ANDCURRENCYFORECASTING(跨国公司财务管理-Joseph.ppt

1,MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley2.Relativetothegrowthofdomesticmoneydemand.,10,ARBITRAGEANDTHELAWOFONEPRICE,F.THELAWOFONEPRICE-enforcedbyinternationalarbitrage.,11,PARTII.PURCHASINGPOWERPARITY,I.THETHEORYOFPURCHASINGPOWERPARITY:statesthatspotexchangeratesbetweencurrencieswillchangetothedifferentialininflationratesbetweencountries.,12,PURCHASINGPOWERPARITY,II.ABSOLUTEPURCHASINGPOWERPARITYA.Pricelevelsadjustedforexchangeratesshouldbeequalbetweencountries,13,PURCHASINGPOWERPARITY,II.ABSOLUTEPURCHASINGPOWERPARITYB.Oneunitofcurrencyhassamepurchasingpowerglobally.,14,PURCHASINGPOWERPARITY,III.RELATIVEPURCHASINGPOWERPARITYA.statesthattheexchangerateofonecurrencyagainstanotherwilladjusttoreflectchangesinthepricelevelsofthetwocountries.,15,PURCHASINGPOWERPARITY,1.Inmathematicalterms:whereet=futurespotratee0=spotrateih=homeinflationif=foreigninflationt=thetimeperiod,16,PURCHASINGPOWERPARITY,2.Ifpurchasingpowerparityisexpectedtohold,thenthebestpredictionfortheone-periodspotrateshouldbe,17,PURCHASINGPOWERPARITY,3.Amoresimplifiedbutlesspreciserelationshipisthatis,thepercentagechangeshouldbeapproximatelyequaltotheinflationratedifferential.,18,PURCHASINGPOWERPARITY,4.PPPsaysthecurrencywiththehigherinflationrateisexpectedtodepreciaterelativetothecurrencywiththelowerrateofinflation.,19,PURCHASINGPOWERPARITY,B.RealExchangeRates:thequotedornominalrateadjustedforacountrysinflationrateis,20,PURCHASINGPOWERPARITY,C.Realexchangerates1.Ifexchangeratesadjusttoinflationdifferential,PPPstatesthatrealexchangeratesstaythesame.,21,PURCHASINGPOWERPARITY,C.Realexchangerates2.Competitivepositions:domesticandforeignfirmsareunaffected.,22,PARTIII.THEFISHEREFFECT(FE),I.THEFISHEREFFECTstatesthatnominalinterestrates(r)areafunctionoftherealinterestrate(a)andapremium(i)forinflationexpectations.R=a+i,23,THEFISHEREFFECT,B.RealRatesofInterest1.Shouldtendtowardequalityeverywherethrougharbitrage.2.Withnogovernmentinterferencenominalratesvarybyinflationdifferentialorrh-rf=ih-if,24,THEFISHEREFFECT,C.AccordingtotheFisherEffect,countrieswithhigherinflationrateshavehigherinterestrates.,25,THEFISHEREFFECT,D.Duetocapitalmarketintegrationglobally,interestratedifferentialsareeroding.,26,PARTIV.THEINTERNATIONALFISHEREFFECT(IFE),I.IFESTATES:A.thespotrateadjuststotheinterestratedifferentialbetweentwocountries.,27,THEINTERNATIONALFISHEREFFECT,IFE=PPP+FE,28,THEINTERNATIONALFISHEREFFECT,B.Fisherpostulated1.Thenominalinterestratedifferentialshouldreflecttheinflationratedifferential.,29,THEINTERNATIONALFISHEREFFECT,B.Fisherpostulated2.Expectedratesofreturnareequalintheabsenceofgovernmentintervention.,30,THEINTERNATIONALFISHEREFFECT,C.SimplifiedIFEequation:(ifrfisrelativelysmall),31,THEINTERNATIONALFISHEREFFECT,D.ImplicationsofIFE1.Currencywiththelowerinterestrateexpectedtoappreciaterelativetoonewithahigherrate.,32,THEINTERNATIONALFISHEREFFECT,D.ImplicationsofIFE2.Financialmarketarbitrage:insuresinterestratedifferentialisanunbiasedpredictorofchangeinfuturespotrate.,33,PARTVI.INTERESTRATEPARITYTHEORY,I.INTRODUCTIONA.TheTheorystates:theforwardrate(F)differsfromthespotrate(S)atequilibriumbyanamountequaltotheinterestdifferential(rh-rf)betweentwocountries.,34,INTERESTRATEPARITYTHEORY,2.Theforwardpremiumordiscountequalstheinterestratedifferential.(F-S)/S=(rh-rf)whererh=thehomeraterf=theforeignrate,35,INTERESTRATEPARITYTHEORY,3.Inequilibrium,returnsoncurrencieswillbethesamei.e.Noprofitwillberealizedandinterestparityexistswhichcanbewritten(1+rh)=F(1+rf)S,36,INTERESTRATEPARITYTHEORY,B.CoveredInterestArbitrage1.Conditionsrequired:interestratedifferentialdoesnotequaltheforwardpremiumordiscount.2.Fundswillmovetoacountrywithamoreattractiverate.,37,INTERESTRATEPARITYTHEORY,3.Marketpressuresdevelop:a.Asonecurrencyismoredemandedspotandsoldforward.b.Inflowoffunddepressesinterestrates.c.Parityeventuallyreached.,38,INTERESTRATEPARITYTHEORY,C.Summary:InterestRateParitystates:1.Higherinterestratesonacurrencyoffsetbyforwarddiscounts.2.Lowerinterestratesareoffsetbyforwardpremiums.,39,PARTVI.THERELATIONSHIPBETWEENTHEFORWARDANDTHEFUTURESPOTRATE,I.THEUNBIASEDFORWARDRATEA.Statesthatiftheforwardrateisunbiased,thenitshouldreflecttheexpectedfuturespotrate.B.Statedasft=et,40,PARTVI.CURRENCYFORECASTING,I.FORECASTINGMODELSA.Createdtoforecastexchangeratesinadditiontoparityconditions.B.Twotypesofforecast:1.Market-based2.Model-based,41,CURRENCYFORECASTING,MARKET-BASEDFORECASTS:derivedfrommarketindicators.A.Thecurrentforwardratecontainsimplicitinformationaboutexchangeratechangesforoneyear.B.Interestratedifferentialsmaybeusedtopredictexchangeratesbeyondoneyear.,42,CURRENCYFO