Exchange Rate Risk Management using Currency Derivatives: The Case of Exposures to Japanese Yen

IF 2.5 Q2 ECONOMICS Asia-Pacific Financial Markets Pub Date : 2022-12-03 DOI:10.1007/s10690-022-09391-7
Sung C. Bae, Taek Ho Kwon
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引用次数: 2

Abstract

This paper focuses on managing exchange rate risk associated with a secondary, non-USD exchange rate of Japanese yen (JPY). Employing Korean firm data, our preliminary analysis reveals that Korean firms are exposed differently to changes in the KRW/JPY rate than to changes in the KRW/USD rate. Our results show that firms exhibiting significant shifts in exposure from pre- to post-global financial crisis have distinctively different firm attributes including more currency derivatives use and lower firm values, compared to firms exhibiting little such shifts. A further analysis reveals that the lower values of high exposure firms are attributable mainly to the financial risk from foreign currency borrowing, but not to the operating risk resulting from exporting activities. Hence, the currency derivative use by Korean firms hardly helps them mitigate the value loss from heightened capital costs of foreign borrowing following the crisis.

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利用货币衍生品进行汇率风险管理——以日元风险敞口为例
本文的重点是管理与日元(JPY)的非美元二级汇率相关的汇率风险。利用韩国企业的数据,我们的初步分析显示,韩国企业对韩元兑日元汇率变化的影响不同于对韩元兑美元汇率变化的影响。我们的研究结果表明,从全球金融危机前到危机后,风险敞口发生显著变化的公司与几乎没有这种变化的公司相比,具有明显不同的公司属性,包括更多的货币衍生品使用和更低的公司价值。进一步分析表明,高风险敞口企业的低价值主要归因于外币借款的财务风险,而不是出口活动带来的经营风险。因此,韩国企业使用的货币衍生品很难帮助它们减轻危机后外国借款资本成本上升带来的价值损失。
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来源期刊
CiteScore
3.00
自引率
0.00%
发文量
34
期刊介绍: The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets
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