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This paper attempts to investigate the relationship between the rate of returns and the real exchange rates in Korean manufacturing industry. A firm operating in the open economy may be exposed to exchange rate risks through which the value of the firm will be affected. There may be three channels through which a firm can be exposed to the exchange rate risks; exports, imports of inputs and imports of final goods. The exports channel gives positive impacts on the firm value while the channel of input-imports does negative impacts. The last channel means any substitution effects in demand between domestic and foreign final goods in response to the change in the exchange rates.
This paper employs two different models to identify the effects of the changes in the exchange rates on the returns of Korean manufacturing industry. The first model simply regresses the rate of returns on the real exchange rates while the second model examines the effects of the changes in the real exchange rates by introducing explicitly the above mentioned three channels of exchange rate exposure. The manufacturing industry is disaggregated at two-digit level and 21 sub-industries are examined using panel data in the period between 1984 and 1998.
It was found that there exists a negative relationship between the exchange rates and the rate of returns of Korean manufacturing firms. Among three channels only the channel of input-imports was found to be significant with a negative sign as expected. Also the level of the exchange rate exposure was found to be very high at -0.898.
The analysis of industry characteristics shows that the higher the import share, the higher the trade share and the heavier the industry structure, the higher the exchange rate exposure.
This paper employs two different models to identify the effects of the changes in the exchange rates on the returns of Korean manufacturing industry. The first model simply regresses the rate of returns on the real exchange rates while the second model examines the effects of the changes in the real exchange rates by introducing explicitly the above mentioned three channels of exchange rate exposure. The manufacturing industry is disaggregated at two-digit level and 21 sub-industries are examined using panel data in the period between 1984 and 1998.
It was found that there exists a negative relationship between the exchange rates and the rate of returns of Korean manufacturing firms. Among three channels only the channel of input-imports was found to be significant with a negative sign as expected. Also the level of the exchange rate exposure was found to be very high at -0.898.
The analysis of industry characteristics shows that the higher the import share, the higher the trade share and the heavier the industry structure, the higher the exchange rate exposure.
목차
Ⅰ. 서론
Ⅱ. 모형
Ⅲ. 실증분석
Ⅵ. 결론
참고문헌
부록
ABSTRACT
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UCI(KEPA) : I410-ECN-0101-2010-326-002392210