• 국제학술발표논문집
• /
• The 1th International Conference on Construction Engineering and Project Management
• /
• pp.459-468
• /
• 2005

International contractors must consider the substantial risks related to unexpected foreign exchange fluctuation incurred by conducting their business and using foreign currencies in foreign countries. Most international contractors attempt to minimize foreign exchange exposure within a manageable range because it may influence the company's fundamental financial structure, reduce market value or profit margins, or disrupt ongoing and future projects. This research provides a qualitative study of existing foreign exchange exposure (transaction, operation, and translation exposure) and current & effective foreign exchange risk management in American and Korean international contractors, as they represent both new and long-time members of the global construction market. Finally, recommendations of techniques for new and existing international contractors to minimize and better manage foreign exchange risk will be offered.

• 한국경영과학회지
• /
• 제9권2호
• /
• pp.34-45
• /
• 1984

The aim of this study is to investigate efficiency of foreign exchange markets for 8 currencies for the floating rate regime 1974～1982 by comparison of various foreign exchange rate forecasting models’performances. The author presents evidences showing that efficient market hypothesis was not supported.

• 대한안전경영과학회:학술대회논문집
• /
• 대한안전경영과학회 2002년도 추계학술대회
• /
• pp.305-319
• /
• 2002

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. But, long-term ＆short-term interest rate is affected by Hanbo ＆ Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge md were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea. But if external factors from depreciation of yen and China's renminbi are instable, interest rate is expected to increase from capital's outflows. Third, if it is to decrease instability of foreign exchange rate from increase in surplus of future current account, credit rating's upwardness, stability of yen and renminbi, foreign exchange rate is expected to be stable. It is expected to have continuous stability from short-term interest rate to long-term interest rate in this empirical test.

• 대한안전경영과학회:학술대회논문집
• /
• 대한안전경영과학회 2005년도 추계학술대회
• /
• pp.569-579
• /
• 2005

International capital movement has made progress at global liberalization of finance and foreign exchange, international monetary norm changing into floating exchange rate system, easiness of collection of information and trade at improvement of information communication technology from early of 1970's. Results of empirical test for relation between foreign exchange rate or various determination factors of foreign exchange rate and interest rate are followed by next sentences. First, according to relation between foreign exchange rate and interest rate, correlation for each of variables after OECD entrance is increased. 'But, long-term & short-term interest rate is affected by Hanbo & Kia's bankruptcy, continuous large scale coporates bankruptcy and crisis of foreign exchange. Therefore, financial instability is occured. If portfolio investment fund has been inflow as it is mollified by continuous shortage of foreign exchange and fall of country's credit rating, it is expected to have positive effect for long-term & short-term interest rate from appreciation of won against dollar. Second, results from relation between determination factor of foreign exchange rate and interest rate are followed by next sentences. If surplus of current account and goods account is continued, yield of corporate bond is to be stable. But, margin of surplus is expected to diminish after second quarter 98, and difference between external and domestic interest (after adjusting foreign exchange rate) is to be diminished. And if net inflows of foreign investor's fund (stock and bond) is diminished, it is to have negative effect for yield of corporate bond. According to foreign investor's investment movement of previous years, hedge fund were stayed at least during two years in Mexico. It means that sudden capital outflow is not to be happened at Korea.

• 융합경영연구
• /
• 제12권3호
• /
• pp.1-12
• /
• 2024

Purpose: As a major economy attracting foreign investment, China is currently facing significant international economic pressure due to the appreciation of the RMB. Additionally, China is at a critical period of socio-economic development, where foreign direct investment (FDI) plays an indispensable role in stabilizing economic growth, adjusting industrial structure, and promoting economic transformation. Research design, data and methodology: This paper focuses on the relationship between RMB exchange rate expectations and FDI. It examines the magnitude of their relationship through empirical research using cointegration tests, Granger causality tests, and BVAR (Bayesian Vector Autoregression) analysis. Results: The comprehensive study of the empirical results in this paper concludes that there is a long-term cointegrated relationship between China's RMB exchange rate expectations and foreign direct investment, indicating that their relationship is stable in the long run. It is also found that RMB exchange rate expectations have a significantly positive impact in the short term, but this impact is not significant in the long term. Conclusions: The paper also considers the possibility of establishing a China-EU Free Trade Area in the future and offers policy recommendations regarding RMB exchange rate expectations and foreign direct investment.

• 유통과학연구
• /
• 제13권2호
• /
• pp.15-24
• /
• 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.

• 유통과학연구
• /
• 제14권12호
• /
• pp.79-87
• /
• 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.

• 재무관리연구
• /
• 제25권4호
• /
• pp.53-78
• /
• 2008

외국인 투자자가 한국 시장에 투자를 하는 경우 외국인 투자자는 투자자산에 내재된 환위험과 함께 수익을 환산하는 과정에서의 환위험에 노출된다. 외국인 투자자의 이러한 상황은 투자자산에 내재된 환위험만을 고려하면 되는 국내 투자자와는 구분되는 상황이다. 이러한 차이는 외국인 투자자가 환위험에 대해 국내 투자자와는 다르게 반응하는 원인이 될 수 있다. 환위험에 관한 국내의 기존 연구는 한국 기업들이 환위험에 노출되어 있고 이에 대한 관리가 필요하다는 점을 잘 보여주었다. 또한 동일한 시장이라 하더라도 시장 참여자의 특성에 따라 시장이 분할 될 수 있다는 증거들이 보고되었다. 이러한 기존 연구 결과는 환위험이 시장을 분할하는 요인이 될 수 있음을 지지하는 것이다. 이 연구는 한국유가증권시장에서 외국인 투자자들의 환위험에 대한 반응을 거래량 자료와 주문량 자료를 이용하여 분석하였다. 분석 결과 외국인 투자자는 환위험을 나타내는 공분산이 음수인 경우 매도거래를 증가시킨다. 이는 환율이 상승하면서 주식수익률이 하락하는 환위험을 적극적으로 관리하기 위한 거래의 결과로 해석할 수 있다. 주문자료에 대한 분석 결과도 이러한 해석을 뒷받침한다. 한편, 외국인 투자자는 공분산이 음수인 경우 매입거래도 증가시키는 것으로 분석되었는데 이는 환율이 하락하면서 주식수익률이 상승하고 투자수익의 환산이익도 함께 증가하는 관계를 적극적으로 활용하기 위한 거래의 결과로 해석할 수 있다. 그러나 외국인 투자자의 매입주문비율 분석 결과는 거래자료 분석 결과와는 달리 유의적인 결과가 나타나지 않았다. 이 연구의 분석 결과는 외국인 투자자는 국내 자산에 내재된 환위험에 대해서 국내 투자자와는 다른 반응을 보인다는 가설을 지지한다. 외국인 투자자는 환율이 상승(하락)하는 경우 기업가치가 상승(하락)하는 방향의 환위험에서는 국내 투자자와 차별적인 반응을 보이지 않는다. 그러나 환율이 상승(하락)하면 기업 가치가 하락(상승)하는 방향의 환위험에서는 국내투자에 비해 거래를 증가시키는 차별적인 특성을 보인다. 이러한 결과는 한국유가증권시장에서 외국인투자자는 환위험에 대하여 국내 투자자와는 다른 평가를 하고 있으며 이러한 차이는 투자자산의 평가에 반영되고 있음을 나타낸다.

• 아태비즈니스연구
• /
• 제11권1호
• /
• pp.61-75
• /
• 2020

Purpose - The purpose of this study was to examine the efficiency of the foreign exchange markets in Korea, Japan and China. Design/methodology/approach - This study collected 1327 observations each of the daily closing exchange rates of the three currencies against the US dollar for the sample period from January 1, 2015 to January 31, 2020, based on the tests for autocorrelation, unit root tests and GARCH-M(1,1) model estimation. Findings - We have found that the autocorrelation test indicates the lack of autocorrelation and unit root test confirms the existence of unit roots in all times series of the three currencies, respectively. The GARCH-M(1,1) test results, however, suggest that the exchange rates do not follow a random walk process. In conclusion, the recent spot foreign exchange markets in Korea, Japan and China are believed to be informationally inefficient. Research implications or Originality - These findings have practical implications for both individual and institutional investors to be able to obtain excess returns on their investments in the foreign exchange markets in three countries by using appropriate risk management, portfolio strategy, technical analysis, etc. This study provides the first empirical examination on the foreign exchange market efficiency in the three biggest economies in Asia including China, which has been excluded from research due to its exchange rate regime.

• The Journal of Asian Finance, Economics and Business
• /
• 제8권6호
• /
• pp.543-552
• /
• 2021

The study examines how foreign capital inflows affect stock market development in Pakistan for the period from July 2008 to June 2018. Several components of foreign capital inflows were used for empirical analysis, namely, foreign direct investment, foreign portfolio investment, and remittances. Further, market capitalization was used as a proxy for stock market development. The study uses an ARDL model for examining the long-run and short-run relationships between variables. We also analyze the bi-directional causality between the variables through the Granger causality test. Further, the presence of structural breaks was analyzed through the CUSUM and CUSUM Square test. The results suggest that in the long run, remittances have a positive and significant relationship with stock market development. However, foreign direct investment, foreign portfolio investment, and USD-PKR exchange rate do not have a significant impact on stock market development. The results also suggest that in the short run there is a negative relationship between FDI, USD-PKR exchange rate and market capitalization. Contrarily, we found a positive relationship between FPI and market capitalization. The results of Granger causality test suggest that remittances and USD-PKR exchange rate have a causal relationship with stock market development. Finally, we found no evidence of structural breaks in the dataset.