第十一章 经济风险的度量与管理(国际财务管理,Joseph F.Greco)

1,CHAPTER11,经济风险的度量与管理,2,CHAPTEROVERVIEW,I.外汇风险和经济风险II.汇率变化的经济后果III.经济风险的确认IV.经济风险的计算V.度量外汇风险的数量方法VI.经营风险管理,3,PARTI.外汇风险和经济风险,I.外汇风险A.经济风险以汇率变化之下公司价值的变动程度为依据.1.Expectationsaboutthefluctuationmustbeincorporatedinallbasicdecisionsofthefirm.,4,FOREIGNEXCHANGERISKANDECONOMICEXPOSURE,2.定义:a.会计角度影响企业的资产负债表b.经济风险1.)交易风险2.)经营风险332经济风险的时间模型,5,FOREIGNEXCHANGERISKANDECONOMICEXPOSURE,实际汇率P333,6,FOREIGNEXCHANGERISKANDECONOMICEXPOSURE,B.实际汇率和风险1.名义和实际汇率:therealratehasbeenadjustedforpricechanges.,7,FOREIGNEXCHANGERISKANDECONOMICEXPOSURE,3.小结a.没有相对价格变动,跨国公司不会面临真正的经营汇率风险.只要公司避免用外币条款签约.b.币值变化对企业的影响取决于汇率变化是否被通货膨胀率之间的差异完全抵消,或者是滞实际汇率相对价格也发生变化.,8,PARTII.汇率变化的经济后果,II.经济后果A.交易风险:源于需要用外币结算的不同类型的交易1.On-balancesheet2.Off-balancesheet,9,THEECONOMICCONSEQUENCESOFEXCHANGERATECHANGES,II.经济后果(cont)B.经营风险:实际汇率3381.需求价格弹性2.差异性3.公司的生产地和原料来源在不同国家之间灵活转换的能力是确定公司受外汇风险影响的另一个重要因素,10,THEECONOMICCONSEQUENCESOFEXCHANGERATECHANGES,II.小结一些经济因素,如公司经营的方式,公司生产原料的来源情况,以及实际汇率波动等都要比任何会计上的定义重要的多.,11,PARTIII.IDENTIFYINGECONOMICEXPOSURE,III.经济风险的确认A.ASPENSKIINGCOMPANY3411.Firmsexchangerateriskaffecteditssalesrevenues.,12,IDENTIFYINGECONOMICEXPOSURE,A.ASPENSKIINGCOMPANY(cont)2.Althoughtherewasnotranslationrisk,theglobalmarketwithitsexchangerateriskanditscompetitorsimpactedmarketdemand.,13,IDENTIFYINGECONOMICEXPOSURE,B.PETROLEOSMEXICANOS(PEMEX)3421.Thefirmsexchangerateriskaffectedcostbutnotrevenues.2.Economicimpacta.Revenues:noneb.Costs:decreasedc.Neteffect:increasedUS$flows,14,IDENTIFYINGECONOMICEXPOSURE,C.TOYOTAMOTORCOMPANY3431.ExchangerateriskaffectedBOTHrevenuesandcosts.2.Flowbackeffect:previouslyexportedgoodsreturnwithincreaseddomesticcompetition.3.Lowerprofitmarginsdomestically,15,PARTIV.经济风险的计算344,IV.Aquantitativeassessmentofeconomicexposuredependsonunderlyingassumptionsconcerning:348A.futurecashflows;B.sensitivitytoexchangeratechanges.,16,PARTV.度量外汇风险的数量方法,V.NEEDFORAWORKABLEAPPROACHA.RegressionAnalysis1.Variablesa.Independent:changesinparentscashflowsb.Dependent:Averagenominalexchangeratechange.,17,ANOPERATIONALMEASUREOFEXCHANGERISK,B.REGRESSIONEQUATION-approachbasedontheoperationaldefinitionoftheexchangeriskfacedbyaparentoroneofitsaffiliates:-acompanyfacesexchangerisktotheextentthatvariationsinthedollarvalueoftheunitscashflowsarecorrelatedwithvariationsinthenominalexchangerate,18,PARTV.度量外汇风险的数量方法,whereCFt=CFt-CFt-1andCFtisthedollarvalueoftotalaffiliate(parent)cashflowsinperiodtEXCHt=EXCHt-EXCHt-1equalstheaveragenominalexchangerateduringperiodtu=arandomerrorterm,19,ANOPERATIONALMEASUREOFEXCHANGERISK,1.Outputmeasures:a.Betacoefficient(b)measurestheassociationofchangesincashflowstoexchangeratechanges.,20,ANOPERATIONALMEASUREOFEXCHANGERISK,b.thehigherthepercentagechangeofcashflowtochangesinexchangerates,thegreatertheeconomicexposure(higherbetavalues).,21,ANOPERATIONALMEASUREOFEXCHANGERISK,VI.SUMMARY:A.Thefocusoftheaccountingprofessiononthebalancesheetimpactofcurrencychangeshasledtoignoringtheimportantimpactonfuturecashflows.,22,ANOPERATIONALMEASUREOFEXCHANGERISK,B.Forfirmsincurringcostsandsellingproductsinforeigncountries,theneteffectofcurrencychangesmaybelessimportantinthelongrun.,23,ANOPERATIONALMEASUREOFEXCHANGERISK,C.Tomeasureexposureproperly,youmustfocusoninflation-adjustedorrealexchangeratesinsteadofnominaloractualexchangerates.,24,ANOPERATIONALMEASUREOFEXCHANGERISK,D.Itisdifficultinpracticetodeterminewhattheactualeconomicimpactofacurrencychangewillbe.,25,PARTVI.经营风险管理,I.引言提高市场营销和生产的主动性,从而保证公司长期的获利能力.A.可以轻易地为交易风险进行套期保值，不过与使用其他货币的公司进行所带来的竞争性风险是长期存在的，需要更长期的经营调整,26,MANAGINGOPERATINGEXPOSURE,B.ProactiveMarketingandProductionInitiatives1.营销管理:市场选择定价策略产品策略产品创新,27,MANAGINGOPERATINGEXPOSURE,B.ProactiveMarketingandProductionInitiatives(cont)2.生产管理:产品源和厂址选择投入搭配在各个工厂间转移生产生产调整提高生产力,28,MANAGINGOPERATINGEXPOSURE,II.汇率变化的计划A.建议使用的营销和生产策略要求有对汇率变化的认知和假设尽管币值变化难以预测，但制定应急计划还是有必要的,29,MANAGINGOPERATINGEXPOSURE,B.Pricingstrategy:Expectationscritical1.IfHCvaluefalls,exportergainscompetitiveadvantagebyincreasingunitprofitabilityandmarketshare.2.Thehigherpriceelasticityofdemand,themorecurrencyriskthefirmfacesbyproductsubstitution.,30,MANAGINGOPERATINGEXPOSURE,3.FollowingHCdepreciation,localfirmmayhavemuchmorefreedominitspricing.C.PromotionalStrategy,31,MANAGINGOPERATINGEXPOSURE,D.ProductStrategyexchangeratechangesmayalter1.Thetimingofnewproductintroductions,2.Productdeletion,3.Productinnovation.,32,MANAGINGOPERATINGEXPOSURE,III.ProductManagementAdjustmentsproductsourcingandplantlocationaretheprincipalvariablestomanipulate.A.InputmixB.ShiftproductionamongplantsC.PlantlocationD.Raisingproductivity,33,MANAGINGOPERATINGEXPOSURE,IV.PlanningForExchange-RateChangesA.Withbetterplanningandmorecompetitiveoptions,firmscanchangestrategiessubstantiallyB.beforetheimpactofancurrencychangemakesitselffelt.C.Implication:compactionofadjustmentperiodfollowinganexchange-ratechange.,34,MANAGINGOPERATINGEXPOSURE,V.外汇风险的融资管理所有的营销和生产战略调整有一个特征，有效实现这些调整需