• 통상정보연구
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• 제9권3호
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• pp.151-160
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• 2007

The purpose of this study is to estimate the risk premium hedge ratio in foreign exchange risk of the foreign exchange rate insurance. The applicants of exchange rate insurance and Korea Export Insurance Corporation will be facing the risk in change of currency and guaranteed currency’s swap point upon contract being made. Also upon making decision of hedging exchange rate insurance, the company will need to be aware of the risk causing due to change in swap point.

• Journal of Korea Trade
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• 제23권5호
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• pp.87-101
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• 2019

Purpose - This paper examines the effectiveness of the foreign exchange risk insurance system in the promotion of SME exports in Korea. The purpose of this study is to analyze the short-term and long-term responses of SME exports to foreign exchange risk insurance support policies. Based on these empirical studies, we would like to present some operational improvements to the operation of the foreign exchange risk insurance system. Design/methodology - In order to analyze the effect of exchange risk insurance on the exports of SMEs, a VAR model consisting of foreign exchange risk insurance underwriting values, export relative price, and domestic demand pressure, including export volume, was established. The study began with tests of the stationarity of time series data. The unit root tests showed that all concerned variables were non-stationary. Accordingly, the results of the cointegration test showed that the tested variables are not cointegrated. Finally, an impulse response function and variance decomposition analysis were conducted to analyze the impulse of foreign exchange risk insurance on exports of SMEs. Findings - As a result of estimating the VAR (1) model, foreign exchange risk insurance was found to be significant at a 1% significance level for SME' export promotion. In the impulse response analysis, SMEs' export response to the impulse of foreign exchange risk insurance showed that exports gradually increased until the third quarter, and then slowed down. However, the impulse did not disappear, and appeared continuously. Originality/value - This study analyzed the effect of foreign exchange insurance on exports of SMEs by applying the VAR model. In particular, this study is the first to analyze the short-term and long-term effects of foreign exchange risk insurance on exports of SMEs. The empirical evidence in the current study have a policy implication for the policy authority to support and promote the foreign exchange risk insurance in the effect of exchange rate volatility on Korea' export SMEs.

• 유통과학연구
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• 제13권2호
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• pp.15-24
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• 2015

Purpose - Foreign exchange risk control is in an important component in the international supply chain management. This study shows the importance of the reference period in forecasting future exchange rates with a specific illustration of KIKO currency option contracts, and suggests feasible preventive measures. Research design, data, and methodology - Using monthly Won-Dollar exchange rate data for January 1995~July 2007, I evaluate the statistical characteristics of the exchange rate for two sub-periods; 1) a shorter period after the East Asian financial crisis and 2) a longer period including the financial crisis. The key instrument of analysis is the basic normal distribution theory. Results - The difference in the reference period could lead to an unexpected development in contract implementation and a consequent financial loss. We may avoid foreign exchange loss by using derivatives such as forwards or currency options. Conclusions - We should consider not only level values but also the volatilities of financial variables in making a binding financial contract. Appropriate measures may differ depending on the specific supply chain pattern. We may extend the study with surveys on actual risk measures.

• 한국산학기술학회논문지
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• 제10권5호
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• pp.1043-1051
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• 2009

본 연구는 극적인 타결을 이루어낸 한 미 FTA의 효력 발생이 이후 두 국가간 통화로 이루어지는 원/달러 환율의 행태에는 어떠한 영향을 줄 것인가에 대한 시사점을 얻기 위해 대미 FTA 국가들을 대상으로 FTA 체결 전 후의 환율행태가 어떻게 달라졌는지를 살펴보고 공통점 및 차이점을 발견하여 향후 원/달러환율의 행태를 전망하고자 하는 데에 목적을 두고 있다. 실증분석의 결과, 칠레를 제외하는 변동성 환위험프리미엄이 모두 효력 발생이후 다소 줄어든 반면, 칠레는 변동성과 환위험프리미엄 모두 다소 증가한 것으로 나타나 해당환율의 변동성 및 환위험프리미엄의 변화는 같은 방향으로 이루어지나 대상국가에 따라 차이가 있음을 보여주고 있다. 이러한 연구결과는 환율변화의 불확실성에 대비해야 하는 IT무역업체들에게 한 미 FTA 효력 발생 이후 원/달러환율의 변동성과 위험프리미엄 행태에 어떠한 변화가 예측되는지에 대한 정보를 제공해 줄 것으로 기대된다.

• The Journal of Asian Finance, Economics and Business
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• 제9권10호
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• pp.49-59
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• 2022

This paper examined the impact of real exchange rate volatility on trade balance in Malaysia by using quarterly data from year 2000 until 2019. Generalized Autoregressive Heteroscedasticity (GARCH) model was used to extract the volatility component of real exchange rate before examining its impact on trade balance. Furthermore, Autoregressive Distributed Lag (ARDL) model was used to investigate the long-run relationship and short-run dynamic between trade balance, money supply, national income and volatility of exchange rate. Empirical results show the existence of co-movement between variables under study in the long-run. However, the results also suggest that volatility of real exchange rate does not significantly affect trade balance neither in the long-run nor short-run. The risk which is associated in the movement of exchange rate do not influence trader's behaviour toward Malaysia exports and imports. Thus, it should be note that any depreciation or appreciation in Malaysian Ringgit do not have an impact towards trade balance either it is being further improved or deteriorates. Hence, exchange rate volatility may not be too concern for policymakers. This may be partially due to manage floating exchange rate regime that has been adopted by Malaysia eventually eliminated the element of risk in the currency market.

• 한국항만경제학회지
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• 제34권1호
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• pp.99-110
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• 2018

본 연구는 해운기업의 주요 비용요인 벙커 가격과 환율의 불확실성으로 인한 재무적 리스크를 수치화하는 방법론을 2010년 1월 1일부터 2018년 1월 31일까지의 일별자료를 대상으로 적용한다. 기하브라운 운동 (Geometric Brownian Motion 이하 GBM)과 이를 확장한 조건부 이분산성(heteroskedasticity) 및 점프 확산 프로세스(jump diffusion process)에 의존하는 모형으로부터 추정한 현금 흐름 리스크 추정치는 다음 세 가지 학술적 기여로 요약할 수 있다. 첫째, 운임수익률과 같은 단일 변수에 의존한 리스크 분석을 벙커가격과 환율 수익률 변동성과 같이 복합요인으로부터 발생하는 영향으로 분석을 확장하였다. 둘째, 개별기업 수준에서 벙커가격과 환율 리크스 관리의 필요성을 민감도 분석을 통해 현금흐름수준으로 제시하였다. 마지막으로 분석결과가 제시하는 리스크 규모를 근거로 해운기업은 리스크 관리를 위한 수단으로 무엇이 적절한가를 고민해야 할 필요성이 있음을 제기한다.

• 유통과학연구
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• 제14권12호
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• pp.79-87
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• 2016

Purpose - Since 1990, the sudden stop in capital flows has caused the economic crisis. The purpose of this research is to suggest the policy measures to mitigate the risk of the sudden stop in capital flows. To this end, we examine the theoretical framework and analyze the case study for countries which are faced with the sudden stop. Also we examine the structural problems of the foreign exchange market in Korea and derive the policy implications to prevent the sudden stop. Research design, data, and methodology - The criteria of whether the sudden stop in capital flows occurs are based upon Calvo et al. (2008). In case the proxy variable for the balance of capital account decreases from the average by over twice standard deviation, we determine that the sudden stop occurs for that country. The sample period is from January 1990 to December 2008, as in Calvo (2014). The sample countries are 17 developed countries and 19 emerging market countries, which are different from those of the previous papers as Agosin and Huaita (2012), and Calvo (2014). When the exchange market pressure index(EMPI) is deviated from the average by over three times standard deviation, we determine that the foreign exchange market is unstable for that country. Results - We find that the characteristics of the sudden stop in capital flows are the bunching or contagion among countries, the rapid drop in real effective exchange rate, and the huge decrease in foreign exchange reserves. Many countries tried to increase foreign exchange reserves and regulate capital flows. Also the foreign exchange market in Korea are found to be the volatile exchange rate, the vulnerable external debt and careless management of the foreign exchange derivatives transaction risk. Conclusions - To lessen the risk in the sudden stop of capital flows, this research suggests the some useful policy measures. To enhance the foreign exchange and distribution market stability, we should improve the price mechanism of exchange rate, hold the appropriate level of foreign exchange reserves, prevent excessive inflows of foreign exchange and promote sound transactions of foreign exchange derivatives.

• East Asian Economic Review
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• 제19권1호
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• pp.3-38
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• 2015

Fama's (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general equilibrium model, we show that near-random walk behaviors of both exchange rates and consumption, in response to monetary shocks, can be derived endogenously. Based on this approach, the paper provides quantitative results on Fama's volatility relations.

• 수산경영론집
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• 제37권2호
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• pp.1-18
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• 2006

This study analyzes the effect of exchange rate and exchange risk on the import of Korea's fisheries. The estimation models consist of the following contents. The first model consists of one dependent variable-import quantity of fisheries$(IMQ_t^{Total})$ and three independent $variables-RP_t^{Total}$, $EX_t\;and\;EXV_t$. The second one-one dependent variable-import quantity of fisheries from China$(IMQ_t^{CN})$ and three independent $variables-RP_t^{CN},\;EX_t\;and\;EXV_t$. And the last one is made up of one dependent variable - import quantity of fisheries from $Japan(IMQ_t^{JP})$ and three independent $variables-RP_t^{CN},\;EX_t\;and\;EXV_t$. The estimation results show that all of the independent variables are statistically significant. Especially, the effect of Chinese $RP_t^{CN}$ is grater than Japanese $RP/P_t^{JP}$. However, the effect of Japanese $EX_t$ is grater than Chinese $EX_t$.

• The Journal of Asian Finance, Economics and Business
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• 제8권5호
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• pp.595-605
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• 2021

The objectives of this research are to see if the phenomena of "demand following" and "supply leading" exist in the business cycle, as well as to look at how liquidity and output react to changes in credit risk, investment-saving gap, inflation, exchange rate, and growth rate of real national output. Employing quarterly data of Maluku and North Maluku (2008-2019), this study utilizes VAR/VECM for inferential analysis. This research found three important findings. First, liquidity and output growth influenced each other in the long run. Second, the determinants of output growth for Maluku are liquidity, investment-saving gap, and inflation, while the determinants of liquidity are output-growth, the gap of investment-saving, and inflation. Third, the determinants of output growth for North Maluku are liquidity, credit risk, investment-saving gap, inflation, exchange rate, and the national output-growth, while the determinants of liquidity are output-growth, credit risk, investment-saving gap, inflation, exchange rate, and national output-growth. The findings of this study supported the hypothesis of demand following and supply leading theory in the Maluku and North Maluku business cycles. This study concludes that economic development would improve if supported by liquidity adequacy through increased deposit growth.