국내 투자자의 최적 환위험 헤지전략에 대한 연구

• 영문명: A Study on Optimal Foreign Exchange Risk Hedge Strategies for Korean Investors
• 발행기관: 한국무역연구원
• 저자명: 손경우(Kyoung-Woo Sohn) 정지영(Ji-Yeong Chung)
• 간행물 정보: 『무역연구』제15권 제3호, 381~402쪽, 전체 22쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.06.30

영문 초록

Purpose - This paper aims to investigate the optimal foreign exchange risk hedging strategies of Korean investors investing in S&P 500 Index for 3 months. Full hedge, unhedge, and 5 tactical hedge strategies are considered during the period from 2000 to 2018. Design/methodology/approach - Among tactical hedge strategies, four are based on the probability of decrease in exchange rate which is obtained by simulations using nonparametric estimation results and the other strategy is established by the sign of the difference in sharpe ratio between unhedge and hedge strategies. As Won/Dollar exchange rate exhibit high volatility around subprime financial crisis, we analyze the performance of each strategy during the post-crisis period as well as total period. Findings - Our empirical findings are as follow: (1) tactical strategies outperform full hedge and unhedge strategy and (2) tactical strategies, which conduct full hedge if the probability of decrease in exchange rate is over 0.5, outperform strategies carried out by hedging proportional to the depreciation probability, in the aspect of sharpe ratio, skewness and kurtosis. Research implications or Originality - The results imply that tactical strategies, established by a threshold and the probability of decrease in exchange rate, are appropriate to reduce downside risk of U.S. dollar, thereby validating our estimation method and potential for practical use.

목차

Ⅰ. 서론

Ⅱ. 환헤지 전략

Ⅲ. 실증분석

Ⅳ. 결론

키워드

Currency Excess Return Downside Risk Foreign Exchange Risk Kernel Regression Nonparametric Estimation Tactical Currency Hedge Strategy