환율변동성이 기업성과에 미치는 영향에 관한 실증연구

Abstract

This study has analyzed the correlation between exchange rate volatility reflecting thepast exchange rate level with the three corporate performance indicators of profitability,growth and asset quality in quarter units from 1/4 of year 1998 to 4/4 of year 2009targeting 12 industries and 1,700 companies listed on KOSPI and KOSDAQ, classifying intothe IMF period, WON rising period, and sub-prime global credit crisis period. As the result; corporate exchange rate sensitivity showed twice greater to external growththan profitability or asset quality, and reacted twice more sensitive to exchange ratevolatility which was market uncertainty than to exchange rate level. For severe volatility,profitability of most of the companies became deteriorated, showing 0.14% improvement inprofitability for 10% rise in dollar rate. For the significant level result by currencies; it was most sensitive to Yen rate with 46number of business types. For severe exchange rate volatility, in contrast, although it wassensitive to other currency rates, it was temporal by market impact, and eventuallycompanies were sensitive to dollar rate, and showed Yen rate volatility gave negative effectto the profitability sector and RMB rate to the growth sector respectively.