Estimating Korea's Exchange Rate Exposure

Sammo Kang, Jeong Wook Lee

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

Abstract

This paper conducts an empirical analysis of the exchange rate exposure of 392 Korean firms by employing not only changes in the exchange rate but also the standard deviation of exchange rates as foreign exchange risk. A logit model is also used to identify the major factors in exchange rate exposure. The empirical results in the case of using the standard deviation of exchange rates suggest that: the number of firms showing significant exchange rate exposure has been relatively increasing; exchange rate exposure is more likely for export-oriented manufacturing industries than for nonmanufacturing industries; and large firms using hedging methods are likely to show a low degree of exchange rate exposure.

Original languageEnglish
Pages (from-to)177-196
Number of pages20
JournalAsian Economic Journal
Volume25
Issue number2
DOIs
StatePublished - Jun 2011

Keywords

  • Change in the exchange rate
  • Exchange rate exposure
  • Foreign exchange risk
  • Korean firms
  • Logit model
  • Standard deviation of the exchange rate

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