanfilteringalgorithm.BecauseofstructuralbreakcausedbyGlobalFinancialCrisis, thehedge ratiosandhedgeperformancediffersbeforeandafterCrisis.Butrobustresultscouldbeextracted fromthisstudy:mosteffectivehedgingisnaivehedging.Whenitcomestosmallsizeexporting-firms, theycouldminimizethevarianceofprofit rateof returnasjustsellingK-sure’sInsuredForward by the half of total amount of export for multi-periods.

한국어

수출기업이환율변동위험을회피(hedge)할수있는단순한방법은수취하게될외환의액수 가확정되는시점에서선물환(forward)매도를계약하는것이다.논의의핵심은$1당몇%의 선물계약을 하느냐에 관한 헷지비율(hedge ratio)와 그에 따른 헷지성과(hedge effectiveness)이다. 이논문은비인도차액결제선물환율(non-deliverable forward)와 동일한성격을가지고있는한국무역보험공사(K-sure)의‘보장환율’을이용한환위험헷지의효 과를분석하고있다. 매월말지속적으로일정달러를수취하게되는수출기업이현물환율과선물환율의비중을사전 적으로어떻게정하는지에따라환율변동위험은달라지게된다.환율변동에따른위험(risk)은 현물환율과 선물환율로 구성된 포트폴리오(portfolio)의 수익률(rate of return)의 분산 (variance)으로측정되며환위험헷지의성과는분산의감소비율로측정된다. ‘보장환율’이도입된초기인2004년3월부터2014년6월까지를대상으로하였으며글로벌금융 위기이전과이후를구분하여헷지성과를비교하였다.수취하게될수출대금전부를선물환율로 헷지하는완전헷지(fullhedge),반만선물환율로헷지하는순수헷지(naivehedge),시간고정적(time invariant)인헷지비율을설정하는경우,시간가변적(timevarying)인헷지비율을설정하는경우를 대상으로헷지의성과를분석하였다.글로벌금융위기이전과이후의헷지성과는상이하다.그러 나모든기간에서가장좋은헷지성과는순수헷지방식으로나타났다.