国际财务管理知识分析(英文版)ppt课件.pptx

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1、火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去INTERNATIONALFINANCIALMANAGEMENTEUN/RESNICKSecond Edition5Chapter FiveInternational Parity Relationships&Forecasting Exchange RatesChapter Objective:This chapter examines several key international parity relationships,such as interest rate parity

2、 and purchasing power parity.火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Chapter OutlinelInterest Rate ParitylPurchasing Power ParitylThe Fisher EffectslForecasting Exchange Rates1火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Chapter OutlinelInterest Rate ParitynCovered Interest Ar

3、bitragenIRP and Exchange Rate DeterminationnReasons for Deviations from IRPlPurchasing Power ParitylThe Fisher EffectslForecasting Exchange Rates2火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Chapter OutlinelInterest Rate ParitylPurchasing Power ParitynPPP Deviations and the Real Exchange Ra

4、tenEvidence on Purchasing Power ParitylThe Fisher EffectslForecasting Exchange Rates3火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Chapter OutlinelInterest Rate ParitylPurchasing Power ParitylThe Fisher EffectslForecasting Exchange Rates4火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去

5、Chapter OutlinelInterest Rate ParitylPurchasing Power ParitylThe Fisher EffectslForecasting Exchange RatesnEfficient Market ApproachnFundamental ApproachnTechnical ApproachnPerformance of the Forecasters5火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Interest Rate ParitylInterest Rate Parity

6、DefinedlCovered Interest ArbitragelInterest Rate Parity&Exchange Rate DeterminationlReasons for Deviations from Interest Rate Parity 6火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Interest Rate Parity DefinedlIRP is an arbitrage condition.lIf IRP did not hold,then it would be possible for an

7、 astute trader to make unlimited amounts of money exploiting the arbitrage opportunity.lSince we dont typically observe persistent arbitrage conditions,we can safely assume that IRP holds.7火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Interest Rate Parity DefinedSuppose you have$100,000 to i

8、nvest for one year.You can either 1.invest in the U.S.at i$.Future value=$100,000(1+ius)2.trade your dollars for yen at the spot rate,invest in Japan at i and hedge your exchange rate risk by selling the future value of the Japanese investment forward.The future value=$100,000(F/S)(1+i)Since both of

9、 these investments have the same risk,they must have the same future valueotherwise an arbitrage would exist.(F/S)(1+i)=(1+ius)8火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Interest Rate Parity DefinedFormally,(F/S)(1+i)=(1+ius)or if you prefer,IRP is sometimes approximated as 9火灾袭来时要迅速疏散逃生

10、，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去IRP and Covered Interest ArbitrageIf IRP failed to hold,an arbitrage would exist.Its easiest to see this in the form of an example.Consider the following set of foreign and domestic interest rates and spot and forward exchange rates.Spot exchange rateS($/)=$

11、1.25/360-day forward rateF360($/)=$1.20/U.S.discount ratei$=7.10%British discount rate i=11.56%10火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去IRP and Covered Interest ArbitrageA trader with$1,000 to invest could invest in the U.S.,in one year his investment will be worth$1,071=$1,000(1+i$)=

12、$1,000(1.071)Alternatively,this trader could exchange$1,000 for 800 at the prevailing spot rate,(note that 800=$1,000$1.25/)invest 800 at i=11.56%for one year to achieve 892.48.Translate 892.48 back into dollars at F360($/)=$1.20/,the 892.48 will be exactly$1,071.11火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸

13、湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去According to IRP only one 360-day forward rate,F360($/),can exist.It must be the case that F360($/)=$1.20/Why?If F360($/)$1.20/,an astute trader could make money with one of the following strategies:Interest Rate Parity&Exchange Rate Determination12火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，

14、披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Arbitrage Strategy IIf F360($/)$1.20/i.Borrow$1,000 at t=0 at i$=7.1%.ii.Exchange$1,000 for 800 at the prevailing spot rate,(note that 800=$1,000$1.25/)invest 800 at 11.56%(i)for one year to achieve 892.48iii.Translate 892.48 back into dollars,if F360($/)$1.20/,892.48 will be

15、more than enough to repay your dollar obligation of$1,071.13火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Arbitrage Strategy IIIf F360($/)$1.20/i.Borrow 800 at t=0 at i=11.56%.ii.Exchange 800 for$1,000 at the prevailing spot rate,invest$1,000 at 7.1%for one year to achieve$1,071.iii.Translat

16、e$1,071 back into pounds,if F360($/)$1.20/,$1,071 will be more than enough to repay your obligation of 892.48.14火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去You are a U.S.importer of British woolens and have just ordered next years inventory.Payment of 100M is due in one year.IRP and Hedgin

17、g Currency RiskIRP implies that there are two ways that you fix the cash outflowa)Put yourself in a position that delivers 100M in one yeara long forward contract on the pound.You will pay(100M)(1.2/)=$120Mb)Form a forward market hedge as shown below.Spot exchange rateS($/)=$1.25/360-day forward rat

18、eF360($/)=$1.20/U.S.discount ratei$=7.10%British discount rate i=11.56%15火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去IRP and a Forward Market Hedge To form a forward market hedge:Borrow$112.05 million in the U.S.(in one year you will owe$120 million).Translate$112.05 million into pounds at

19、 the spot rate S($/)=$1.25/to receive 89.64 million.Invest 89.64 million in the UK at i=11.56%for one year.In one year your investment will have grown to 100 millionexactly enough to pay your supplier.16火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Forward Market Hedge Where do the numbers c

20、ome from?We owe our supplier 100 million in one yearso we know that we need to have an investment with a future value of 100 million.Since i=11.56%we need to invest 89.64 million at the start of the year.How many dollars will it take to acquire 89.64 million at the start of the year if S($/)=$1.25/?

21、17火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Reasons for Deviations from IRPlTransactions CostsnThe interest rate available to an arbitrageur for borrowing,ib,may exceed the rate he can lend at,il.nThere may be bid-ask spreads to overcome,Fb/Sa F/S nThus(Fb/Sa)(1+il)(1+i b)0lCapital Contr

22、olsnGovernments sometimes restrict import and export of money through taxes or outright bans.18火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Purchasing Power ParitylPurchasing Power Parity and Exchange Rate DeterminationlPPP Deviations and the Real Exchange RatelEvidence on PPP19火灾袭来时要迅速疏散逃生

23、，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Purchasing Power Parity and Exchange Rate DeterminationlThe exchange rate between two currencies should equal the ratio of the countries price levels.S($/)=P$PlRelative PPP states that the rate of change in an exchange rate is equal to the differences in the

24、 rates of inflation.e=$-lIf U.S.inflation is 5%and U.K.inflation is 8%,the pound should depreciate by 3%.20火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去PPP Deviations and the Real Exchange RateThe real exchange rate is If PPP holds,(1+e)=(1+$)/(1+),then q=1.If q 1 competitiveness of domesti

25、c country deteriorates with currency depreciations.21火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Evidence on PPPlPPP probably doesnt hold precisely in the real world for a variety of reasons.nHaircuts cost 10 times as much in the developed world as in the developing world.nFilm,on the othe

26、r hand,is a highly standardized commodity that is actively traded across borders.nShipping costs,as well as tariffs and quotas can lead to deviations from PPP.lPPP-determined exchange rates still provide a valuable benchmark.22火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去The Fisher Effectsl

27、An increase(decrease)in the expected rate of inflation will cause a proportionate increase(decrease)in the interest rate in the country.lFor the U.S.,the Fisher effect is written as:i$=$+E($)Where$is the equilibrium expected“real”U.S.interest rateE($)is the expected rate of U.S.inflationi$is the equ

28、ilibrium expected nominal U.S.interest rate23火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去International Fisher EffectIf the Fisher effect holds in the U.S.i$=$+E($)and the Fisher effect holds in Japan,i=+E()and if the real rates are the same in each country$=then we get the International Fi

29、sher EffectE(e)=i$-i.24火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去International Fisher EffectIf the International Fisher Effect holds,E(e)=i$-i and if IRP also holds then forward parity holds.25火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Equilibrium Exchange Rate Relationships$-

30、IRPPPPFEFRPPPIFEFP26火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Forecasting Exchange RateslEfficient Markets ApproachlFundamental ApproachlTechnical ApproachlPerformance of the Forecasters27火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Efficient Markets ApproachlFinancial Markets a

31、re efficient if prices reflect all available and relevant information.lIf this is so,exchange rates will only change when new information arrives,thus:St=ESt+1 andFt=ESt+1|ItlPredicting exchange rates using the efficient markets approach is affordable and is hard to beat.28火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要

32、当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Fundamental ApproachlInvolves econometrics to develop models that use a variety of explanatory variables.This involves three steps:nstep 1:Estimate the structural model.nstep 2:Estimate future parameter values.nstep 3:Use the model to develop forecasts.lThe downside is th

33、at fundamental models do not work any better than the forward rate model or the random walk model.29火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Technical ApproachlTechnical analysis looks for patterns in the past behavior of exchange rates.lClearly it is based upon the premise that history

34、 repeats itself.lThus it is at odds with the EMH30火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去Performance of the ForecasterslForecasting is difficult,especially with regard to the future.lAs a whole,forecasters cannot do a better job of forecasting future exchange rates than the forward rate.lThe founder of Forbes Magazine once said:“You can make more money selling advice than following it.”31火灾袭来时要迅速疏散逃生，不可蜂拥而出或留恋财物，要当机立断，披上浸湿的衣服或裹上湿毛毯、湿被褥勇敢地冲出去End Chapter Five32