시장지배력을 가진 수출기업의 통화선물 헤징전략
(A)study on optimal hedging strategy of a monopolistic export firm
iii, 58 p.
통화선물거래 헤징이론 선물헤징;
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The purpose of this study is to investigate optimal hedging strategies taken by a risk-averse export firm in the incomplete export markets. Usually export firms can adopt a real hedge by following a flexible sales, output, or price policy which allows them to alter their operations according to realized exchange rates. On the other hand, these firms can rely on a financial hedging strategy which is typically based on currency derivatives such as currency futures and options. There is close link between the firm's real and financial hedging instruments because the change of export profit curve induced by real hedging results in the change of financial hedging strategies. Accordingly, this paper analyzes the interaction between the firm's real and financial exchange rate risk management decisions in the context of a risk-averse export firm in the incomplete export market. For the more realistic results it is assumed that there is no currency futures markets for the export firms, i.e. 'indirect hedging' is possible but not direct hedging. It also takes in consideration that incomplete export markets in which the export firms have monopolistic power in the export markets. In such a case, the export firms can exercise real options by adjusting mark-up rate against exchange rate fluctuations. The main results of this study can be summarized as follows. First, in the case of indirect hedging the 'Separation theorem' does not hold, namely the optimal production(export) of the export firms depend upon the exchange rate fluctuations and upon the firm's degree of risk aversion. Second, real options tend to reduce the uncertainty of an export profit and change the manner of profit curve (from linear) to nonlinear. They replace the financial hedging, thus, the optimal indirect hedging strategy for the firms exporting to the incomplete markets is an underhedge. Third, the nonlinearity of profits introduces a scope for options, which allows the construction of hedging strategies combining short futures and long puts. Forth, a necessary condition for the optimal indirect hedging depends on a relative magnitude of put premium to an expected excercise loss. Fifth, by comparing the expected utility level under indirect hedging with the case where no hedging markets exist, it is proved that indirect hedging devices increase the expected profit by reducing risk. Although indirect hedging can not eliminate risk altogether, yet the export firms can benefit from indirect hedging in the presence of exchange rate uncertainty.