기업의 자본구조와 환노출

Abstract

Changes in foreign exchange rates could affect a firm's value. If a firm do not use debt, the foreign exchange rate exposure of a firm should be assessed from the perspective of its shareholders’ wealth. Meanwhile, if a firm's capital is constituted by shareholder capital and debtholder capital, its foreign exchange rate exposure measured by changes in stock price may be affected by its debt ratio. This paper examined the effect of a firm’s usage of debt on foreign exchange rate exposure. To determine the effect of debt on foreign exchange rate exposure, I develope a hypothesis named ‘leverage effect of foreign exchange rate exposure’. I investigated the hypothesis using a simple regression model with debt ratio tertile variables. For the global financial crisis period (2006∼2010), the results of the analysis confirm the leverage effect of foreign exchange rate exposure hypothesis in that a firm’s foreign exchange rate exposure becomes larger as it incurs more debt. However, a relationship between a firm’s debt ratio and foreign exchange rate exposure during the post-global financial crisis(2011∼2015) can not be established. The results support the notion that in the event of exchange rates rising sharply, as seen during a financial crisis, a high leveraged firm can face a large foreign exchange rate exposure.